The structure of entrance laws for time-inhomogeneous Ornstein-Uhlenbeck processes with Levy noise in Hilbert spaces
文献类型：期刊论文
| 作者 | Majid, Narges Rezvani2; Roeckner, Michael1,2 |
| 刊名 | INFINITE DIMENSIONAL ANALYSIS QUANTUM PROBABILITY AND RELATED TOPICS
 |
| 出版日期 | 2021-06-01 |
| 卷号 | 24期号:02页码:23 |
| 关键词 | Entrance laws evolution system of measures Ornstein Uhlenbeck processes Levy processes integral representations |
| ISSN号 | 0219-0257 |
| DOI | 10.1142/S0219025721500119 |
| 英文摘要 | This paper is about the structure of all entrance laws (in the sense of Dynkin) for time-inhomogeneous Ornstein-Uhlenbeck processes with Levy noise in Hilbert state spaces. We identify the extremal entrance laws with finite weak first moments through an explicit formula for their Fourier transforms, generalizing corresponding results by Dynkin for Wiener noise and nuclear state spaces. We then prove that an arbitrary entrance law with finite weak first moments can be uniquely represented as an integral over extremals. It is proved that this can be derived from Dynkin's seminal work "Sufficient statistics and extreme points" in Ann. Probab. 1978, which contains a purely measure theoretic generalization of the classical analytic Krein-Milman and Choquet Theorems. As an application, we obtain an easy uniqueness proof for T-periodic entrance laws in the general periodic case. A number of further applications to concrete cases are presented. |
| 资助项目 | DFG[SFB-701] |
| WOS研究方向 | Mathematics ; Physics |
| 语种 | 英语 |
| WOS记录号 | WOS:000677513500004 |
| 出版者 | WORLD SCIENTIFIC PUBL CO PTE LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/59002]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Roeckner, Michael |
| 作者单位 | 1.Chinese Acad Sci, AMSS, Beijing, Peoples R China 2.Bielefeld Univ, Bielefeld, Germany |
| 推荐引用方式 GB/T 7714 | Majid, Narges Rezvani,Roeckner, Michael. The structure of entrance laws for time-inhomogeneous Ornstein-Uhlenbeck processes with Levy noise in Hilbert spaces[J]. INFINITE DIMENSIONAL ANALYSIS QUANTUM PROBABILITY AND RELATED TOPICS,2021,24(02):23. |
| APA | Majid, Narges Rezvani,&Roeckner, Michael.(2021).The structure of entrance laws for time-inhomogeneous Ornstein-Uhlenbeck processes with Levy noise in Hilbert spaces.INFINITE DIMENSIONAL ANALYSIS QUANTUM PROBABILITY AND RELATED TOPICS,24(02),23. |
| MLA | Majid, Narges Rezvani,et al."The structure of entrance laws for time-inhomogeneous Ornstein-Uhlenbeck processes with Levy noise in Hilbert spaces".INFINITE DIMENSIONAL ANALYSIS QUANTUM PROBABILITY AND RELATED TOPICS 24.02(2021):23. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。