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

DOI10.1007/S00028-011-0120-4MaRDI QIDQ409209zbMATH OpenOpenAlexFDO

Authors Florian Knäble

Publication date 12 April 2012

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

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

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)

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.

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Cited in

(6)

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

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