All Questions
Tagged with semigroups-of-operators stochastic-calculus
8
questions
6
votes
0
answers
79
views
Error estimates for projection onto the Wiener chaos expansion for stochastic Sobolev spaces (stochastic Rellich–Kondrachov theorem)
Let $n$ be a positive integer, $s\in \mathbb{R}$, $(\Omega,\mathcal{F},(\mathcal{F}_t)_{t\ge 0},\mathbb{P})$ be a filtered probability space whose filtration supports and is generated by an $n$-...
- 5,079
1
vote
0
answers
44
views
How to show a space is an invariant core for a strongly continuous semigroup?
This question comes from a paper 2015(Kolokoltsov) Theorem 4.1.
In the end of the proof i), “Applying to $T_t$ the procedure applied above to $T_t^h$ shows that $T_t$ defines also a strongly ...
- 165
2
votes
1
answer
113
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On a property of resolvents associated with holomorphic semigroups
This question is about semigroup theory.
Let $E$ be a locally compact metric space, and $X=(X_t,t\ge 0;\,P_x,x\in E)$ be a Markov process on $E$. We assume that $X$ is symmetric with respect to $m$, ...
- 701
1
vote
0
answers
91
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Generator of a Hilbert space valued Wiener process from the solution of a martingale problem
Let $H$ be a separable $\mathbb R$-Hilbert space, $Q\in\mathfrak L(U)$ be nonnegative and self-adjoint with $\operatorname{tr}Q<\infty$ and $(W_t)_{t\ge0}$ be a $H$-valued Wiener process on a ...
- 157
4
votes
0
answers
320
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Compactness of semigroups of one-dimensional diffusions
I have a question about semigroups of one-dimensional diffusions.
Let $X$ be the Ornstein-Uhlenbeck process on $\mathbb{R}$. The generator is expresses as
$$\frac{d^2}{dx^2}-x\frac{d}{dx}.$$
It is ...
- 701
1
vote
0
answers
104
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Domain of a reflected stochastic differential equation
I am currently investigating the domain of the infinitesimal generator of a reflected stochastic differential equation (for a smooth and bounded domain) with Lipschitz coefficients. Namely SDEs of the ...
3
votes
1
answer
195
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Markov-semigroup Sobolev inequality
I have a question about the following definition:
A probability measure $\mu$, such that the Markov semigroup $e^{Lt} \in \mathcal{L}(L^2)$ exists and is symmetric, satisfies the Sobolev inequality ...
- 259
6
votes
1
answer
964
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How is Kolmogorov forward equation derived from the theory of semigroup of operators?
In Lamperti's Stochastic Processes, given
a time-homogeneous Markov process $X(t), t\geq 0$ with Markov transition kernel $p_t(x,E)$ and state space being a measurable space $(S, \mathcal{F})$,
a ...
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