On the relation between the Girsanov transform and the Kolmogorov equations for SPDEs (Q2099171)
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English | On the relation between the Girsanov transform and the Kolmogorov equations for SPDEs |
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On the relation between the Girsanov transform and the Kolmogorov equations for SPDEs (English)
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23 November 2022
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The authors consider a Kolmogorov equation \[ \partial_tu(t,x)=\frac{1}{2}\operatorname{Tr}\,(QD^2u(t,x))+\langle Ax+B(x),Du(t,x)\rangle,\qquad u(0,x)=\phi(x) \] on a Hilbert space \(H\), where \(A\) is an infinitesimal generator of a strongly continuous semigroup \((e^{tA})\) on \(H\), \(B:H\to H\) and \(\phi:H\to\mathbb R\) are measurable mappings and \(Q\) is a non-negative self-adjoint operator on \(H\). They define operators \[ Q_t=\int_0^te^{sA}Qe^{sA^*},\quad\Lambda(t)=Q_t^{-1/2}e^{tA},\quad t>0, \] assuming that \(e^{tA}[H]\subseteq Q_t^{1/2}[H]\) for every \(t>0\), where \(Q_t^{-1/2}\) denotes a pseudoinverse to \(Q^{1/2}_t\). Finally an equation on \(H\) \[ dZ^x=AZ^x_t\,dt+Q^{1/2}\,dW,\quad Z^x_0=x \] driven by a cylindrical Wiener process \(W\) is considered; let us denote the associated Ornstein-Uhlenbeck semigroup by \((S_t)\). It is known that, if \(\phi\) and \(B\) are bounded, the operator \(Q_t\) is of trace-class for every \(t>0\) and \[ \|\Lambda(t)\|\le Ct^{-\delta},\quad t>0 \] holds for some \(\delta\in(0,1)\) then the solution of the Kolmogorov equation can be written as \[ u(t,x)=\sum_{n=0}^\infty v_n(t,x) , \] where \(v_n=u_n-u_{n-1}\), \(n\ge 1\), \(v_0(t,x)=u_0(t,x)=S_t\phi(x)\), \[ u_n(t,x)=S_t\phi(x)+\int_0^tS_{t-s}(\langle B,Du_{n-1}(s)\rangle)(x)\,ds \] and the series converges uniformly in \((t,x)\in[0,T]\times H\). Moreover, explicit formulae for the functions \(v_n\) in terms of \(A\), \(B\), \(\phi\), \(Q_t\) and \(Z^x_t\) are available. The first main result asserts that \[ v_n(t,x)=\mathbb E\left[\phi(Z^x_t)M^{(x,n)}_t\right] , \] where \(M^{(x,0)}=1\) and \[ M^{(x,n)}_t=\int_0^tM^{(x,n-1)}_s\,dL^x_s,\quad L^x_t=\int_0^t\langle Q^{-1/2}B(Z^x_s),dW_s\rangle, \] provided that \(B:H\to H\) and \(\phi:H\to\mathbb R\) are bounded and uniformly continuous, \(B[H]\subseteq Q^{1/2}[H]\), \(Q^{-1/2}B\) grows at most linearly, the operator \(Q_t\) is of trace-class for every \(t>0\) and \(\|\Lambda(t)\|\) is integrable on bounded intervals in \([0,\infty)\). The second main result states that, if \(Q_\infty\) is of trace-class, \[ \|\Lambda(t)\|\le Ct^{-\delta},\quad t>0 \] holds for some \(\delta\in(0,1)\) and \(\phi\in L^{p_0}(H,\mu)\) for some \(p_0>1\), where \(\mu\) is the centered Gaussian probability measure with the covariance \(Q_\infty\) and \[ \|B(x)\|_H\le C(1+|x|^\beta) \] for some \(\beta\in(0,2(1-\delta))\) then, for any \(\bar p\in(1,p_0)\) and \(T>0\), the Kolmogorov equation has a unique mild solution \(u\in C([0,T];L^{\bar p}(H,\mu))\) such that \(t^\delta Du(t)\in C([0,T];L^{\bar p}(H,\mu;H))\).
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Girsanov transform
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Kolmogorov equation
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