Translation invariant diffusions in the space of tempered distributions (Q2392874): Difference between revisions

Consider the stochastic partial differential equation \(dY_t= AY_t\cdot dBt+ LY_t dt\), \(Y_0= y\), in the space \(S'\) of tempered distributions, where \((B_t)\) is a \(d\)-dimensional Brownian motion, \(A= (A_1,\dots, A_d)\), and \(L\), \(A_j\), \(j= 1,\dots,d\), are nonlinear operators in \(S'\) given by \[ A_j\varphi= -\sum^d_{i=1} \langle\sigma, \varphi\rangle_{ij}\partial_i\phi, \] \[ L\varphi= (1/2) \sum^d_{i,j=1} (\langle\sigma, \varphi\rangle\langle\sigma, \varphi\rangle^T)_{i, j}\partial^2_{ij} \varphi-\sum^d_{i=1}\langle b, \varphi\rangle_i\partial_i\varphi, \] with coefficients \(\sigma= (\sigma_{ij})^d_{i,j= 1}\), \(b= (b_i)^d_{i=1}\). The author proves existence and pathwise uniqueness results, characterizes the solution as translate of a finite-dimensional diffusion, and shows that its expectation satisfies a nonlinear evolution equation related to Kolmogorov's forward equation for the diffusion.