Strong uniqueness for SDEs in Hilbert spaces with nonregular drift (Q726799)

The authors consider the following stochastic differential equation in a separable Hilbert space \(H\): \[ dX_{t}=(AX_{t}-\nabla V(X_{t})+B(X_{t}))dt+dW_{t}, \quad X_0=\zeta, \] where \(A:\;D(A)\subset H\to H\) is a self-adjoint and strictly negative definite operator with \(A^{-1}\) of trace class, \(V:\;H\to(-\infty,+\infty]\) is a convex, proper, lower-semicontinuous, lower bounded function, \(D_{V}\) is the set of all \(x\in\{V<\infty\}\) such that \(V\) is Gâteaux differentiable at \(x\). Also, for the Gâteaux derivative \(\nabla V\) and some \(\varepsilon>0\): \(\gamma(D_{V})=1\), \(\int_{H}(| V(x)|^{2+\varepsilon}+|\nabla V(x)|^{2})\gamma(dx)<\infty\), and \(\int_{H}\| D^2 V(x)\|_{{\mathcal L}(H)}\nu(dx)<\infty\), where \(\gamma\) is the centered Gaussian measure in \(H\) with covariance \(Q=-{1\over2}A^{-1}\) and \(\nu\) is the probability measure on \(H\) defined by \(\nu(dx)={1\over Z}e^{-V(x)}\gamma(dx)\), \(Z=\int_{H}e^{-V(x)}\gamma(dx)\). Further, \(B:\;H\to H\) is Borel measurable and bounded and \(W\) is an \(({\mathcal F}_{t})\)-cylindrical Brownian motion in \(H\) on some probability space \((\Omega,{\mathcal F},P)\) with normal filtration \(({\mathcal F}_{t}), t\geq 0\). Pathwise uniqueness is proved for the considered stochastic differential equation. As an application, pathwise uniqueness for stochastic reaction-diffusion equations perturbed by a Borel measurable bounded drift is shown.