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On the integral kernels of derivatives of the Ornstein-Uhlenbeck semigroup

Research paper by Jonas Teuwen

Indexed on: 18 Sep '15Published on: 18 Sep '15Published in: Mathematics - Analysis of PDEs



Abstract

This paper presents a closed-form expression for the integral kernels associated with the derivatives of the Ornstein-Uhlenbeck semigroup $e^{tL}$. Our approach is to expand the Mehler kernel into Hermite polynomials and applying the powers $L^N$ of the Ornstein-Uhlenbeck operator to it, where we exploit the fact that the Hermite polynomials are eigenfunctions for $L$. As an application we give an alternative proof of the kernel estimates by Portal [2014], making all relevant quantities explicit.