On Linear Row-Finite Systems of Stochastic Differential Equations

DOI10.1137/S0040585X97978488MaRDI QIDQ4328501zbMATH OpenFDO

Publication date 25 April 2002

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0040585X97978488

linear stochastic differential equations on sequence space natural Wiener process predictable process strong solutions

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

Let \({\mathcal A}\) be a continuous linear operator on the non-normable topological vector space \(E\) and \(f\) a continuous \(E\)-valued function on \([0,\infty)\). Then it is known that, in general, neither the deterministic differential equation \[ \dot{X}(t) = {\mathcal A}X(t) + f(t), \qquad X(0)=X_0 \in E,\tag{1} \] nor the stochastic differential equation \[ d\dot{X}(t) = {\mathcal A}X(t) dt + f(t) dt + dW(t),\qquad X(0,\omega)=X_0(\omega) \in E,\tag{2} \] (\(W(t)\) a Wiener process) need to have a solution. However, it is also known that if \(E={\mathbb R}^{\infty}\) is the sequence space with the weak topology of coordinatewise convergence and \(W_t\) is a natural Wiener process on \({\mathbb R}^{\infty}\) (that is an iid sequence of standard Wiener processes \(W_n(t)\) with the property that \(\sum_{n=1}^{\infty}{k_nW_n(t)}\) is a standard Wiener process for any \(k \in l^{2}\) with \(\sum_{n=1}^{\infty}{k_n^2}=1\)), then both the deterministic and the stochastic differential equations are solvable. Using methods originally introduced for proving the solvability of (1), the author generalizes the result for the stochastic situation and shows that (2) still has a strong solution if the Wiener process is replaced by an adapted and continuous (i.e. predictable) or \(L^2\)-continuous stochastic process.

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