Ornstein-Uhlenbeck equations with time-dependent coefficients and Lévy noise in finite and infinite dimensions

DOI10.1007/S00028-011-0120-4zbMATH Open1245.60065arXiv0901.2887OpenAlexW2034186632MaRDI QIDQ409209FDOQ409209

Florian Knäble

Publication date: 12 April 2012

Published in: Journal of Evolution Equations (Search for Journal in Brave)

Abstract: We solve a time-dependent linear SPDE with additive Levy noise in the mild and weak sense. Existence of a generalized invariant measure for the associated transition semigroup is established and the generator is characterized on the corresponding L^2-space. The square field operator is calculated, allowing to derive a Poincare and a Harnack inequality.

Full work available at URL: https://arxiv.org/abs/0901.2887

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zbMATH Keywords

Harnack inequalityinvariant measureSPDEweak solutionmild solutionPoincaré inequality

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Inequalities applied to PDEs involving derivatives, differential and integral operators, or integrals (35A23) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited In (5)

• Perturbation theory for a stochastic process with Ornstein-Uhlenbeck noise
• Renormalized powers of Ornstein-Uhlenbeck processes and well-posedness of stochastic Ginzburg-Landau equations
• The structure of entrance laws for time-inhomogeneous Ornstein–Uhlenbeck processes with Lévy noise in Hilbert spaces
• The Ornstein-Uhlembeck equation and a related Malliavin calculus
• On the Cauchy problem for non-local Ornstein-Uhlenbeck operators

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