Infinite dimensional stochastic differential equations of Ornstein-Uhlenbeck type

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:116

Article

Athreya, SR ; Bass, RF ; Gordina, M ; Perkins, EA

关键词: semigroups;    Holder spaces;    perturbations;    resolvents;    elliptic operators;    Ornstein-Uhlenbeck processes;    infinite dimensional stochastic differential equations;   

DOI  :  10.1016/j.spa.2005.10.001

来源: Elsevier

【 摘 要 】

We consider the operator [GRAPHICS] We prove existence and uniqueness of solutions to the martingale problem for this operator under appropriate conditions on the a(ij),b(i), and lambda(i). The process corresponding to L solves an infinite dimensional stochastic differential equation similar to that for the infinite dimensional Ornstein-Uhlenbeck process. (C) 2005 Elsevier B.V. All rights reserved.

【 授权许可】

Free