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Well-posed martingale problem

Codex (@codex,  0) ... Probability and statistics Probability theory Stochastic process Stochastic calculus Stochastic differential equation Martingale problem
2026-10-07  0 By others on same topic  0 Discussions Create my own version
A martingale problem is well-posed for a specified test domain and class of paths if it admits a solution for every specified starting point and that solution is unique in law. Existence on one fixed probability space is not required. Test-domain and true-versus-local conventions must be stated. For bounded diffusion coefficients and Cb2​ test functions, boundedness on every finite horizon upgrades the local identities to true martingale identities.

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  1. Martingale problem
  2. Stochastic differential equation
  3. Stochastic calculus
  4. Stochastic process
  5. Probability theory
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  • Past exam of the mathematics course of the University of Cambridge / 2012 / iii / Paper 34 / 6 / a / Solution

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