Symmetric Ornstein-Uhlenbeck semigroups and their generators (Q1871664): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
Importer (talk | contribs)
Changed an Item
 
Property / arXiv ID
 
Property / arXiv ID: math/0205315 / rank
 
Normal rank

Latest revision as of 22:28, 18 April 2024

scientific article
Language Label Description Also known as
English
Symmetric Ornstein-Uhlenbeck semigroups and their generators
scientific article

    Statements

    Symmetric Ornstein-Uhlenbeck semigroups and their generators (English)
    0 references
    0 references
    4 May 2003
    0 references
    The authors consider a linear stochastic differential equation \(dZ(t)= AZ(t)dt+ \sqrt{Q}dW(t)\) on a Hilbert space \(H\) where \(A\) generates a \(C_0\)-semigroup \(\{S(t)\}_{t\geq 0}\), the operator \(Q\) is bounded selfadjoint nonnegative and \(W\) denotes a standard cylindrical Wiener process. Assuming the existence of an invariant measure \(\mu\) for the equation, necessary and sufficient conditions are provided for the transition semigroup \(\{R(t)\}_{t\geq 0}\) to be symmetric in \(L^2(H,\mu)\). This result enables the authors to characterize the domain of the generator of \(\{R(t)\}_{t\geq 0}\) in \(L^p(H,\mu)\) in terms of appropriate Sobolev spaces and to derive a formula for the size of the spectral gap of the generator. Moreover, necessary and sufficient conditions for the transition semigroup to be compact, Hilbert-Schmidt or strong Feller are given in terms of the semigroup \(\{Q^{-1/2}S(t)Q^{1/2}\}_{t\geq 0}\). The results are applied to study an Ornstein-Uhlenbeck process in a chaotic environment.
    0 references
    Ornstein-Uhlenbeck operator
    0 references
    transition semigroup
    0 references
    reversible process
    0 references
    symmetrizing measure
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references