Markov selections and Feller properties of nonlinear diffusions

Abstract

In this paper we study a family of nonlinear (conditional) expectations that can be understood as a diffusion with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued function that depends on time and path in a Markovian way. We establish its Feller properties and examine how to linearize the associated sublinear Markovian semigroup. In particular, we observe a novel smoothing effect of nonlinear semigroups in frameworks which carry enough randomness. Furthermore, we link the value function corresponding to the semigroup to a nonlinear Kolmogorov equation