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)|
|Number of pages||24|
|Journal||Probability Theory and Related Fields|
|State||Published - Mar 1 1987|
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty