Strong uniqueness for stochastic evolution equations with unbounded measurable drift term (Q904711)

An equation \[ dX_t=(AX_t+B(X_t))\,dt+dW_t,\qquad X(0)=x \] is considered in a separable Hilbert space \(H\), where \(A\) is a self-adjoint, negative definite operator such that \((-A)^{1+\delta}\) is of trace class for some \(\delta>0\), \(B:H\to H\) is Borel measurable and bounded on balls in \(H\) and \(W\) is a cylindrical Wiener process on \(H\). Let \(\mu\) denote the centered Gaussian probability measure on \(H\) with covariance \(-\frac 12A^{-1}\). It is proved that there exists a Borel set \(C\subseteq H\) such that \(\mu(C)=1\) and pathwise uniqueness of global continuous mild solutions holds for the equation above for every (deterministic) initial condition \(x\in C\). Actually, more is proved. Let \(B^\prime:H\to H\) be another Borel measurable mapping bounded on balls in \(H\). Then, for \(\mu\)-almost every \(x\in H\), the following holds. If \(B=B^\prime\) on an open bounded set \(G\subseteq H\), \(\tau_X\) denotes the first exit time of \(X\) from \(G\) and \(X^\prime\) is a global continuous mild solution of \[ dX^\prime_t=(AX^\prime_t+B^\prime(X^\prime_t))\,dt+dW_t,\qquad X^\prime(0)=x, \] then \(\tau_X=\tau_{X^\prime}\) and \(X=X^\prime\) on \([0,\tau_X]\). If, in addition, \(\kappa\) and \(p\) are positive constants and \(\langle B(y+z),y\rangle\leq\kappa(|y|^2+e^{p|z|}+1)\) holds for every \(y,z\in H\), then the existence of (probabilistically) strong mild pathwise unique solutions for \(\mu\)-almost every \(x\in H\) is proved.