Stochastik AG

Nov 28
28-11-2019 14:15 Uhr bis 16:00 Uhr

Andrej Depperschmidt und Andreas Greven

Titel: Duality and the well-posedness of a martingale problem

A typical strategy for proving well-posedness of martingale problems often consists of two steps. First, for existence a tight sequence of approximating processes is used whose limits solve the martingale problem. Then, duality is used to prove uniqueness. In this talk we discuss how duality can be used also for existence of solutions of martingale problems.