Non-differentiable skew convolution semigroups and related Ornstein-Uhlenbeck processes

DOI10.1023/B:POTA.0000010666.75722.0EMaRDI QIDQ1424817zbMATH OpenOpenAlexFDO

Authors Donald A. Dawson, Zenghu Li

Publication date 15 March 2004

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0606620

zbMATH Keywords

differentiable extensiongeneralized Mehler semigroupgeneralized Ornstein-Uhlenbeck processright continuous realizationskew convolution semigroup

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Transition functions, generators and resolvents (60J35)

Abstract: It is proved that a general non-differentiable skew convolution semigroup associated with a strongly continuous semigroup of linear operators on a real separable Hilbert space can be extended to a differentiable one on the entrance space of the linear semigroup. A cadlag strong Markov process on an enlargement of the entrance space is constructed from which we obtain a realization of the corresponding Ornstein-Uhlenbeck process. Some explicit characterizations of the entrance spaces for special linear semigroups are given.

Review text

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.

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(8)

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• Fluctuation limit theorems of immigration superprocesses with small branching
• Skew convolution semigroups and affine Markov processes
• Time inhomogeneous generalized Mehler semigroups and skew convolution equations
• GENERALIZED MEHLER SEMIGROUPS AND ORNSTEIN–UHLENBECK PROCESSES ARISING FROM SUPERPROCESSES OVER THE REAL LINE
• Ornstein–Uhlenbeck operators and semigroups
• Infinite dimensional Ornstein-Uhlenbeck processes driven by Lévy processes
• Branching processes with immigration and related topics

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