Does infinitesimal generator fully encode SDE

423 Views Asked by At

When does the infinitesimal generator completely and uniquely encode its associated stochastic process?

For an Ito diffusion specifically, it would seem to do so, except maybe up to a rotation of the diffusion matrix coefficient.

1

There are 1 best solutions below

0
On BEST ANSWER

To summarize the comments, for an Ito diffusion specifically, if $dX_t$ has bounded, Lipschitz continuous coefficients, then it is a Feller process, which implies that its infinitesimal generator fully encodes it.

Anyone who wants to comment on more general cases are welcome to do so! :)