Potential theory of infinite dimensional Lévy processes

DOI10.1016/J.JFA.2011.07.016zbMATH Open1252.60062arXiv1007.2379OpenAlexW2963248791MaRDI QIDQ647599FDOQ647599

Authors: Lucian Beznea, Aurel Cornea, Michael Röckner 

Publication date: 24 November 2011

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Abstract: We study the potential theory of a large class of infinite dimensional L'evy processes, including Brownian motion on abstract Wiener spaces. The key result is the construction of compact Lyapunov functions, i.e. excessive functions with compact level sets. Then many techniques from classical potential theory carry over to this infinite dimensional setting. Thus a number of potential theoretic properties and principles can be proved, answering long standing open problems even for the Brownian motion on abstract Wiener space, as e.g. formulated by R. Carmona in 1980. In particular, we prove the analog of the known result, that the Cameron-Martin space is polar, in the L'evy case and apply the technique of controlled convergence to solve the Dirichlet problem with general (not necessarily continuous) boundary data.

Full work available at URL: https://arxiv.org/abs/1007.2379

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zbMATH Keywords

capacityDirichlet problemLyapunov functionabstract Wiener spacepolar setexscessive functionsinfinite dimensional Brownian motionLévy process on Hilbert space

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Probabilistic potential theory (60J45)

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Cited In (12)

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• Some singular sample path properties of a multiparameter fractional Brownian motion
• Compact excessive functions and Markov processes: a general case and applications

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