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Judith Maria Nefertari Dohmann

Feller-type properties and path regularities of Markov processes

We present a general technique to prove that a Markov process on a polish space E has continuous respectively càdlàg paths P_x-a.s. for all x ? E provided this is the case under P_? := ? P_x?(dx ) where ? is a measure with full support. As an application we consider the following SDE: dX_t = ?(X_t ) dW_t + b(X_t ) dt, for which we get a weak solution for every initial condition merely under very weak integrability conditions on ? and b.

Forum Mathematicum, Walter de Gruyter

Print ISSN: 0933-7741
Volume: 17, 05/2005
Pages: 343 - 359

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