The Ornstein-Uhlenbeck bridge and applications to Markov semigroups

DOI10.1016/J.SPA.2007.10.010zbMATH Open1157.60074arXivmath/0610386OpenAlexW2150662455MaRDI QIDQ952823FDOQ952823

Authors: B. Maslowski, B. Goldys 

Publication date: 14 November 2008

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: For an arbitrary Hilbert space-valued Ornstein-Uhlenbeck process we construct the Ornstein-Uhlenbeck Bridge connecting a starting point $x$ and an endpoint $y$ that belongs to a certain linear subspace of full measure. We derive also a stochastic evolution equation satisfied by the OU Bridge and study its basic properties. The OU Bridge is then used to investigate the Markov transition semigroup associated to a nonlinear stochastic evolution equation with additive noise. We provide an explicit formula for the transition density and study its regularity. Given the Strong Feller property and the existence of an invariant measure we show that the transition semigroup maps $L^p$ functions into continuous functions. We also show that transition operators are $q$-summing for some $q>p>1$, in particular of Hilbert-Schmidt type.

Full work available at URL: https://arxiv.org/abs/math/0610386

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zbMATH Keywords

transition densityOrnstein-Uhlenbeck bridge processstochastic semi-linear equationstrong feller property.

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Transition functions, generators and resolvents (60J35)

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Cited In (6)

• Connection between deriving bridges and radial parts from multidimensional Ornstein-Uhlen\-beck processes
• Markovian bridges: weak continuity and pathwise constructions
• Lower estimates of transition densities and bounds on exponential ergodicity for stochastic PDEs
• Constraint Ornstein-Uhlenbeck bridges
• Numerically computable a posteriori-bounds for the stochastic Allen-Cahn Equation
• SPDE bridges with observation noise and their spatial approximation

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