Non-differentiable skew convolution semigroups and related Ornstein-Uhlenbeck processes (Q1424817)

Let \(T_t\) be a \(C_0\)-semigroup on a real separable Hilbert space \(H\). The authors consider a skew convolution semigroup associated with \(T_t\), that is a family of probability measures \(\mu_t,t\geq 0\), on \(H\), such that \(\mu_{r+t}=(T_t\mu_r)*\mu_t\), \(r,t\geq 0\). A related object is a generalized Mehler semigroup \[ Q_t^\mu f(x)=\int_Hf(T_tx+y)\mu_t(dy),\quad x\in H, \] defined on bounded Borel measurable functions \(f\) on \(H\). This semigroup corresponds to a generalized Ornstein-Uhlenbeck process. A detailed analysis of these objects is available for the case where the function \(t\mapsto \hat \mu_t(a)\) is differentiable at \(t=0\) [see, in particular, the paper by \textit{V. I. Bogachev}, \textit{M. Röckner}, and \textit{B. Schmuland}, Probab. Theory Relat. Fields 105, 193--225 (1996; Zbl 0849.60066)]. The authors consider a general case and prove that a non-differentiable skew convolution semigroup can be extended to a differentiable one on a certain space of vector-functions (the entrance space of the semigroup \(T_t\)). A càdlàg strong Markov process on an enlargement of the entrance space gives a realization of the corresponding Ornstein-Uhlenbeck process. Some explicit characterizations of the entrance spaces for special semigroups are given.