Infinite dimensional stochastic differential equations of Ornstein-Uhlenbeck type

被引：11
|
作者：
Athreya, SR
Bass, RF [1 ]
Gordina, M
Perkins, EA
机构：
[1] Univ Connecticut, Dept Math, Storrs, CT 06269 USA
[2] Indian Stat Inst, Statmath Unit, Bangalore 560059, Karnataka, India
[3] Univ British Columbia, Dept Math, Vancouver, BC V6T 1Z2, Canada
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2006年 / 116卷 / 03期
基金：
美国国家科学基金会;
关键词：
semigroups; Holder spaces; perturbations; resolvents; elliptic operators; Ornstein-Uhlenbeck processes; infinite dimensional stochastic differential equations;
D O I：
10.1016/j.spa.2005.10.001
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We consider the operator [GRAPHICS] We prove existence and uniqueness of solutions to the martingale problem for this operator under appropriate conditions on the a(ij),b(i), and lambda(i). The process corresponding to L solves an infinite dimensional stochastic differential equation similar to that for the infinite dimensional Ornstein-Uhlenbeck process. (C) 2005 Elsevier B.V. All rights reserved.
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页码：381 / 406
页数：26
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