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Infinite dimensional Ornstein-Uhlenbeck processes with unbounded diffusion: Approximation, quadratic variation, and Itô formulaPrimeFaces.cw("AccordionPanel","widget_formSmash_some",{id:"formSmash:some",widgetVar:"widget_formSmash_some",multiple:true}); PrimeFaces.cw("AccordionPanel","widget_formSmash_all",{id:"formSmash:all",widgetVar:"widget_formSmash_all",multiple:true});
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PrimeFaces.cw("AccordionPanel","widget_formSmash_responsibleOrgs",{id:"formSmash:responsibleOrgs",widgetVar:"widget_formSmash_responsibleOrgs",multiple:true}); 2016 (English)In: Mathematische Nachrichten, ISSN 0025-584X, E-ISSN 1522-2616, Vol. 289, no 17-18, 2192-2222 p.Article in journal (Refereed) Published
##### Abstract [en]

##### Place, publisher, year, edition, pages

Wiley-VCH Verlagsgesellschaft, 2016. Vol. 289, no 17-18, 2192-2222 p.
##### Keyword [en]

Infinite dimensional Ornstein-Uhlenbeck process, quadratic variation, Itô formula, weak approximation
##### National Category

Mathematics
##### Identifiers

URN: urn:nbn:se:liu:diva-122181DOI: 10.1002/mana.201500146ISI: 000389128100008OAI: oai:DiVA.org:liu-122181DiVA: diva2:862728
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##### Note

##### In thesis

The paper studies a class of Ornstein-Uhlenbeck processes on the classical Wiener space. These processes are associated with a diffusion type Dirichlet form whose corresponding diffusion operator is unbounded in the Cameron- Martin space. It is shown that the distributions of certain finite dimensional Ornstein-Uhlenbeck processes converge weakly to the distribution of such an infinite dimensional Ornstein-Uhlenbeck process. For the infinite dimensional processes, the ordinary scalar quadratic variation is calculated. Moreover, relative to the stochastic calculus via regularization, the scalar as well as the tensor quadratic variation are derived. A related Itô formula is presented.

At the time for thesis presentation publication was in status: *Manuscript*.

1. A class of infinite dimensional stochastic processes with unbounded diffusion and its associated Dirichlet forms$(function(){PrimeFaces.cw("OverlayPanel","overlay857512",{id:"formSmash:j_idt710:0:j_idt714",widgetVar:"overlay857512",target:"formSmash:j_idt710:0:parentLink",showEvent:"mousedown",hideEvent:"mousedown",showEffect:"blind",hideEffect:"fade",appendToBody:true});});

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