Abstract:
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.

Abstract:
For an arbitrary Hilbert space-valued Ornstein-Uhlenbeck process we construct the Ornstein-Uhlenbeck Bridge connecting a starting point $x$ and an endpoint $y$ that belongs to a certain linear subspace of full measure. We derive also a stochastic evolution equation satisfied by the OU Bridge and study its basic properties. The OU Bridge is then used to investigate the Markov transition semigroup associated to a nonlinear stochastic evolution equation with additive noise. We provide an explicit formula for the transition density and study its regularity. Given the Strong Feller property and the existence of an invariant measure we show that the transition semigroup maps $L^p$ functions into continuous functions. We also show that transition operators are $q$-summing for some $q>p>1$, in particular of Hilbert-Schmidt type.

Abstract:
Let $E$ be a real Banach space. We study the Ornstein-Uhlenbeck semigroup $P(t)$ associated with the Ornstein-Uhlenbeck operator $$ Lf(x) = \frac12 {\rm Tr} Q D^2 f(x) + .$$ Here $Q$ is a positive symmetric operator from $E^*$ to $E$ and $A$ is the generator of a $C_0$-semigroup $S(t)$ on $E$. Under the assumption that $P$ admits an invariant measure $\mu$ we prove that if $S$ is eventually compact and the spectrum of its generator is nonempty, then $$\n P(t)-P(s)\n_{L^1(E,\mu)} = 2$$ for all $t,s\ge 0$ with $t\not=s$. This result is new even when $E = \R^n$. We also study the behaviour of $P$ in the space $BUC(E)$. We show that if $A\not=0$ there exists $t_0>0$ such that $$\n P(t)-P(s)\n_{BUC(E)} = 2$$ for all $0\le t,s\le t_0$ with $t\not=s$. Moreover, under a nondegeneracy assumption or a strong Feller assumption, the following dichotomy holds: either $$ \n P(t)- P(s)\n_{BUC(E)} = 2$$ for all $t,s\ge 0$, \ $t\not=s$, or $S$ is the direct sum of a nilpotent semigroup and a finite-dimensional periodic semigroup. Finally we investigate the spectrum of $L$ in the spaces $L^1(E,\mu)$ and $BUC(E)$.

Abstract:
Let (H_t) be the Ornstein-Uhlenbeck semigroup on R^d with covariance matrix I and drift matrix \lambda(R-I), where \lambda>0 and R is a skew-adjoint matrix and denote by \gamma_\infty the invariant measure for (H_t). Semigroups of this form are the basic building blocks of Ornstein-Uhlenbeck semigroups which are normal on L^2(\gamma_\infty). We prove that if the matrix R generates a one-parameter group of periodic rotations then the maximal operator associated to the semigroup is of weak type 1 with respect to the invariant measure. We also prove that the maximal operator associated to an arbitrary normal Ornstein-Uhlenbeck semigroup is bounded on L^p(\gamma_\infty) if and only if 1

Abstract:
It is proved that a general non-differentiable skew convolution semigroup associated with a strongly continuous semigroup of linear operators on a real separable Hilbert space can be extended to a differentiable one on the entrance space of the linear semigroup. A cadlag strong Markov process on an enlargement of the entrance space is constructed from which we obtain a realization of the corresponding Ornstein-Uhlenbeck process. Some explicit characterizations of the entrance spaces for special linear semigroups are given.

Abstract:
In this paper, we calculate the Jordan decomposition (or say, the Jordan canonical form) for a class of non-symmetric Ornstein-Uhlenbeck operators with the drift coefficient matrix being a Jordan block and the diffusion coefficient matrix being identity multiplying a constant. For the 2-dimensional case, we present all the general eigenfunctions by the induction. For the 3-dimensional case, we divide the calculating of the Jordan decomposition into several steps (the key step is to do the canonical projection onto the homogeneous Hermite polynomials, next we use the theory of systems of linear equations). As a by-pass product, we get the geometric multiplicity of the eigenvalue of the Ornstein-Uhlenbeck operator.

Abstract:
The Harnack inequality established in [13] for generalized Mehler semigroup is improved and generalized. As applications, the log-Harnack inequality, the strong Feller property, the hyper-bounded property, and some heat kernel inequalities are presented for a class of O-U type semigroups with jump. These inequalities and semigroup properties are indeed equivalent, and thus sharp, for the Gaussian case. As an application of the log-Harnack inequality, the HWI inequality is established for the Gaussian case. Perturbations with linear growth are also investigated.

Abstract:
We investigate the transition semigroup of the solution to a stochastic evolution equation $dX(t) = AX(t)dt +dW_H(t)$, $t\ge 0,$ where $A$ is the generator of a $C_0$-semigroup $S$ on a separable real Banach space $E$ and $W_H$ is cylindrical white noise with values in a real Hilbert space $H$ which is continuously embedded in $E$. Various properties of these semigroups, such as the strong Feller property, the spectral gap property, and analyticity, are characterized in terms of the behaviour of $S$ in $H$. In particular we investigate the interplay between analyticity of the transition semigroup, $S$-invariance of $H$, and analyticity of the restricted semigroup $S_H$.

Abstract:
We investigate the asymptotic behavior of the maximum likelihood estimators of the unknown parameters of positive recurrent Ornstein-Uhlenbeck processes driven by Ornstein-Uhlenbeck processes.