Ornstein-Uhlenbeck Equations with time-dependent coefficients and Levy Noise in finite and infinite dimensions

Details Ornstein-Uhlenbeck Equations with time-dependent coefficients and Levy Noise in finite and infinite dimensions Ornstein-Uhlenbeck Equations with time-dependent coefficients and Levy Noise in finite and infinite dimensions

2009-01-19

arxiv.org/abs/0901.2887v1

Mathematics

Probability

32 pages

Scientific paper

We solve a time-dependent linear SPDE with additive Levy noise in the mild
and weak sense. Existence of a generalized invariant measure for the associated
transition semigroup is established and the generator is characterized on the
corresponding L^2-space. The square field operator is calculated, allowing to
derive a Poincare and a Harnack inequality.

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