Related papers: Infinite dimensional reflecting Ornstein-Uhlenbeck…

The study of multidimensional stochastic processes involves complex computations in intricate functional spaces. In particular, the diffusion processes, which include the practically important Gauss-Markov processes, are ordinarily defined…

A recurrent theme in functional analysis is the interplay between the theory of positive definite functions, and their reproducing kernels, on the one hand, and Gaussian stochastic processes, on the other. This central theme is motivated by…

We show that the algebra of cylinder functions in the Wasserstein Sobolev space $H^{1,q}(\mathcal{P}_p(X,\mathsf{d}), W_{p, \mathsf{d}}, \mathfrak{m})$ generated by a finite and positive Borel measure $\mathfrak{m}$ on the…

Let $X$ be a separable Hilbert space endowed with a non-degenerate centred Gaussian measure $\gamma$ and let $\lambda_1$ be the maximum eigenvalue of the covariance operator associated with $\gamma$. The associated Cameron--Martin space is…

The Ornstein-Uhlenbeck process is interpreted as Brownian motion in a harmonic potential. This Gaussian Markov process has a bounded variance and admits a stationary probability distribution, in contrast to the standard Brownian motion. It…

We present a class of Gauss-Markov processes which can be represented as space-time scaled stationary Ornstein-Uhlenbeck processes defined on the real line. We give several explicit examples of the representation for certain Gauss bridge…

The generalization of fractional Brownian motion in infinite-dimensional white and grey noise spaces has been recently carried over, following the Mandelbrot-Van Ness representation, through Riemann-Liouville type fractional operators. Our…

For a measure space $\Omega$ we extend the theory of Orlicz spaces generated by an even convex integrand $\varphi \colon \Omega \times X \to \left[ 0, \infty \right]$ to the case when the range Banach space $X$ is arbitrary. Besides…

In the setting of Euclidean space with the Gaussian measure g, we consider all first-order Riesz transforms associated to the infinitesimal generator of the Ornstein-Uhlenbeck semigroup. These operators are known to be bounded on L^p(g),…

An oscillator group $G$ is a semidirect product of a Heisenberg group with a one-parameter group. In this article we construct Olshanski semigroups for infinite-dimensional oscillator groups. These are complex involutive semigroups which…

We derive the path-integral representation of the fractional Ornstein-Uhlenbeck process driven by Riemann-Liouville fractional Gaussian noise, for both the subdiffusive and superdiffusive regimes. We express the corresponding action, which…

We describe the strong dual space $({\mathcal O} (D))^*$ for the space ${\mathcal O} (D)$ of holomorphic functions of several complex variables over a bounded Lipschitz domain $D$ with connected boundary $\partial D$ (as usual, ${\mathcal…

We study bounded holomorphic functional calculus for nonsymmetric infinite dimensional Ornstein-Uhlenbeck operators ${\mathscr L}$. We prove that if $-{\mathscr L}$ generates an analytic semigroup on $L^{2}(\gamma_{\infty})$, then…

In the context of non-Gaussian analysis, Schneider [27] introduced grey noise measures, built upon Mittag-Leffler functions; analogously, grey Brownian motion and its generalizations were constructed (see, for example, [25], [6], [7], [8]).…

Assuming that a reflected Ornstein-Uhlenbeck state process is observed at discrete time instants, we propose generalized moment estimators to estimate all drift and diffusion parameters via the celebrated ergodic theorem. With the sampling…

This monograph is an expanded version of the preprint arXiv:1402.1716 or hal-00943396v1.It is devoted to the dynamics on Sobolev spaces of the cubic Szeg{\"o} equation on the circle ${\mathbb S} ^1$,$$ i\partial \_t u=\Pi (\vert u\vert…

By way of concrete presentations, we construct two infinite-dimensional transforms at the crossroads of Gaussian fields and reproducing kernel Hilbert spaces (RKHS), thus leading to a new infinite-dimensional Fourier transform in a general…

We derive explicit representations for the (Siegmund) dual and the inverse flow of generalized Ornstein-Uhlenbeck processes whenever these exist. It turns out that the dual and the process corresponding to the inverse stochastic flow are…

We review the probabilistic properties of Ornstein-Uhlenbeck processes in Hilbert spaces driven by L\'{e}vy processes. The emphasis is on the different contexts in which these processes arise, such as stochastic partial differential…

We provide three different characterizations of the space $BV(O,\gamma)$ of the functions of bounded variation with respect to a centred non-degenerate Gaussian measure $ \gamma$ on open domains $O$ in Wiener spaces. Throughout these…