All Questions
16 questions
2
votes
1
answer
149
views
On a core for Neumann Laplacian on $C(\overline{D})$
Let $D \subset \mathbb{R}^d$ be a bounded $C^1$ domain. We consider a reflected Brownian motion $X=(\{X_t\}_{t \ge 0},\{P_x\}_{x \in \overline{D}})$ on $\overline{D}$. Let $\{p_t\}_{t>0}$ denote ...
- 721
2
votes
1
answer
404
views
Feynman-Kac formula for lattice heat equation with non-diagonal potential
Suppose that $X$ is the continuous-time simple symmetric random walk on the lattice $\mathbb Z^d$ (i.e., a simple symmetric random walk with i.i.d. exponential jump times), and let
$$u(t,x):=\mathbf E\...
- 891
0
votes
0
answers
153
views
Equivalent Definitions of Gaussian Process?
The Gaussian process $\{X_t\}_{t \in T}$ ($T=[0,1]$ for example) is usually defined using its finite-dimensional distribution. I came across this statement many times: linear operator (not necessarily ...
- 103
1
vote
0
answers
127
views
Gradient bound for the Markov semigroup generated by the solution to an Langevin SDE
Let
$h\in C^2(\mathbb R)$ with $$h''\ge\rho\tag1$$ for some $\rho>0$ and $$\int\underbrace{e^{-h}}_{=:\:\varrho}\:{\rm d}\lambda=1$$
$\mu$ be the measure with density $\varrho$ with respect to the ...
- 167
2
votes
1
answer
264
views
Bounded-pointwise continuity of Markov operators / semigroups
Let $B_b(E)$ be the space of bounded measurable functions on some Polish space $E$ endowed with the supremum norm. It seems quite classical that Markov semigroups $P_t:B_b(E)\to B_b(E)$ are in one to ...
- 59
1
vote
0
answers
134
views
Operator-valued stochastic integral and quadratic variation for operator-valued processes
Let $U$ be a separable $\mathbb R$-Hilbert space and $W$ be a $Q$-Wiener process on a complete and right-continuous filtered probability space. Let $H$ be a separable $\mathbb R$-Hilbert space and $X$ ...
- 167
1
vote
1
answer
175
views
Stochastic operator on $\ell^1$ has dense range
Let $P:\ell^1(\mathbb{Z}^d) \rightarrow \ell^1(\mathbb{Z}^d)$
be given by
$$(Pz)(x)=\sum_{y \tilde \ x} \frac{1}{2d} z(y)$$
where the tilde indicates that $y$ is a neighboured vertex of $x.$
I ...
- 329
1
vote
0
answers
159
views
Construction of the quadratic variation process in infinite dimensions
Let
$H$ be a separable $\mathbb R$-Hilbert space
$(e_n)_{n\in\mathbb N}$ be an orthonormal basis of $H$
$(\Omega,\mathcal A,\operatorname P)$ be a probability space
$(\mathcal F_t)_{t\ge0}$ be a ...
- 167
1
vote
0
answers
87
views
Linear evolution equation $u'(t)=A(t,\omega)u(t)$ with time-dependent random operator
I have had some previous knowledge on evolution equations in a Banach space of the form $$u'(t)=Au(t),$$ where $A$ generates some strongly continuous operator semigroup. Now I am looking at a problem ...
- 151
3
votes
0
answers
231
views
I've found a representation of the Itō-Stratonovich correction term and don't understand the used notion of a "trace"
Consider a Stratonovich SPDE $$X_t=X_0+\int_0^tb(s,X_s)\:{\rm d}s+\int_0^t\sigma(s,X_s)\circ{\rm d}W_s\tag 1$$ in a separable $\mathbb R$-Hilbert space $H$ with $W$ being a $Q$-Wiener process on a ...
- 167
1
vote
1
answer
223
views
Stochastic integral is a continous or closed operator?
The Setup
Let $\xi_t$ be a process adapted to the filtration $\mathfrak{F_t}$ of the semi-martinagale $X_t$, such that both are square integrable. Then is the map
\begin{align}
F_T: L^2(\mathfrak{...
- 5,405
3
votes
1
answer
439
views
Strong continuity of the Ornstein-Uhlenbeck operator
It's well known that the Ornstein-Uhlenbeck semigroup defined by
$$
P_tf(x)=\int_{\mathbb{R}}f\left(xe^{-t}+\sqrt{1-e^{-2t}}z\right)\frac{e^{-z^2/2}}{\sqrt{2\pi}}\,dz
$$
is not strongly continuous on ...
- 617
2
votes
0
answers
86
views
I have an embedding $\iota$ between two Hilbert spaces and want to know if $\iota\iota^\ast$ is something simple like an orthogonal projection
I'm reading A Concise Course on Stochastic Partial Differential Equations. In Proposition 2.5.2 the authors define the notion of a cylindrical $Q$-Wiener process $W$. It turns out that $W$ is just a $...
user74319
6
votes
0
answers
774
views
Relationship between the Itō formula for a Q-Wiener process and the Itō formula for a cylindrical Wiener process. A question on the trace term
Remark: Even when this question is about stochastic PDEs, it can be answered by someone who has no knowledge about probability theory or PDEs.
I'm reading Stochastic Differential Equations in ...
- 167
2
votes
0
answers
116
views
Factorization of the Fokker-Planck semigroup
I have posted this question on stackexchange over four month ago, but didn't get an answer: "In the classical theory of Markov processes, the Fokker-Planck semigroup $\{T_t:t\ge 0\}$ can be factored ...
4
votes
0
answers
1k
views
The spectrum of a Markov Operator and Invariant Measures
Suppose I have a discrete-time Markov Chain (in an infinite dimensional state space $\Omega$) with Markov operator $P$, a linear operator on the space of bounded measurable functions on $\Omega$. (Or ...
- 509