Functional differential equations in Hilbert spaces driven by a fractional Brownian motion (Q1945311): Difference between revisions

If \(r>0\) and \((V,\|\cdot\|,\langle\cdot,\cdot\rangle)\) is a real separable Hilbert space, let denote \(\mathcal{C}_r=\mathcal{C}([-r,0],V)\) the space of all continuous functions from \([-r,0]\) to \(V\) equipped with the norm \[ \|Z\|_{\mathcal{C}_r}=\sup_{-r\leq s\leq 0}\|Z(s)\|. \] From the introduction: \(``\)Consider the stochastic functional differential equation \[ \begin{aligned} dx(t)&=[Ax(t)+F(x_t)]dt +G(x_t)dB^H(t),\;\;t\geq 0,\\x(t)&=\eta(t),\;\;t\in [-r,0],\end{aligned} \tag{1} \] where \(A\) is the infinitesimal generator of an analytic semigroup of bounded linear operators \((T(t))_{t\geq 0}\) in a Hilbert space \(V\); \(B^H\) is a fractional Brownian motion with Hurst parameter \(H> 1/2\) defined in a complete probability space \((\Omega,\mathcal{F},\operatorname{P})\); \(x_t\in \mathcal{C}_r=\mathcal{C}([-r,0],V)\) denote the function defined by \(x_t(u)=x(t+u)\) \(\forall u\in [-r,0]\); and \(F,G: \mathcal{C}_r\longrightarrow V\) are appropriate functions, while \(\eta: [-r,0]\longrightarrow V\) is a smooth function. Equation (1) is understood in the so-called mild sense, i.e., we say that a continuous process \(x: [-r,T]\longrightarrow V\) is a mild solution of Equation (1) on \([-r,T]\) if \(x\) satisfies \[ x(t)=\begin{cases} \displaystyle{T(t)\eta(0)+\int_0^tT(t-s)F(x_s)ds+\int_0^tT(t-s)G(x_s)dB^H(s)},& \displaystyle{t\in[0,T]},\\ \displaystyle{\eta(t)},& \displaystyle{t\in [-r,0]}."\end{cases} \] ``The paper is organized as follows. In Section 2, we state the problem and list our assumptions on the coefficients of Equation (1). Section 3, contains some basic facts about extended Stieltjes integrals. In Section 4, we give some useful estimates for these indefinite integrals. Section 5 is devoted to obtain the existence, uniqueness and dependence on the initial data for the solution for deterministic equations. In Section 6, we apply the results of the previous sections to stochastic equations driven by fractional Brownian motion and give the proofs of our main theorems.'' In fact, the authors prove a global and uniqueness result of the mild solution for Equation (1) and study the dependence of the solution on the initial condition. The results are stated in Section 2 (Theorem 2.2 and Theorem 2.3) and proved in Section 6.