A conditioned ornstein–uhlenbeck process on a hilbert space

DOI10.1080/07362999108809227zbMATH Open0722.60052OpenAlexW2158000910MaRDI QIDQ3209946FDOQ3209946

Authors Isabel Simão 

Publication date 1991

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999108809227

zbMATH Keywords

Ornstein-Uhlenbeck processinfinite system of stochastic differential equations

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

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Cited in

(11)

• A Haar-like construction for the Ornstein Uhlenbeck process
• Infinite dimensional stochastic differential equations of Ornstein-Uhlenbeck type
• SPDE bridges with observation noise and their spatial approximation
• Regular fundamental solution for a parabolic equation on an infinite–dimensional space
• Regular transition densities for infinite dimensional diffusions
• On processes of ornstein-uhlenbeck type in hilbert space
• INTEGRATION BY PARTS AND SMOOTHNESS OF THE LAW FOR A CLASS OF STOCHASTIC EVOLUTION EQUATIONS
• A class of stochastic optimal control problems in Hilbert spaces: BSDEs and optimal control laws, state constraints, conditioned processes.
• On the continuity of pathwise solutions to Langevin equations in infinite dimensions
• Regularity of.the heat semigroup generated by certain operators on a hilbert space
• On mild solutions of gradient systems in Hilbert spaces

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