Eigenfunction expansions for infinite dimensional Ornstein-Uhlenbeck processes

Anestis Antoniadis; Rene A. Carmona

doi:10.1007/BF01845638

Eigenfunction expansions for infinite dimensional Ornstein-Uhlenbeck processes

Anestis Antoniadis, Rene A. Carmona

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13 Scopus citations

Abstract

We give a general construction of infinite dimensional Ornstein-Uhlenbeck processes. We present expansions of these processes based on the expansion of the covariance operators in generalized eigenfunctions, and we answer positively some question left open by J.B. Walsh on properties of the hitting times of these processes.

Original language	English (US)
Pages (from-to)	31-54
Number of pages	24
Journal	Probability Theory and Related Fields
Volume	74
Issue number	1
DOIs	https://doi.org/10.1007/BF01845638
State	Published - Mar 1987

All Science Journal Classification (ASJC) codes

Analysis
Statistics and Probability
Statistics, Probability and Uncertainty

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abstract = "We give a general construction of infinite dimensional Ornstein-Uhlenbeck processes. We present expansions of these processes based on the expansion of the covariance operators in generalized eigenfunctions, and we answer positively some question left open by J.B. Walsh on properties of the hitting times of these processes.",

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Eigenfunction expansions for infinite dimensional Ornstein-Uhlenbeck processes

Abstract

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