English

Infinite dimensional stochastic differential equations of Ornstein-Uhlenbeck type

Probability 2007-05-23 v1

Abstract

We consider the operator \sLf(x)=12i,j=1aij(x)\del2f\delxi\delxj(x)i=1\lamixibi(x)\delf\delxi(x).\sL f(x)=\tfrac12 \sum_{i,j=1}^\infty a_{ij}(x)\frac{\del^2 f}{\del x_i \del x_j}(x)-\sum_{i=1}^\infty \lam_i x_i b_i(x) \frac{\del f}{\del x_i}(x). We prove existence and uniqueness of solutions to the martingale problem for this operator under appropriate conditions on the aij,bia_{ij}, b_i, and \lami\lam_i. The process corresponding to \sL\sL 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}
}