The Ornstein-Uhlenbeck bridge and applications to Markov semigroups (Q952823)

For a Hilbert space \(H\), two linear operators \(A\) and \(Q\geq 0\) on \(H\), the associated Ornstein-Uhlenbeck (O-U) process \(Z_t\) is a solution to the equation \[ d Z_t = AZ_t dt + Q^{1/2}d W_t \] where \(W_t\) is the cylindrical Brownian motion on \(H\). Then the corresponding O-U bridge process is \(Z_t\) conditioned by \(Z_0=x\) and \(Z_T=y\) for fixed \(x,y\in H\) and \(T>0\). This paper provides a construction of the O-U bridge process which solves a stochastic evolution equation. By studying this equation, the transition probability of the O-U process as well as \(L^p\)-strong Feller properties are investigated for the the O-U process.