A NOTE ON THE NONSYMMETRIC ORNSTEIN-UHLENBECK PROCESS IN HILBERT-SPACES

Authors
FUHRMAN M
Citation
M. Fuhrman, A NOTE ON THE NONSYMMETRIC ORNSTEIN-UHLENBECK PROCESS IN HILBERT-SPACES, Applied mathematics letters, 8(3), 1995, pp. 19-22
Citations number
7
Categorie Soggetti
Mathematics,Mathematics
Journal title
Applied mathematics letters → ACNP
ISSN journal
08939659
Volume
8
Issue
3
Year of publication
1995
Pages
19 - 22
Database
ISI
SICI code
0893-9659(1995)8:3<19:ANOTNO>2.0.ZU;2-O
Abstract
We prove smoothness of densities and regularizing properties of semigr oups associated to an Ornstein-Uhlenbeck process in a Hilbert space. T he process has nonsymmetric linear drift and a unique invariant measur e. As our main tool, we use formulae for the density of two equivalent Gaussian measures on a Hilbert space.