An Itô formula for rough partial differential equations and some applications (Q2223717)

The paper deals with rough parabolic differential equations of the form \[ \mathrm{d} u_t-(A_t u +f_t(x))\mathrm{d} t= \mathrm{d} \mathbf{B} _t u_t, \quad \text{on}\quad (0,T]\times \mathbb{R}^d,\tag{rough-paths-eq} \] with initial condition \( u_0=u^0\in L^p(\mathbb{R}^d)\) for \(p\in[1,\infty]\), where \(A_t=\partial_i(a^{ij}(t,\cdot)\partial_j \cdot)\) and \( \mathbf{B}=(B^1,B^2)\) denotes some kind of two-step ``enhancement'' of the time-dependent family of differential operators \[ B^1_{t}:= X _t^i(x)\partial _i + X^0_t(x)\,,\quad t\in[0,T], \] for \((X _t^i(x))_{0\leq i\leq d}\) sufficiently regular in space, and \(B^2\) corresponds to an additional object akin to the usual Lévy area. Relying on rough path theory, the first main achievement of the work is the well-posedness for the rough partial differential equation (rough-paths-eq), that is, there exists a unique solution \(u\) in the class of controlled paths having finite energy. Assuming that \(\mathbf{B}\) is ``transport-like'', i.e., \(X^0 =0\), the authors prove that the Itô type formula \[ \mathrm{d} (F(u))-F'(u)(A_tu+f)\mathrm{d} t= \mathrm{d} \mathbf{X}\cdot \nabla (F(u)) \] holds for any \(F\in C^2(\mathbb{R},\mathbb{R})\) with \(F(0)=F'(0)=0\) and \(|F''|_{L^{\infty}}<\infty\), and deduce from it a weak maximum principle. Furthermore, for every \(L^p\)-solution \(u\) of (rough-paths-eq), and under some mild assumptions on \(f\) and \(u_0\), the authors establish the following Itô type formula for the \(L^p\)-norm of the solution~\(u\): \[ \mathrm{d} |u|^p-pu|u|^{p-2}(A_tu+f) \mathrm{d} t= (\mathrm{d} \mathbf{X}\cdot \nabla + p\mathbf{X}^0)|u|^p\, \] as long as \(p\geq 4\) and even for \(p\geq 2\) if \(X^0=0\).