Ornstein–Uhlenbeck equations with time-dependent coefficients and Lévy noise in finite and infinite dimensions
- First Online:
- Cite this article as:
- Knäble, F. J. Evol. Equ. (2011) 11: 959. doi:10.1007/s00028-011-0120-4
- 129 Downloads
We solve a time-dependent linear SPDE with additive Lévy noise in the mild and weak sense. Existence of a generalized invariant measure for the associated transition semigroup is established and the generator is studied on the corresponding L2-space. The square field operator is characterized, allowing to derive a Poincaré and a Harnack inequality.