Ergodicity for nonlinear stochastic equations in variational formulation (Q2502184): Difference between revisions

The authors consider the stochastic differential equation \(dX(t)+A(X(t))dt=\sqrt{Q}dW(t),\) \(X(0)=x\), where \(A:\;V\to V'\) is a nonlinear operator; \(V\) is a reflexive Banach space with the dual \(V'\) and \(H\) is a real Hilbert space such that \(V\subset H\subset V'\) algebraically and topologically with dense and compact injections; \(W\) is a cylindrical Wiener process taking values in \(H\) and the operator \(Q\in L(H)\) is symmetric, nonnegative, of trace class and such that \(\text{Ker}\,Q=\{0\}\). The authors consider the transition semigroup \(P_{t}\varphi(x)=E[\varphi(X(t,x))]\), \(x\in H\), \(t\geq0\), \(\varphi\in C_{b}(H)\), where \(C_{b}(H)\) is the space of all continuous and bounded functions on \(H\). They prove that \(P_{t}\) has a unique ergodic invariant measure \(\nu\). Existence and uniqueness of a strong solution of the elliptic Kolmogorov equation \(\lambda\varphi(x)-{1\over 2}\operatorname{Tr}[QD^2\varphi(x)]+(A(x),D\varphi(x))=f(x)\) are shown. The authors prove the following integration by parts formula \(\int_{H}N_2\varphi\varphi\,d\nu=-{1\over2}\int_{H}| Q^{1/2}D\varphi|^2\,d\nu\), \(\varphi\in D(N_2)\), where \(N_2\) is the infinitesimal generator of \(P_{t}\). The Sobolev space \(W^{1,2}(H,\nu)\) is defined and the inclusion \(D(N_2)\subset W^{1,2}(H,\nu)\) is proved.