English

Symmetric Ornstein-Uhlenbeck Semigroups and their Generators

Probability 2007-05-23 v1 Mathematical Physics math.MP

Abstract

We provide necessary and sufficient conditions for a Hilbert space-valued Ornstein-Uhlenbeck process to be reversible with respect to its invariant measure μ\mu. For a reversible process the domain of its generator in Lp(μ)L^p(\mu ) is characterized in terms of appropriate Sobolev spaces thus extending the Meyer equivalence of norms to any symmetric Ornstein-Uhlenbeck operator. We provide also a formula for the size of the spectral gap of the generator. Those results are applied to study the Ornstein-Uhlenbeck process in a chaotic environment. Necessary and sufficient conditions for a transition semigroup (Rt)(R_t) to be compact, Hilbert-Schmidt and strong Feller are given in terms of the coefficients of the Ornstein-Uhlenbeck operator. We show also that the existence of spectral gap implies a smoothing property of RtR_t and provide an estimate for the (appropriately defined) gradient of RtϕR_t\phi. Finally, in the Hilbert-Schmidt case, we show that for any ϕLp(μ)\phi\in L^p(\mu) the function RtϕR_t\phi is an (almost) classical solution of a version of the Kolmogorov equation.

Keywords

Cite

@article{arxiv.math/0205315,
  title  = {Symmetric Ornstein-Uhlenbeck Semigroups and their Generators},
  author = {A. Chojnowska-Michalik and B. Goldys},
  journal= {arXiv preprint arXiv:math/0205315},
  year   = {2007}
}
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