Solutions of martingale problems for Lévy-type operators and stochastic differential equations driven by Lévy processes with discontinuous coefficients

Peter Imkeller, Niklas Willrich

Published 2012-08-08Version 1

We show the existence of L\'evy-type stochastic processes in one space dimension with characteristic triplets that are either discontinuous at thresholds, or are stable-like with stability index functions for which the closures of the discontinuity sets are countable. For this purpose, we formulate the problem in terms of a Skorokhod-space martingale problem associated with non-local operators with discontinuous coefficients. These operators are approximated along a sequence of smooth non-local operators giving rise to Feller processes with uniformly controlled symbols. They converge uniformly outside of increasingly smaller neighborhoods of a Lebesgue nullset on which the singularities of the limit operator are located.