Markov semigroups generated by a Poisson driven differential equation

DOI10.1016/S0362-546X(01)00724-6MaRDI QIDQ1612554zbMATH OpenOpenAlexWikidataFDO

Authors Tomasz Szarek, Stanisław Wedrychowicz

Publication date 25 August 2002

Published in Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0362-546x(01)00724-6

zbMATH Keywords

differential equations with Poisson process Markov semigroup

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

Let \[ du=a(u)dt+ b(u)dp\text{ for }t\geq 0\tag{1} \] be a stochastic differential equation on a separable Banach space with the initial condition \(u(0)= \xi\), where \((p(t))\), \(t>0\), is a Poisson process. The authors study a Markov semigroup \((P^t)\), \(t\geq 0\), where \(P^t\) is a dual operator to the operator \(U^t\): \[ U^tf(x)= \int_\Omega f\bigl(u^x(t) \bigr)(\omega)P (d\omega) \] for \(f\in B(E)\) \((B(E)\) denotes the space of all real bounded Borel measurable functions on Banach space \(E)\), and \(u^x\) denotes a solution of (1) with \(\xi=x\in E\). It is show that under certain assumptions the semigroup \((P^t)\) is asymptotically stable.

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