Infinite dimensional stochastic differential equations of Ornstein-Uhlenbeck type

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dc.creatorAthreya, Siva R.
dc.creatorBass, Richard F.
dc.creatorGordina, Maria
dc.creatorPerkins, Edwin A.
dc.date2005-03-08
dc.date.accessioned2026-07-07T05:17:48Z
dc.date.available2026-07-07T05:17:48Z
dc.descriptionWe consider the operator $$\sL f(x)=\tfrac12 \sum_{i,j=1}^\infty a_{ij}(x)\frac{\del^2 f}{\del x_i \del x_j}(x)-\sum_{i=1}^\infty \lam_i x_i b_i(x) \frac{\del f}{\del x_i}(x).$$ We prove existence and uniqueness of solutions to the martingale problem for this operator under appropriate conditions on the $a_{ij}, b_i$, and $\lam_i$. The process corresponding to $\sL$ solves an infinite dimensional stochastic differential equation similar to that for the infinite dimensional Ornstein-Uhlenbeck process.
dc.identifierhttps://arxiv.org/abs/math/0503165
dc.identifierhttp://arxiv.org/abs/math/0503165
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/74438
dc.subjectProbability
dc.subject60H10
dc.titleInfinite dimensional stochastic differential equations of Ornstein-Uhlenbeck type
dc.typetext

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