Abstract
We introduce and discuss Levy-type cylindrical martingale problems on separable reflexive Banach spaces. Our main observations are the following: Cylindrical martingale problems have a one-to-one relation to weak solutions of stochastic partial differential equations, and well-posed problems possess the strong Markov property and a Cameron–Martin–Girsanov-type formula holds. As applications, we derive existence and uniqueness results.
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