Feller Evolution Systems: Generators and Approximation

A time and space inhomogeneous Markov process is a Feller evolution process, if the corresponding evolution system on the continuous functions vanishing at infinity is strongly continuous. We discuss generators of such systems and show that under mild conditions on the generators a Feller evolution can be approximated by Markov chains with Lévy increments. The result is based on the approximation of the time homogeneous space-time process corresponding to a Feller evolution process. In particular, we show that a $d$-dimensional Feller evolution corresponds to a $d+1$-dimensional Feller process. It is remarkable that, in general, this Feller process has a generator with discontinuous symbol.

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