Infinite dimensional stochastic differential equations of Ornstein-Uhlenbeck type
Probability
2007-05-23 v1
Abstract
We consider the operator We prove existence and uniqueness of solutions to the martingale problem for this operator under appropriate conditions on the , and . The process corresponding to solves an infinite dimensional stochastic differential equation similar to that for the infinite dimensional Ornstein-Uhlenbeck process.
Keywords
Cite
@article{arxiv.math/0503165,
title = {Infinite dimensional stochastic differential equations of Ornstein-Uhlenbeck type},
author = {Siva R. Athreya and Richard F. Bass and Maria Gordina and Edwin A. Perkins},
journal= {arXiv preprint arXiv:math/0503165},
year = {2007}
}