Symmetric Ornstein-Uhlenbeck Semigroups and their Generators
Abstract
We provide necessary and sufficient conditions for a Hilbert space-valued Ornstein-Uhlenbeck process to be reversible with respect to its invariant measure . For a reversible process the domain of its generator in 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 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 and provide an estimate for the (appropriately defined) gradient of . Finally, in the Hilbert-Schmidt case, we show that for any the function is an (almost) classical solution of a version of the Kolmogorov equation.
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}
}