Gauss-Markov processes on Hilbert spaces

DOI10.1090/TRAN/6329zbMATH Open1337.60051arXiv1307.2686OpenAlexW2083750712MaRDI QIDQ3448981FDOQ3448981

Authors: B. Goldys, Szymon Peszat, Jerzy Zabczyk 

Publication date: 3 November 2015

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Abstract: K. It^{o} characterised in cite{ito} zero-mean stationary Gauss Markov-processes evolving on a class of infinite-dimensional spaces. In this work we extend the work of It^{o} in the case of Hilbert spaces: Gauss-Markov families that are time-homogenous are identified as solutions to linear stochastic differential equations with singular coefficients. Choosing an appropriate locally convex topology on the space of weakly sequentially continuous functions we also characterize the transition semigroup, the generator and its core thus providing an infinite-dimensional extension of the classical result of Courr`ege cite{courrege} in the case of Gauss-Markov semigroups.

Full work available at URL: https://arxiv.org/abs/1307.2686

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zbMATH Keywords

generatorsemigroupGauss-Markov processesGaussian measuresHilbert spacesstrict topologylocally convex topologytransition kernelslinear stochastic differential equations

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Markov processes (60J99)

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Cited In (9)

• Characterization of Gaussian quantum Markov semigroups
• Characterization of vector valued, Gaussian, stationary, Markov processes
• Multiresolution Hilbert approach to multidimensional Gauss-Markov processes
• Homogeneous Gaussian Markov processes on general lattices
• A stochastic approximation for the finite-size Kuramoto-Sakaguchi model
• Title not available (Why is that?)
• Title not available (Why is that?)
• On a characterization of Gaussian transition operators
• Title not available (Why is that?)

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