Singular dissipative stochastic equations in Hilbert spaces
type: Item
instance of: scholarly article
title: Singular dissipative stochastic equations in Hilbert spaces
zbMATH Open document ID: 1036.47029
author: Guiseppe Da Prato
author: Michael Röckner
publication date: 2002-12-01T00:00:00Z
review text: The authors construct weak solutions to SDEs of the form \[ dX = (AX+F_0(X))\,dt + \sqrt C\,dW_t, \qquad X(0)=x\in H \] on a Hilbert space \(H\). In the equation, \(W_t\) is a cylindrical Wiener process, \(C\) is a positive definite, bounded self adjoint linear operator on \(H\), \(A\) is the generator of a strongly continuous semigroup on \(H\), and \(F_0(x):=y_0\) where \(y_0\in F(x)\), \(| y_0| =\min_{y\in F(x)} | y| \) and \(F\) is a maximally dissipative map from \(H\) to its power set. The solution is constructed in two steps: first, the authors solve the corresponding Kolmogorov equations in a suitable \(L^2\)-space and construct thus a strong Markov diffusion semigroup. In a second step, it is then shown that the Markov semigroups have a suitable (strong) Fellerian modification which allows to get a proper conservative diffusion process for the solutions of the single starting points. The last two sections deal with uniqueness of the solution and applications, in particular gradient systems and reaction-diffusion equations.
Mathematics Subject Classification ID: 47D07
Mathematics Subject Classification ID: 35K90
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 47B44
zbMATH DE Number: 1837370
zbMATH Keywords: stochastic differential equations on a Hilbert space
zbMATH Keywords: infinite-dimensional analysis
zbMATH Keywords: diffusion operator
zbMATH Keywords: martingale problem
zbMATH Keywords: \(C_0\)-semigroup
zbMATH Keywords: dissipativity
zbMATH Keywords: infinitesimally invariant measure
zbMATH Keywords: Feller property
zbMATH Keywords: Kolmogorov equations
zbMATH Keywords: Kolmogorov's continuity criterion
zbMATH Keywords: gradient system
zbMATH Keywords: reaction-diffusion equation
reviewed by: R. L. Schilling
MaRDI profile type: Publication
full work available at URL: s004400200214
OpenAlex ID: W4239655450
DOI: 10.1007/S004400200214
published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
description: scientific article; zbMATH DE number 1837370