Ornstein-Uhlenbeck processes driven by cylindrical Lévy processes

DOI10.1007/S11118-014-9458-XzbMATH Open1332.60026arXiv1212.3832OpenAlexW2022782468MaRDI QIDQ2346360FDOQ2346360

Authors: M. Riedle 

Publication date: 1 June 2015

Published in: Potential Analysis (Search for Journal in Brave)

Abstract: In this article we introduce a theory of integration for deterministic, operator-valued integrands with respect to cylindrical L'evy processes in separable Banach spaces. Here, a cylindrical L'evy process is understood in the classical framework of cylindrical random variables and cylindrical measures, and thus, it can be considered as a natural generalisation of cylindrical Wiener processes or white noises. Depending on the underlying Banach space, we provide necessary and/or sufficient conditions for a function to be integrable. In the last part, the developed theory is applied to define Ornstein-Uhlenbeck processes driven by cylindrical L'evy processes and several examples are considered.

Full work available at URL: https://arxiv.org/abs/1212.3832

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zbMATH Keywords

Ornstein-Uhlenbeck processstochastic evolution equationstochastic integrationstochastic integralcylindrical Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Probability theory on linear topological spaces (60B11) Generalized stochastic processes (60G20) Stochastic integrals (60H05)

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Cited In (22)

• Well-balanced Lévy driven Ornstein–Uhlenbeck processes
• Weak convergence of finite element approximations of linear stochastic evolution equations with additive Lévy noise
• Cylindrical fractional Brownian motion in Banach spaces
• Cut-off phenomenon for Ornstein-Uhlenbeck processes driven by Lévy processes
• The class of distributions of periodic Ornstein-Uhlenbeck processes driven by Lévy processes
• The stochastic Cauchy problem driven by a cylindrical Lévy process
• Invariant measure for the stochastic Cauchy problem driven by a cylindrical Lévy process
• Infinite dimensional Ornstein-Uhlenbeck processes driven by Lévy processes
• The cutoff phenomenon for the stochastic heat and wave equation subject to small Lévy noise
• Existence of continuous and càdlàg versions for cylindrical processes in the dual of a nuclear space
• Advection-diffusion equation on a half-line with boundary Lévy noise
• Nonlinear stochastic partial differential equations of hyperbolic type driven by Lévy-type noises
• Stable cylindrical Lévy processes and the stochastic Cauchy problem
• Irreducibility and asymptotics of stochastic Burgers equation driven by \(\alpha \)-stable processes
• Smoothing effect and derivative formulas for Ornstein-Uhlenbeck processes driven by subordinated cylindrical Brownian noises
• Modelling Lévy space‐time white noises
• Cylindrical Lévy processes in Banach spaces
• Stochastic integration with respect to cylindrical Lévy processes by \(p\)-summing operators
• Variational solutions of stochastic partial differential equations with cylindrical Lévy noise
• Time regularity of generalized Ornstein-Uhlenbeck processes with Lévy noises in Hilbert spaces
• Stochastic integration in Hilbert spaces withrespect to cylindrical martingale-valued measures
• Semimartingales on duals of nuclear spaces

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