In this paper, we study an extension problem for the Ornstein-Uhlenbeck operator $L=-Δ+2x\cdot\nabla +n$ and we obtain various characterisations of the solution of the same. We use a particular solution of that extension problem to prove a trace Hardy inequality for $L$ from which Hardy's inequality for fractional powers of $L$ is obtained. We also prove an isometry property of the solution operator associated to the extension problem. Moreover, new $L^p-L^q$ estimates are obtained for the fractional powers of the Hermite operator.
In this paper we are going to get the non tangential convergence, in an appropriated parabolic "gaussian cone", of the Ornstein-Uhlenbeck semigroup in providing two proofs of this fact. One is a direct proof by using the truncated non tangential maximal function associated. The second one is obtained by using a general statement. This second proof also allows us to get a similar result for the Poisson-Hermite semigroup.
This paper presents a closed-form expression for the integral kernels associated with the derivatives of the Ornstein-Uhlenbeck semigroup $e^{tL}$. Our approach is to expand the Mehler kernel into Hermite polynomials and applying the powers $L^N$ of the Ornstein-Uhlenbeck operator to it, where we exploit the fact that the Hermite polynomials are eigenfunctions for $L$. As an application we give an alternative proof of the kernel estimates by Portal [2014], making all relevant quantities explicit.
In this note we consider the maximal function for the generalized Ornstein-Uhlenbeck semigroup in $\RR$ associated with the generalized Hermite polynomials $\{H_n^μ\}$ and prove that it is weak type (1,1) with respect to $dλ_μ(x) = |x|^{2μ}e^{-|x|^2} dx,$ for $μ>-1/2$ as well as bounded on $L^p(dλ_μ) $ for $p>1$
This is a survey paper about Ornstein-Uhlenbeck semigroups in infinite dimension, and their generators. We start from the classical Ornstein-Uhlenbeck semigroup in Wiener spaces and then discuss the general case in Hilbert spaces. Finally, we present some results for O-U semigroups in Banach spaces.
We prove Schauder type estimates for stationary and evolution equations driven by the classical Ornstein-Uhlenbeck operator in a separable Banach space, endowed with a centered Gaussian measure.
We obtain explicit mean value formulas for the solutions of the diffusion equations associated with the Ornstein-Uhlenbeck and Hermite operators. From these, we derive various useful properties, such as maximum principles, uniqueness theorems and Harnack-type inequalities.
In this paper, we study Ornstein-Uhlenbeck operators with quadratic potentials. We use Hamiltonian formalism to characterise the singularities produced by the potentials by finding explicit geodesics of the operators, and obtain the heat kernels via a probabilistic ansatz. All the formulae are closed.
We characterize the domain of the realization of the linear parabolic operator Gu := u_t + L(t)u (where, for each real t, L(t) is an Ornstein-Uhlenbeck operator), in L^2 spaces with respect to a suitable measure, that is invariant for the associated evolution semigroup. As a byproduct, we obtain optimal L^2 regularity results for evolution equations with time-depending Ornstein-Uhlenbeck operators.
We study the Ornstein-Uhlenbeck operator and the Ornstein-Uhlenbeck semigroup in an open convex subset of an infinite dimensional separable Banach space $X$. This is done by finite dimensional approximation. In particular we prove Logarithmic-Sobolev and Poincaré inequalities, and thanks to these inequalities we deduce the spectral properties of the Ornstein-Uhlenbeck operator.
In this paper we investigate a class of nonautonomous linear parabolic problems with time depending Ornstein-Uhlenbeck operators. We study the asymptotic behavior of the associated evolution operator and evolution semigroup in the periodic and non-periodic situation. Moreover, we show that the associated evolution operator is hypercontractive.
We consider the nonautonomous Ornstein-Uhlenbeck operator in some weighted spaces of continuous functions in $\R^N$. We prove sharp uniform estimates for the spatial derivatives of the associated evolution operator $\OU$, which we use to prove optimal Schauder estimates for the solution to some nonhomogeneous parabolic Cauchy problems associated with the Ornstein-Uhlenbeck operator. We also prove that, for any $t>s$, the evolution operator $P_{s,t}$ is compact in the previous weighted spaces.
We study semigroups generated by general fractional Ornstein-Uhlenbeck operators acting on $L2(\mathbb R^n)$. We characterize geometrically the partial Gevrey-type smoothing properties of these semigroups and we sharply describe the blow-up of the associated seminorms for short times, generalizing the hypoelliptic and the quadratic cases. As a byproduct of this study, we establish partial subelliptic estimates enjoyed by fractional Ornstein-Uhlenbeck operators on the whole space by using interpolation theory.
We investigate the effect of memory terms on the entropy decay of the solutions to equations with Ornstein-Uhlenbeck operators. Our assumptions on the memory kernels include Caputo-Fabrizio operators and, more generally, the stretched exponential functions. We establish a sharp rate decay for the entropy. Examples and numerical simulations are also given to illustrate the results.
We study degenerate hypoelliptic Ornstein-Uhlenbeck operators in $L^2$ spaces with respect to invariant measures. The purpose of this article is to show how recent results on general quadratic operators apply to the study of degenerate hypoelliptic Ornstein-Uhlenbeck operators. We first show that some known results about the spectral and subelliptic properties of Ornstein-Uhlenbeck operators may be directly recovered from the general analysis of quadratic operators with zero singular spaces. We also provide new resolvent estimates for hypoelliptic Ornstein-Uhlenbeck operators. We show in parti…
We prove sharp bounds for the growth rate of eigenfunctions of the Ornstein-Uhlenbeck operator and its natural generalizations. The bounds are sharp even up to lower order terms and have important applications to geometric flows.
We give necessary and sufficient conditions for the existence of weak solutions of a parabolic problem corresponding to the Kolmogorov operators perturbed by a multipolar inverse square potential with respect to the Gaussian probability measure which is the unique invariant measure for Ornstein-Uhlenbeck type operators. We state the optimality of the constant and, then, the nonexistence of positive exponentially bounded solutions to the parabolic problem.
In this paper we revisit the mild-solution approach to second-order semi-linear PDEs of Hamilton-Jacobi type in infinite-dimensional spaces. We show that a well-known result on existence of mild solutions in Hilbert spaces can be easily extended to non-autonomous Hamilton-Jacobi equations in Banach spaces. The main tool is the regularizing property of Ornstein-Uhlenbeck transition evolution operators for stochastic Cauchy problems in Banach spaces with time-dependent coefficients
We study a generalized curvature dimension inequality which is suitable for subelliptic Ornstein-Uhlenbeck type operators and deduce convergence to equilibrium in the $L^2$ and entropic sense. The main difficulty is that the operators we consider may not be symmetric. Our results apply in particular to Ornstein-Uhlenbeck operators on two-step Carnot groups.
In 1978 E. De Giorgi formulated a conjecture concerning the one-dimensional symmetry of bounded solutions to the elliptic equation Δu=F'(u), which are monotone in some direction. In this paper we prove the analogous statement for the equation Δu - <x, Du> =F'(u), where the Laplacian is replaced by the Ornstein-Uhlenbeck operator. Our theorem holds without any restriction on the dimension of the ambient space, and this allows us to obtain an similar result in infinite dimensions by a limit procedure.
We study fractional hypoelliptic Ornstein-Uhlenbeck operators acting on $L^2(\mathbb{R}^n)$ satisfying the Kalman rank condition. We prove that the semigroups generated by these operators enjoy Gevrey regularizing effects. Two byproducts are derived from this smoothing property. On the one hand, we prove the null-controllability in any positive time from thick control subsets of the associated parabolic equations posed on the whole space. On the other hand, by using interpolation theory, we get global $L^2$ subelliptic estimates for the these operators.
We prove first existence of a classical solution to a class of parabolic problems with unbounded coefficients on metric star graphs subject to Kirchhoff-type conditions. The result is applied to the Ornstein--Uhlenbeck and the harmonic oscillator operators on metric star graphs. We give an explicit formula for the associated Ornstein--Uhlenbeck semigroup and give the unique associated invariant measure. We show that this semigroup inherits the regularity properties of the classical Ornstein--Uhlenbeck semigroup on $\mathbb R$.
The question of triviality of solutions of the semilinear Ornstein-Uhlenbeck equation, \[ Δw-\frac{1}{2} \langle x,\nabla w\rangle-\fracλ{p-1}w+|w|^{p-1}w=0, \] is considered. It is shown, that if $p>1$ is Sobolev subcritical or critical and $λ\leq 1$, then all bounded entire solutions are constant. Moreover, in the critical case, the same conclusion holds in the subclass of radial solutions provided that $n\geq 4$ and $λ\in \left[\frac{3 n}{2(n-1)},2\right]$.
In this paper, we consider non-autonomous Ornstein-Uhlenbeck operators in smooth exterior domains $Ω\subset \R^d$ subject to Dirichlet boundary conditions. Under suitable assumptions on the coefficients, the solution of the corresponding non-autonomous parabolic Cauchy problem is governed by an evolution system $\{P_Ω(t,s)\}_{0\leq s\leq t}$ on $L^p(Ω)$ for $1< p < \infty$. Furthermore, $L^p$-estimates for spatial derivatives and $L^p$-$L^q$ smoothing properties of $P_Ω(t,s)$, $0\leq s\leq t$, are obtained.
We prove $L^p$-parabolic a-priori estimates for $\partial_t u + \sum_{i,j=1}^d c_{ij}(t)\partial_{x_i x_j}^2 u = f $ on $R^{d+1}$ when the coefficients $c_{ij}$ are locally bounded functions on $R$. We slightly generalize the usual parabolicity assumption and show that still $L^p$-estimates hold for the second spatial derivatives of $u$. We also investigate the dependence of the constant appearing in such estimates from the parabolicity constant. Finally we extend our estimates to parabolic equations involving non-degenerate Ornstein-Uhlenbeck type operators.
We study the elliptic equation $λu-L^Ωu=f$ in an open convex subset $Ω$ of an infinite dimensional separable Banach space $X$ endowed with a centered non-degenerate Gaussian measure $γ$, where $L^Ω$ is the Ornstein-Uhlenbeck operator. We prove that for $λ>0$ and $f\in L^2(Ω,γ)$ the weak solution $u$ belongs to the Sobolev space $W^{2,2}(Ω,γ)$. Moreover we prove that $u$ satisfies the Neumann boundary condition in the sense of traces at the boundary of $Ω$. This is done by finite dimensional approximation.
We consider an Ornstein-Uhlenbeck process with values in R^n driven by a Lévy process (Z_t) taking values in R^d with d possibly smaller than n. The Lévy noise can have a degenerate or even vanishing Gaussian component. Under a controllability condition and an assumption on the Lévy measure of (Z_t), we prove that the law of the Ornstein-Uhlenbeck process at any time t>0 has a density on R^n. Moreover, when the Lévy process is of $α$-stable type, $α\in (0,2)$, we show that such density is a $C^{\infty}$-function.
The paper is concerned with the properties of solutions to linear evolution equation perturbed by cylindrical Lévy processes. It turns out that solutions, under rather weak requirements, do not have càdlàg modification. Some natural open questions are also stated.
We present some new results on analytic Ornstein-Uhlenbeck semigroups and use them to extend recent work of Da Prato and Lunardi for Ornstein-Uhlenbeck semigroups on open domains O to the non-symmetric case. Denoting the generator of the semigroup by L_O, we obtain sufficient conditions in order that the domain Dom(\sqrt{-L_O}) be a first order Sobolev space.
We consider Ornstein-Uhlenbeck operators perturbed by a radial potential. Under weak assumptions we prove a spectral mapping theorem for the generated semigroup. The proof relies on a perturbative construction of the resolvent, based on angular separation, and the Gearhart-Prüß Theorem.
In this paper, we study the valuation of American type derivatives in the stochastic volatility model of Barndorff-Nielsen and Shephard (2001). We characterize the value of such derivatives as the unique viscosity solution of an integral-partial differential equation when the payoff function satisfies a Lipschitz condition.
This article analyzes well-definedness and regularity of renormalized powers of Ornstein-Uhlenbeck processes and uses this analysis to establish local existence, uniqueness and regularity of strong solutions of stochastic Ginzburg-Landau equations with polynomial nonlinearities in two space dimensions and with quadratic nonlinearities in three space dimensions.
We prove an extension theorem for a small perturbation of the Ornstein-Uhlenbeck operator $(L,D(L))$ in the space of all uniformly continuous and bounded functions $f:H\to \Rset$, where $H$ is a separable Hilbert space. We consider a perturbation of the form $N_0ϕ=Lϕ+< Dϕ,F>$ where $F:H\to H$ is bounded and Fréchet differentiable with uniformly continuous and bounded differential. Hence, we prove that $N_0$ is $m$-dissipative and its closure in $C_b(H)$ coincides with the infinitesimal generator of a diffusion semigroup associated to a stochastic differential equation in $H$.
