Athreya, Siva R. ; Bassb, Richard F. ; Gordinab, Maria ; Perkinsc, Edwin A. (2006) Infinite dimensional stochastic differential equations of Ornstein-Uhlenbeck type Stochastic Processes and their Applications, 116 (3). pp. 381-406. ISSN 0304-4149
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Official URL: http://www.sciencedirect.com/science/article/pii/S...
Related URL: http://dx.doi.org/10.1016/j.spa.2005.10.001
Abstract
We consider the operator Equation omitted. We prove existence and uniqueness of solutions to the martingale problem for this operator under appropriate conditions on the aij, bi, and λi. The process corresponding to L solves an infinite dimensional stochastic differential equation similar to that for the infinite dimensional Ornstein–Uhlenbeck process.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Elsevier Science. |
| Keywords: | Semigroups; Holder Spaces; Perturbations; Resolvents; Elliptic Operators; Ornstein–Uhlenbeck Processes; Infinite Dimensional Stochastic Differential Equations |
| ID Code: | 100335 |
| Deposited On: | 12 Feb 2018 12:16 |
| Last Modified: | 12 Feb 2018 12:16 |
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