A semigroup approach to nonlinear Lévy processes

Robert Denk, Michael Kupper, Max Nendel

Published 2017-10-23Version 1

We study the relation between L\'evy processes under nonlinear expectations, nonlinear semigroups and fully nonlinear PDEs. First, we establish a one-to-one relation between nonlinear L\'evy processes and nonlinear Markovian convolution semigroups. Second, we provide a condition on a family of infinitesimal generators $(A_\lambda)_{\lambda\in\Lambda}$ of linear L\'evy processes which guarantees the existence of a nonlinear L\'evy processes such that the corresponding nonlinear Markovian convolution semigroup is a viscosity solution of the fully nonlinear PDE $\partial_t u=\sup_{\lambda\in \Lambda} A_\lambda u$. The results are illustrated with several examples.