On invariance of linear subspaces for stochastic evolution equations

DOI10.1515/DEMA-2001-0220MaRDI QIDQ2732361zbMATH OpenOpenAlexFDO

Authors Anna Milian

Publication date 14 May 2002

Published in Demonstratio Mathematica (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1515/dema-2001-0220

zbMATH Keywords

invariance propertyItô equation on a Hilbert space

Mathematics Subject Classification ID

Stochastic integral equations (60H20)

Review text

Let NEWLINE\[NEWLINEdX+ (AX+ D(t, X)) dt+ B(t, X) dW(t),\quad X(t_0)= x_0,\quad t\in [t_0, T]\tag{1}NEWLINE\]NEWLINE be an Itô equation on a Hilbert space \(H\), where \(A: H\supset D(A)\to H\) is a linear operator, \(D\) and \(B\) are Lipschitz continuous and \(W\) is a cylindrical Wiener process. The author studies the invariance problem related to equation (1) for linear subspaces of \(H\). He gives necessary and sufficient conditions for the invariance property.

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Cited in

(2)

• Invariance of subspaces under the solution flow of SPDE
• Stochastic stability of invariant subspaces

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