Multiple and weak Markov properties in Hilbert spaces with applications to fractional stochastic evolution equations
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2023
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| author | Kirchner, Kristin Willems, Joshua |
| author_facet | Kirchner, Kristin Willems, Joshua |
| contents | We define various higher-order Markov properties for stochastic processes $(X(t))_{t\in \mathbb{T}}$, indexed by an interval $\mathbb{T} \subseteq \mathbb{R}$ and taking values in a real and separable Hilbert space $U$. We furthermore investigate the relations between them. In particular, for solutions to the stochastic evolution equation $\mathcal{L} X = \dot W^Q\!$, where $\mathcal{L}$ is a linear operator acting on functions mapping from $\mathbb{T}$ to $U$ and $(\dot W^Q(t))_{t\in\mathbb{T}}$ is the formal derivative of a $U$-valued (cylindrical) $Q$-Wiener process, we prove necessary and sufficient conditions for the weakest Markov property via locality of the precision operator $\mathcal{L}^*\! \mathcal{L}$.
As an application, we consider the space-time fractional parabolic operator $\mathcal{L} = (\partial_t + A)^γ$ of order $γ\in (1/2,\infty)$, where $-A$ is a linear operator generating a $C_0$-semigroup on $U$. We prove that the resulting solution process satisfies an $N$th order Markov property if $γ= N \in \mathbb{N}$ and show that a necessary condition for the weakest Markov property is generally not satisfied if $γ\notin \mathbb{N}$. The relevance of this class of processes is twofold: Firstly, it can be seen as a spatiotemporal generalization of Whittle-Matérn Gaussian random fields if $U = L^2(\mathcal{D})$ for a spatial domain $\mathcal{D}\subseteq\mathbb{R}^d\!$. Secondly, we show that a $U$-valued analog to the fractional Brownian motion with Hurst parameter $H \in (0,1)$ can be obtained as the limiting case of $\mathcal{L} = (\partial_t + \varepsilon \, \mathrm{Id}_U)^{H + \frac{1}{2}}$ for $\varepsilon \downarrow 0$. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2310_13536 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Multiple and weak Markov properties in Hilbert spaces with applications to fractional stochastic evolution equations Kirchner, Kristin Willems, Joshua Probability Analysis of PDEs 60J25, 60G15 (Primary) 60G22, 60H15 (Secondary) We define various higher-order Markov properties for stochastic processes $(X(t))_{t\in \mathbb{T}}$, indexed by an interval $\mathbb{T} \subseteq \mathbb{R}$ and taking values in a real and separable Hilbert space $U$. We furthermore investigate the relations between them. In particular, for solutions to the stochastic evolution equation $\mathcal{L} X = \dot W^Q\!$, where $\mathcal{L}$ is a linear operator acting on functions mapping from $\mathbb{T}$ to $U$ and $(\dot W^Q(t))_{t\in\mathbb{T}}$ is the formal derivative of a $U$-valued (cylindrical) $Q$-Wiener process, we prove necessary and sufficient conditions for the weakest Markov property via locality of the precision operator $\mathcal{L}^*\! \mathcal{L}$. As an application, we consider the space-time fractional parabolic operator $\mathcal{L} = (\partial_t + A)^γ$ of order $γ\in (1/2,\infty)$, where $-A$ is a linear operator generating a $C_0$-semigroup on $U$. We prove that the resulting solution process satisfies an $N$th order Markov property if $γ= N \in \mathbb{N}$ and show that a necessary condition for the weakest Markov property is generally not satisfied if $γ\notin \mathbb{N}$. The relevance of this class of processes is twofold: Firstly, it can be seen as a spatiotemporal generalization of Whittle-Matérn Gaussian random fields if $U = L^2(\mathcal{D})$ for a spatial domain $\mathcal{D}\subseteq\mathbb{R}^d\!$. Secondly, we show that a $U$-valued analog to the fractional Brownian motion with Hurst parameter $H \in (0,1)$ can be obtained as the limiting case of $\mathcal{L} = (\partial_t + \varepsilon \, \mathrm{Id}_U)^{H + \frac{1}{2}}$ for $\varepsilon \downarrow 0$. |
| title | Multiple and weak Markov properties in Hilbert spaces with applications to fractional stochastic evolution equations |
| topic | Probability Analysis of PDEs 60J25, 60G15 (Primary) 60G22, 60H15 (Secondary) |
| url | https://arxiv.org/abs/2310.13536 |