Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1157130 | Stochastic Processes and their Applications | 2006 | 26 Pages |
Abstract
We consider the operatorLf(x)=12∑i,j=1∞aij(x)∂2f∂xi∂xj(x)-∑i=1∞λixibi(x)∂f∂xi(x).We prove existence and uniqueness of solutions to the martingale problem for this operator under appropriate conditions on the aij,biaij,bi, and λiλi. The process corresponding to LL solves an infinite dimensional stochastic differential equation similar to that for the infinite dimensional Ornstein–Uhlenbeck process.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Siva R. Athreya, Richard F. Bass, Maria Gordina, Edwin A. Perkins,