On the integral kernels of derivatives of the Ornstein–Uhlenbeck semigroup
2016 ◽
Vol 19
(04)
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pp. 1650030
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This paper presents a closed-form expression for the integral kernels associated with the derivatives of the Ornstein–Uhlenbeck semigroup [Formula: see text]. Our approach is to expand the Mehler kernel into Hermite polynomials and apply the powers [Formula: see text] of the Ornstein–Uhlenbeck operator to it, where we exploit the fact that the Hermite polynomials are eigenfunctions for [Formula: see text]. As an application we give an alternative proof of the kernel estimates by Ref. 10, making all relevant quantities explicit.
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2021 ◽
Vol 48
(3)
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pp. 91-96
2011 ◽
Vol 38
(7)
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pp. 494-499
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