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Infinite dimensional stochastic differential equations of Ornstein-Uhlenbeck type

Author

Listed:
  • Athreya, Siva R.
  • Bass, Richard F.
  • Gordina, Maria
  • Perkins, Edwin A.

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.

Suggested Citation

  • Athreya, Siva R. & Bass, Richard F. & Gordina, Maria & Perkins, Edwin A., 2006. "Infinite dimensional stochastic differential equations of Ornstein-Uhlenbeck type," Stochastic Processes and their Applications, Elsevier, vol. 116(3), pages 381-406, March.
    • Handle: RePEc:eee:spapps:v:116:y:2006:i:3:p:381-406
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