On solutions to stochastic differential equations with discontinuous drift in Hilbert space (Q1063324)

The theory of stochastic differential equations with continuous coefficients in Hilbert space has been developed in great detail during the last two decades [cf. \textit{M. Métivier}: Semimartingales. (1982; Zbl 0503.60054)]. We prove two general theorems concerning existence and uniqueness of solutions to stochastic differential equations with non- linear and discontinuous drift. More precisely, let \({\mathbb{H}}\) be a real, separable Hilbert space and let \((\beta_ t)_{t\geq 0}\) be a centered Brownian motion on \({\mathbb{H}}\) with positive definite, nuclear covariance operator. We deal with the systems of equations \[ \xi_{x,t,k}=x_ k+\beta_{t,k}+\int^{t}_{0}(b_ k(\xi_{x,s})+q_ k(\xi_{x,s,k}))ds,\quad k\in I,\quad t\geq 0 \] where \(x\in {\mathbb{H}}\) is the starting point, b:\({\mathbb{H}}\to {\mathbb{H}}\) is the continuous (interacting) drift part, and the family \((q_ k)_{k\in I}\) of functions \(q_ k: {\mathbb{R}}\to {\mathbb{R}}\) represents the discontinuous drift part. Here \(\xi_{x,t,k},x_ k,\beta_{t,k},..\). denote the k-th component of the vectors \(\xi_{x,t},x,\beta_ t,..\). of \({\mathbb{H}}\) with respect to a suitable ortho-normal bases. The above mentioned theorems establish existence and uniqueness of weak and strong solutions based on one-sided growth conditions on the drift. In a further section we indicate how to apply the theory to systems of stochastic differential equations, when there is no Hilbert space given a priori. The paper concludes with two applications, namely to unbounded spin systems of statistical mechanics and to the stochastic heat equation. In the context of the first application similar results were proved by \textit{H. Doss} and \textit{G. Royer} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 46, 107-124 (1978; Zbl 0377.60090)] and \textit{T. Shiga} and \textit{A. Shimizu} [J. Math. Kyoto Univ. 20, 395-416 (1980; Zbl 0462.60061)].