An operatorial approach to stochastic partial differential equations driven by linear multiplicative noise (Q496465)

The aim of the paper is to study the existence and uniqueness of the solution to a nonlinear monotone stochastic differential equation \[ dX(t)+ A(t)X(t)dt = X(t)dW(t) \] with linear multiplicative noise in a real separable Hilbert space. The approach is to introduce the rescaling transform \(X(t)= e^{W(t)}y(t)\) and to reduce the above equation to the random differential equation \[ \frac{dy}{dt}(t) + e^{-W(t)}A(t)(e^{W(t)}y(t)) +\mu y(t)=0,\qquad t\in [0,T], \] which is treated as an operational equation in a convenient Hilbert space and can be rewritten as a monotone-type random equation in an appropriate space of infinite-dimensional stochastic processes on \([0,T]\). When the nonlinear operator is the subgradient of a convex function, the problem reduces to a convex optimization problem. One of the advantages of the approach adopted in this paper is that it gives sharp pointwise estimates and new pathwise regularity for the solutions.