Infinite dimensional stochastic differential equations of Ornstein-Uhlenbeck type

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.

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Year of publication:	2006
Authors:	Athreya, Siva R. ; Bass, Richard F. ; Gordina, Maria ; Perkins, Edwin A.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 116.2006, 3, p. 381-406
Publisher:	Elsevier
Keywords:	Semigroups Holder spaces Perturbations Resolvents Elliptic operators Ornstein-Uhlenbeck processes Infinite dimensional stochastic differential equations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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