Lévy-areas of Ornstein-Uhlenbeck processes in Hilbert-spaces
In this paper we investigate the existence and some useful properties of the Lévy areas of Ornstein-Uhlenbeck processes associated to Hilbert-space-valued fractional Brownian-motions with Hurst parameter H ∈ (1/3, 1/2]. We prove that this stochastic area has a Hölder-continuous version with sufficie...
| Autores: | , , , , |
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| Formato: | capítulo de livro |
| Estado: | Versión enviada para evaluación y publicación |
| Fecha de publicación: | 2015 |
| País: | España |
| Recursos: | Universidad de Sevilla (US) |
| Repositorio: | idUS. Depósito de Investigación de la Universidad de Sevilla |
| OAI Identifier: | oai:idus.us.es:11441/48207 |
| Acesso em linha: | http://hdl.handle.net/11441/48207 https://doi.org/10.1007/978-3-319-19075-4_10 |
| Access Level: | acceso abierto |
| Palavra-chave: | Stochastic PDEs Hilbert-valued fractional Brownian motion Pathwise solution |
| Resumo: | In this paper we investigate the existence and some useful properties of the Lévy areas of Ornstein-Uhlenbeck processes associated to Hilbert-space-valued fractional Brownian-motions with Hurst parameter H ∈ (1/3, 1/2]. We prove that this stochastic area has a Hölder-continuous version with sufficiently large Hölder-exponent and that can be approximated by smooth areas. In addition, we prove the stationarity of this area. |
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