Smoothing effect and derivative formulas for Ornstein-Uhlenbeck processes driven by subordinated cylindrical Brownian noises

DOI10.1016/J.JFA.2022.109660MaRDI QIDQ2170654zbMATH OpenOpenAlexFDO

Authors Alessandro Bondi

Publication date 6 September 2022

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2101.06493

zbMATH Keywords

gradient estimatesderivative formulasMarkov transition semigroupisotropic \(\alpha\)-stable processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Markov semigroups and applications to diffusion processes (47D07)

Abstract: We investigate the concept of cylindrical Wiener process subordinated to a strictly $alpha$-stable L'evy process, with $alphainleft(0,1ight)$, in an infinite dimensional, separable Hilbert space, and consider the related stochastic convolution. We then introduce the corresponding Ornstein-Uhlenbeck process, focusing on the regularizing properties of the Markov transition semigroup defined by it. In particular, we provide an explicit, original formula -- which is not of Bismut-Elworthy-Li's type -- for the Gateaux derivatives of the functions generated by the operators of the semigroup, as well as an upper bound for the norm of their gradients. In the case $alphainleft(frac12,1ight)$, this estimate represents the starting point for studying the Kolmogorov equation in its mild formulation.

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Cited in

(1)

• Probability computation for high-dimensional semilinear SDEs driven by isotropic \(\alpha\)-stable processes via mild Kolmogorov equations

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