Stochastic integration and stochastic PDEs driven by jumps on the dual of a nuclear space (Q2315124)

This vast paper (72 pages) presents a novel theory of stochastic integration for cylindrical martingale-valued measures in the dual of a nuclear space. The goal of the paper is to give new foundations for stochastic analysis in duals of nuclear spaces. In the paper, the following stochastic Cauchy problem is studied \[ \begin{cases} d X_t=(A'X_t+B(t,X_t))dt+\int_U F(t,u,X_t)M(dt,du), \quad \mbox{for}~ t\ge0,\\ X_0=Z_0. \end{cases} \tag{1} \] In (1), $M$ is a cylindrical martingale-valued measure taking values in the dual $\Phi'$ of a locally convex space $\Phi$, $A'$ is the dual operator of the generator $A$ of a suitable semigroup on a nuclear space $\Psi$, and the coefficients $B$ and $F$ satisfy appropriate conditions. The theory presented in the paper improves stochastic integration for operator-valued processes in the dual of a nuclear space in two directions: \begin{itemize} \item[1.] A more general integrator is considered; particularly, stochastic integrals with respect to completely general Lévy processes are defined. \item[2.] Contrary to previous papers, the author does not require integrands to be families of Hilbert-Schmidt maps from some Hilbert spaces continuously included in $\Phi'$ into a fixed Hilbert space continuously included in $\Psi'$; he only requires moment conditions for the integrands. \end{itemize} The paper consists of seven sections and references. Section 1 gives an introduction to the problems considered and describes the aim of the work. Section 2 supplies notation and definitions of the concepts used in the paper. Particularly, nuclear spaces, cylindrical processes, martingales, and Lévy processes in the dual of a nuclear space are defined. Moreover, some results concerning the mentioned concepts are recalled. In Section 3, the classes of cylindrical martingale-valued measures used later as integrators are introduced. In Section 4, the weak stochastic integral is constructed. Here, one can find the definition of space of integrands and some auxiliary results used in the construction of the weak stochastic integral. Next, properties of the weak stochastic integral are formulated, see Theorems 4.7 and 4.16. Finally, the stochastic Fubini theorem is formulated, see Theorem 4.24, and proved in detail. Section 5 is devoted to the strong stochastic integral. Here, the construction of such an integral is given. First, the classes of strong integrands are defined, and the relations between them are given. The main result of this section is formulated in Theorem 5.11, and it provides the strong stochastic integral. Next, some properties of the strong stochastic integral mapping are presented. Stochastic evolution equations in duals of nuclear spaces are considered in section 6. First, semigroups of linear operators in locally convex spaces are considered. Next, the general model of stochastic evolution equations in the dual of a nuclear space driven by a nuclear cylindrical martingale-valued measure is introduced. Then, definitions of weak and mild solutions to the class of considered equations are presented. The main result of this section, Theorem 6.9, provides sufficient conditions for the equivalence between weak and mild solutions. The regularity of the stochastic convolution corresponding to the model considered is given in Theorem 6.14. Finally, the existence and uniqueness of weak and mild solutions to the model studied are given in Theorem 6.23. This result is formulated under some Lipschitz and growth conditions on the coefficients $B$ and $F$. In Section 7, the existence of weak and mild solutions to the Lévy-driven stochastic evolution equation is studied. The theory developed in the paper is applied to the study of stochastic equations with Lévy noise, see Theorem 7.1. The paper finishes with 37 references representative for the problems considered. The paper is well and clearly written and should be interesting for people working with stochastic PDEs on the duals of nuclear spaces.