Smoothing effect and derivative formulas for Ornstein–Uhlenbeck processes driven by subordinated cylindrical Brownian noises

We investigate the concept of cylindrical Wiener process subordinated to a strictly alpha-stable Levy process, with alpha is an element of (0, 1), in an infinite-dimensional, separable Hilbert space, and consider the related stochastic convolution. We then introduce the corresponding Ornstein-Uhlenbeck process, focusing on the regularizing properties of the Markov transition semigroup defined by it. In particular, we provide an explicit, original formula -which is not of Bismut-Elworthy-Li's type- for the Gateaux derivatives of the functions generated by the operators of the semigroup, as well as an upper bound for the norm of their gradients. In the case alpha is an element of (1/2, 1), this estimate represents the starting point for studying the Kolmogorov equation in its mild formulation. (C) 2022 Elsevier Inc. All rights reserved.