Infinite dimensional Ornstein-Uhlenbeck processes driven by Lévy processes

DOI10.1214/14-PS249zbMATH Open1323.60104arXiv1411.2752MaRDI QIDQ491376FDOQ491376

Authors: David Applebaum 

Publication date: 25 August 2015

Published in: Probability Surveys (Search for Journal in Brave)

Abstract: We review the probabilistic properties of Ornstein-Uhlenbeck processes in Hilbert spaces driven by L'{e}vy processes. The emphasis is on the different contexts in which these processes arise, such as stochastic partial differential equations, continuous-state branching processes, generalised Mehler semigroups and operator self-decomposable distributions. We also examine generalisations to the case where the driving noise is cylindrical.

Full work available at URL: https://arxiv.org/abs/1411.2752

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zbMATH Keywords

stochastic partial differential equationsinvariant measureOrnstein-Uhlenbeck processesbranching processesoperator self-decomposabilityUrbanik semigroupcylindrical processMehler semigroupskew-convolution semigroupLévy processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

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Cited In (35)

• Title not available (Why is that?)
• Spontaneous wave formation in stochastic self-driven particle systems
• On a class of stochastic partial differential equations with multiple invariant measures
• Well-balanced Lévy driven Ornstein–Uhlenbeck processes
• Cut-off phenomenon for Ornstein-Uhlenbeck processes driven by Lévy processes
• Linear combinations of i.i.d. Strictly stable variables with random coefficients and their application to anomalous diffusion processes
• Mehler formula and capacities for infinite dimensional Ornstein-Uhlenbeck processes with general linear drift
• The class of distributions of periodic Ornstein-Uhlenbeck processes driven by Lévy processes
• The cutoff phenomenon in total variation for nonlinear Langevin systems with small layered stable noise
• Cointegration in continuous time for factor models
• The cutoff phenomenon for the stochastic heat and wave equation subject to small Lévy noise
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• The Heston stochastic volatility model in Hilbert space
• Lévy-areas of Ornstein-Uhlenbeck processes in Hilbert-spaces
• Reflection positivity, duality, and spectral theory
• Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility
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• Edgeworth expansion for the integrated Lévy driven Ornstein-Uhlenbeck process
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• A conditioned ornstein–uhlenbeck process on a hilbert space
• Time regularity for generalized Mehler semigroups
• Ornstein-Uhlenbeck processes driven by cylindrical Lévy processes
• Time regularity of generalized Ornstein-Uhlenbeck processes with Lévy noises in Hilbert spaces
• Regularity of Ornstein-Uhlenbeck processes driven by a Lévy white noise
• The structure of entrance laws for time-inhomogeneous Ornstein-Uhlenbeck processes with Lévy noise in Hilbert spaces
• On the infinitesimal generators of Ornstein-Uhlenbeck processes with jumps in Hilbert space
• Functional inequalities for some generalised Mehler semigroups
• Law equivalence of Ornstein-Uhlenbeck processes driven by a Lévy process
• Generalized jump-type Ornstein-Uhlenbeck processes as limits of infinite- particle systems
• Evolution systems of measures for non-autonomous Ornstein-Uhlenbeck processes with Lévy noise
• Free Ornstein--Uhlenbeck processes
• Eigenfunction expansions for infinite dimensional Ornstein-Uhlenbeck processes
• Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations
• Invariant measures and boundedness in the mean for stochastic equations driven by Lévy noise

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