An abstract stochastic Cauchy problem

MaRDI QIDQ2713899zbMATH OpenFDO

Authors I. V. Melnikova

Publication date 10 June 2001

zbMATH Keywords

distribution spacefirst order operator-differential equationsrandom variablesemigroupstochastic Cauchy problemWiener process

Mathematics Subject Classification ID

One-parameter semigroups and linear evolution equations (47D06) Markov semigroups and applications to diffusion processes (47D07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20)

Review text

The article is a brief review of earlier author's results devoted to the Cauchy problem for the first order operator-differential equations NEWLINE\[NEWLINE u'(t) =A u(t) +B\chi(t)\quad (t\in [0,T),\;T\leq \infty),\qquad u(0)=\xi \tag{1} NEWLINE\]NEWLINE and related questions. Here \(A\) is a generator of a semigroup in a given Hilbert space \(H\), \(B\) is a bounded operator defined on a Hilbert space \(U\) with values in \(H\), \(\xi=\xi(\omega)\) is a random variable on a probabilistic space \((\Omega,{\mathcal F},P)\), and \(\chi(t)=\chi(t,\omega)\) is some random process. The equation (1) is also rewritten as NEWLINE\[NEWLINEdu(t)=Au(t) dt+ B dW(t)\quad \Biggl(W(t)=\int_0^t\chi(s) ds \Biggr)NEWLINE\]NEWLINE with a Wiener process \(W\). The questions of existence and constructing weak or generalized solutions to problem (1) are discussed. In particular, a solution is sought in the distribution space or in the space of stochastic distributions. Some results concerning with the stochastic Cauchy problem for the differential inclusions NEWLINE\[NEWLINE u'(t)\in Au(t), \quad t\geq 0,\qquad u(0)=\xi NEWLINE\]NEWLINE are also presented.NEWLINENEWLINEFor the entire collection see [Zbl 0956.00039].

Recommendations

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Cited in

(5)

• A differential equation in a Banach space containing the variational derivative
• Weak and generalized solutions of abstract stochastic equations.
• An abstract stochastic Cauchy problem with the generator of a \((1, C_{1})\)-or \((1, A)\)-semigroup
• Stochastic problems in spaces of abstract distributions
• Stochastic Cauchy problem in Hilbert spaces: models, examples, solutions

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