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Limit Theorems for Cylindrical Martingale Problems Associated with Lévy Generators

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  • David Criens

    (Technical University of Munich)

Abstract

We prove limit theorems for cylindrical martingale problems associated with Lévy generators. Furthermore, we give sufficient and necessary conditions for the Feller property of well-posed problems with continuous coefficients. We discuss two applications. First, we derive continuity and linear growth conditions for the existence of weak solutions to infinite-dimensional stochastic differential equations driven by Lévy noise. Second, we derive continuity, local boundedness and linear growth conditions for limit theorems and the Feller property of weak solutions to stochastic partial differential equations driven by Wiener noise.

Suggested Citation

  • David Criens, 2020. "Limit Theorems for Cylindrical Martingale Problems Associated with Lévy Generators," Journal of Theoretical Probability, Springer, vol. 33(2), pages 866-905, June.
    • Handle: RePEc:spr:jotpro:v:33:y:2020:i:2:d:10.1007_s10959-019-00948-3
    DOI: 10.1007/s10959-019-00948-3
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    References listed on IDEAS

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    1. David Criens, 2019. "Cylindrical Martingale Problems Associated with Lévy Generators," Journal of Theoretical Probability, Springer, vol. 32(3), pages 1306-1359, September.
    2. Xie, Yingchao, 1995. "Limit theorems of Hilbert valued semimartingales and Hilbert valued martingale measures," Stochastic Processes and their Applications, Elsevier, vol. 59(2), pages 277-293, October.
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