Kolmogorov equations in infinite dimensions: well-posedness and regularity of solutions, with applications to stochastic generalized Burgers equations (Q2496962): Difference between revisions

The paper develops a new method to uniquely solve a large class of heat equations \[ \frac{du}{dt}=Lu \] in infinitely many variables. The equations are analyzed in spaces of sequentially weakly continuous functions on the underlying infinite-dimensional Banach space weighted by proper (Lyapunov type) functions. This way for the first time the solutions are constructed everywhere without exceptional sets for equations with possibly nonlocally Lipschitz drifts. Apart from general analytic interest, the main motivation of the authors was to apply this to uniquely solve martingale problems in the sense of Strook-Varadan given by SPDEs from hydrodynamics, such as the stochastic Navier-Stokes equations. In this paper this is done in the case of the stochastic generalized Burgers equation. Uniqueness is shown in the sense of Markov flows.