On the Cauchy problem for non-local Ornstein-Uhlenbeck operators

DOI10.1016/J.NA.2015.09.028zbMATH Open1337.60196arXiv1505.01876OpenAlexW2963855067MaRDI QIDQ897359FDOQ897359

E. Priola, S. Tracà

Publication date: 17 December 2015

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Abstract: We study the Cauchy problem involving non-local Ornstein-Uhlenbeck operators in finite and infinite dimensions. We prove classical solvability without requiring that the L'evy measure corresponding to the large jumps part has a first finite moment. Moreover, we determine a core of regular functions which is invariant for the associated transition Markov semigroup. Such a core allows to characterize the marginal laws of the Ornstein-Uhlenbeck stochastic process as unique solutions to Fokker-Planck-Kolmogorov equations for measures.

Full work available at URL: https://arxiv.org/abs/1505.01876

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]Ornstein-Uhlenbeck processesMarkov semigroupsnon-local operators

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov semigroups and applications to diffusion processes (47D07) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems for second-order parabolic equations (35K15) Fokker-Planck equations (35Q84) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (7)

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• Pathwise uniqueness for stochastic evolution equations with Hölder drift and stable Lévy noise
• Integro-PDE in Hilbert spaces: existence of viscosity solutions
• Functional inequalities for some generalised Mehler semigroups
• The Cauchy problem for a class of Markov-type semigroups.

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