On the Cauchy problem for non-local Ornstein-Uhlenbeck operators (Q897359)

The authors study the Cauchy problem involving non-local Ornstein-Uhlenbeck operators in finite and infinite dimensions. The generator \(\mathcal{L}_0\) of the stochastic process in \(\mathbb{R}^d\) consists of a diffusion part with a non-negative definite symmetric matrix, a drift-term with affine coefficient and a jump part characterized in terms of a Lévy measure satisfying the usual assumptions (no atom at \(0\) and finite total mass and second moment). For this type of equations, well-posedness of classical solutions is established. In this context, classical solutions are continuous and bounded with two bounded spatial derivatives and one temporal derivative. The crucial ingredient is a representation formula. Let \(P_t f\) be the solution of \(\partial_t P_t f = \mathcal{L}_0 P_t f\) with \(f\in C_b^2(\mathbb{R}^d)\), then \(P_t f(x) = f(x) + \int_0^t \mathcal{L}_0(P_s f)(x)\,\mathrm{d} s\). This formula with \(\mathcal{L}_0\) and \(P_s\) interchanged and the test-function class \(C_K^2(\mathbb{R}^d)\) (compact support) is classical. A proof by an estimate of the commutator between \(\mathcal{L}_0\) and \(P_s\) would need to assume bounded first moment of the Lévy jump measure. To avoid this, the authors give a direct proof by first establishing it on a Fourier basis and then arguing with an approximation procedure. The Ornstein-Uhlenbeck semigroup is also a \(C_0\)-semigroup with generator \(\mathcal{L}\). Based on the representation formula, the authors are able to identify a subset \(\mathcal{D}_0\) in the domain of \(\mathcal{L}\) such that \(\mathcal{D}_0\) is a common core of \(\mathcal{L}_0\) and \(\mathcal{L}\) and \(\mathcal{D}_0\) is invariant under the semigroup. Such a core allows to characterize the marginal laws of the Ornstein-Uhlenbeck stochastic process as unique solutions to Fokker-Planck-Kolmogorov equations for measures. Most of the above results can be generalized to the infinite-dimensional case. There, the Ornstein-Uhlenbeck process lives on a real separable Hilbert space \(H\). The drift is a linear operator \(A\) assumed to be a generator of a \(C_0\)-semigroup on \(H\) and the noise is an \(H\)-valued Lévy process (stationary independent increments, càdlàg trajectories, starting in \(0\) and characteristic function of Lévy form). Then the authors generalize the representation formula for \(f\in C_b^2(H)\) pointwise for all \(x\) in the domain of \(A\). Therewith, it is possible to deduce classical solutions in a space of functions \(f\in C_b^2(H)\), where in addition \(Df\) and \(A\) satisfy suitable compatibility conditions. The construction of an invariant common core for \(\mathcal{L}_0\) and \(\mathcal{L}\) is more involved. The main reason is that \(C_0(H)\) is invariant only under very restrictive assumptions. To circumvent this, the semigroup is constructed acting on \(C_b(H)\) or \(UC_b(H)\) (uniformly bounded continuous functions). However, the semigroup there is not strongly continuous with respect to the \(\sup\)-norm. Therefore, the generator is defined in a suitable pointwise sense. For this generator, two possible invariant common pointwise cores are defined, which allow to study Fokker-Planck-Kolmogorov equations.