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On the Infinitesimal Generators of Ornstein–Uhlenbeck Processes with Jumps in Hilbert Space

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Abstract

We study Hilbert space valued Ornstein–Uhlenbeck processes (Y(t), t ≥ 0) which arise as weak solutions of stochastic differential equations of the type dY = JY + CdX(t) where J generates a C 0 semigroup in the Hilbert space H, C is a bounded operator and (X(t), t ≥ 0) is an H-valued Lévy process. The associated Markov semigroup is of generalised Mehler type. We discuss an analogue of the Feller property for this semigroup and explicitly compute the action of its generator on a suitable space of twice-differentiable functions. We also compare the properties of the semigroup and its generator with respect to the mixed topology and the topology of uniform convergence on compacta.

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  1. Probability and Statistics Department, University of Sheffield, Hicks Building, Hounsfield Road, Sheffield, S3 7RH, England

    David Applebaum

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Applebaum, D. On the Infinitesimal Generators of Ornstein–Uhlenbeck Processes with Jumps in Hilbert Space. Potential Anal 26, 79–100 (2007). https://doi.org/10.1007/s11118-006-9028-y

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