Existence of weak solutions to stochastic evolution inclusions

DOI10.1016/J.CRMA.2004.12.015MaRDI QIDQ1764190zbMATH OpenOpenAlexFDO

Authors Adam Jakubowski, Mikhail Kamenskii, P. Raynaud De Fitte

Publication date 24 February 2005

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0407512

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We consider the Cauchy problem for a semilinear stochastic differential inclusion in a Hilbert space. The linear operator generates a strongly continuous semigroup and the nonlinear term is multivalued and satisfies a condition which is more heneral than the Lipschitz condition. We prove the existence of a mild solution to this problem. This solution is not "strong" in the probabilistic sense, that is, it is not defined on the underlying probability space, but on a larger one, which provides a "very good extension" in the sense of Jacod and Memin. Actually, we construct this solution as a Young measure, limit of approximated solutions provided by the Euler scheme. The compactness in the space of Young measures of this sequence of approximated solutions is obtained by proving that some measure of noncompactness equals zero.

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Cited in

(5)

• Strong solutions of stochastic differential inclusions with unbounded right-hand side in a Hilbert space
• Evolution of solution of the Cauchy problem for a stochastic combustion equation with a weak source
• Multi-valued, singular stochastic evolution inclusions
• Existence of Weak Solutions to Stochastic Evolution Inclusions
• Existence of martingale solutions of stochastic differential inclusions of parabolic type in a Hilbert space

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