Invariant measures for diffusion processes in conuclear spaces
Let \(\Phi\) be a nuclear space given by an increasing sequence of Hilbert norms \(|\cdot|_p\). Let \(W\) be a \(\Phi'\)-valued Wiener process, and consider the s.d.e. on \(\Phi'\) \[ X_t=X_0+\int_0^t A(s,X_s) ds+\int_0^t B(s,X_s) dW_s. \] This kind of infinite dimensional equations is the subject of the book by \textit{G. Kallianpur} and the author [``Stochastic differential equations in infinite-dimensional spaces (1996; Zbl 0859.60050)]. Under some natural assumptions, there is a unique solution \(X\), which belongs to \(C([0,1],\Phi_{-p})\), for some \(p\). Here, \(\Phi_{-p}\) is the dual of the completion of \(\Phi\) with respect to \(|\cdot|_p\). A related martingale problem is as follows: Let \(\mathcal C_0^2(\Phi')\) be the class of functions \(F:\Phi'\rightarrow\mathbb{R}\) that can be expressed as \(F(v)=h(v[\varphi_1],\dots,v[\varphi_m])\) for some \(h\in C_0^2(\mathbb{R}^m)\) and \(\varphi_1,\dots,\varphi_m\in\Phi\). Define on \(\mathcal C_0^2(\Phi')\) the operator \[ \begin{aligned}\mathcal A_t:=& \sum_{i=1}^m A(t,v)[\varphi_i]\partial_i h(v[\varphi_1],\dots,v[\varphi_m]) \\ & +\frac{1}{2}\sum_{i,j=1}^m \partial_{ij}h(v[\varphi_1],\dots,v[\varphi_m])Q(B(t,v)'\varphi_i, B(t,v)'\varphi_j),\end{aligned} \] where \(Q\) is the covariance of \(W\). X is a solution to the \((\mathcal A_t,\nu_0)\)-martingale problem, where \(\nu_0\) is the law of \(X_0\) in \(\Phi_{-p}\). Suppose \(A\) and \(B\) do not depend on \(t\) (\(\mathcal A_t\equiv \mathcal A\)). Let \(r_0\) be such that \(\mathcal E|{X_0}|^2_{-r_0}<\infty\). Then, if \(\mu\) is a Borel probability on \(\Phi_{-r_0}\) with finite second moment, and \(\int_{\Phi'}\mathcal A F\mu(dv)=0\), \(\forall F\in \mathcal C^2_0(\Phi')\), then \(\mu\) is an invariant measure of \(X\). A characterization of the law of \(X_t\) as the solution of a deterministic differential equation is also given. For the entire collection see [Zbl 0870.00040].
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