Infinite dimensional stochastic differential equations of Ornstein-Uhlenbeck type

Siva R. Athreya, Richard F. Bass, Maria Gordina and Edwin A. Perkins

Stochastic Processes and their Applications, 2006, vol. 116, issue 3, 381-406

Abstract: We consider the operatorWe prove existence and uniqueness of solutions to the martingale problem for this operator under appropriate conditions on the aij,bi, and [lambda]i. The process corresponding to solves an infinite dimensional stochastic differential equation similar to that for the infinite dimensional Ornstein-Uhlenbeck process.

Keywords: Semigroups; Holder; spaces; Perturbations; Resolvents; Elliptic; operators; Ornstein-Uhlenbeck; processes; Infinite; dimensional; stochastic; differential; equations (search for similar items in EconPapers)
Date: 2006
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(05)00142-0
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:116:y:2006:i:3:p:381-406

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().