Infinite Dimensional Ornstein-Uhlenbeck Processes Driven by Levy Processes
Abstract
We review the probabilistic properties of Ornstein-Uhlenbeck processes in Hilbert spaces driven by L\'evy processes. The emphasis is on the different contexts in which these processes arise, such as stochastic partial differential equations, continuous-state branching processes, generalised Mehler semigroups and operator self-decomposable distributions. We also examine generalisations to the case where the driving noise is cylindrical.
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