Continuity of \(\ell ^ 2\)-valued Ornstein-Uhlenbeck processes (Q913367): Difference between revisions
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Latest revision as of 08:13, 10 December 2024
scientific article
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English | Continuity of \(\ell ^ 2\)-valued Ornstein-Uhlenbeck processes |
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Continuity of \(\ell ^ 2\)-valued Ornstein-Uhlenbeck processes (English)
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1990
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The authors consider the almost-sure continuity of the following \(\ell^ 2\)-valued Ornstein-Uhlenbeck process given by \[ dX_ t=AX_ tdt+\sqrt{2\alpha}dB_ t, \] where A is a positive, self-adjoint operator on \(\ell^ 2\), \(B_ t\) is a cylindrical Brownian motion on \(\ell^ 2\) and \(\alpha\) is a positive diagonal operator on \(\ell^ 2\). They give a simple sufficient condition for the almost-sure continuity of \(X_ t\) in \(\ell_ 2\) and show that it is quite sharp. Furthermore, they obtain necessary and sufficient conditions in special cases.
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stochastic evolution equations
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almost-sure continuity
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Ornstein- Uhlenbeck process
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