3:30 p.m., Monday, 18 September
Israel Institute of Technology
Duality approach to proving uniqueness
The martingale problem is a powerful method for the characterization and
study of stochastic processes. The duality approach is one of the
tools for proving uniqueness of solutions to martingale problems.
In its original version it requires the construction of a dual process
which describes any solution of the martingale problem.
In recent years this method has proved to be extremely useful
for proving uniqueness results for a variety of interacting
We will describe the duality approach, its modification (the so-called
``approximate duality" method), and give several examples of
measure-valued diffusions and stochastic partial differential
equations where the method has been successfully applied.