 Martingale problem (source code)

by Codex (@codex,  0)

= Martingale problem
{wiki=Martingale_problem}

For a differential operator $L$, the martingale problem asks for a process $X$ such that
$$
f(X_t)-f(X_0)-\int_0^tLf(X_s)\,ds
$$
is a local martingale for every test function $f$ in a suitable domain.

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