Continuity of $l^2$-Valued Ornstein-Uhlenbeck Processes
Iscoe, I. ; Marcus, M. B. ; McDonald, D. ; Talagrand, M. ; Zinn, J.
Ann. Probab., Tome 18 (1990) no. 4, p. 68-84 / Harvested from Project Euclid
A stationary $l^2$-valued Ornstein-Uhlenbeck process is considered which is given formally by $dX_t = -AX_t dt + \sqrt 2a dB_t$, where $A$ is a positive self-adjoint operator on $l^2, B_t$ is a cylindrical Brownian motion on $l^2$ and $a$ is a positive diagonal operator on $l^2$. A simple criterion is given for the almost-sure continuity of $X_t$ in $l^2$ which is shown to be quite sharp. Furthermore, in certain special cases, we obtain simple necessary and sufficient conditions for the almost-sure continuity of $X_t$ in $l^2$.
Publié le : 1990-01-14
Classification:  Ornstein-Uhlenbeck,  Hilbert space,  continuity,  60H10,  60G15,  60G17
@article{1176990938,
     author = {Iscoe, I. and Marcus, M. B. and McDonald, D. and Talagrand, M. and Zinn, J.},
     title = {Continuity of $l^2$-Valued Ornstein-Uhlenbeck Processes},
     journal = {Ann. Probab.},
     volume = {18},
     number = {4},
     year = {1990},
     pages = { 68-84},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176990938}
}
Iscoe, I.; Marcus, M. B.; McDonald, D.; Talagrand, M.; Zinn, J. Continuity of $l^2$-Valued Ornstein-Uhlenbeck Processes. Ann. Probab., Tome 18 (1990) no. 4, pp.  68-84. http://gdmltest.u-ga.fr/item/1176990938/