Solutions of affine stochastic functional differential equations in the state space

被引:0
|
作者
Markus Riedle
机构
[1] The University of Manchester,School of Mathematics
来源
Journal of Evolution Equations | 2008年 / 8卷
关键词
60H20; 60J35; 47D07; 60G48; 34K50; Stochastic functional differential equation; Stochastic differential equation with infinite delay; Generalized Gaussian Mehler semigroup; Ornstein-Uhlenbeck semigroup; Variation of constants formula;
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摘要
We consider solutions of affine stochastic functional differential equations on \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$${\mathbb{R}}^d$$\end{document}. The drift of these equations is specified by a functional defined on a general function space \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$${\mathcal{B}}$$\end{document} which is only described axiomatically. The solutions are reformulated as stochastic processes in the space \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$${\mathcal{B}}$$\end{document}. By representing such a process in the bidual space of \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$${\mathcal{B}}$$\end{document} we establish that the transition functions of this process form a generalized Gaussian Mehler semigroup on \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$${\mathcal{B}}$$\end{document}. This way the process is characterized completely on \documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$${\mathcal{B}}$$\end{document} since it is Markovian.
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页码:71 / 97
页数:26
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