On pathwise uniqueness of stochastic evolution equations in Hilbert spaces (Q2427758)

The paper studies the stochastic evolution equation \(dX(t)=(AX(t))+F(X(t)))dt+G(X(t))dW(t)\) with initial condition \(X(0)=x\in H\), where \(H\) is a real separable Hilbert space, \(A\) is the infinitesimal generator of a strongly continuous semigroup \(S(t)\) on \(H\), and \(W(t)\) is a Wiener process on another real separable Hilbert space \(U\) with covariance operator \(Q\). \(F\) is a function from \(H\) into \(H\) and \(G\) a function from \(H\) into the family of bounded linear operators from \(U\) to \(H\), satisfying some assumptions. In the infinite dimensional case, the continuity of \(F\) and \(G\) does not insure the existence of a solution up to an explosion time and results on existence and on pathwise uniqueness require additional strong asumptions. The paper shows, under less restrictive assumptions than the known results, the existence of a martingale solution and the pathwise uniqueness of a martingale solution (the paper does not use the Ito formula since the stochastic convolution used to define the martingale solution is not a martingale). The solution is a Feller process and, under further additional assumptions, there is an invariant measure. Furtermore, the Euler-Maruyama approximation converges in \(L^p\) mean to the solution in any compact time interval. A specific stochastic heat equation is used as an illustrative example.