Infinite dimensional reflecting Ornstein-Uhlenbeck stochastic process (1501.01248v1)

Abstract: In this article we introduce the Gaussian Sobolev space $W^{1,2}(\mathscr O,\gamma)$, where $\mathscr O$ is an arbitrary open set of a separable Banach space $E$ endowed with a nondegenerate centered Gaussian measure $\gamma$. Moreover, we investigate the semimartingale structure of the infinite dimensional reflecting Ornstein-Uhlenbeck process for open sets of the form $\mathscr O={x\in E\, :\, G(x)<0}$, where $ G$ is some Borel function on $E$.