The quasi-sure uniqueness of solutions for differential equations on Wiener space
Ordinary differential equations and systems with randomness (34F05) Nonlinear differential equations in abstract spaces (34G20) Continuous and differentiable maps in nonlinear functional analysis (46T20) General theory of ordinary differential operators (47E05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Let \((X,H,\mu)\) be an abstract Wiener space and \(A\) a vector field on \(X\) which is a smooth mapping from \(X\) in \(H\) in the sense of Malliavin. In a previous paper [J. Math. Kyoto Univ. 34, No. 4, 767-796 (1994; Zbl 0828.34053)], the author constructed a solution to the problem \[ \frac{d}{dt}(U_t(x))=A(U_t(x));\quad U_0(x)=x,\tag{1} \] quasi everywhere, i.e. for all \(x\) excepting a set of \((r,p)\) capacity \(0\) for all \(r>0\) and \(p>1\), the capacity being associated with the Ornstein-Uhlembeck operator on Wiener space. In another paper published in [J. Funct. Anal. 137, No. 2, 381-393 (1996; Zbl 0879.47028)], the author chose a quasi-continuous modification \(\widetilde{A}(x)\) of \(A(x)\) defined everywhere on \(X\) and constructed \(U_t(x)\), \(t\in \mathbb{R}\), \(x\in X\) satisfying \[ U_t(x)=x+\int_0^t \widetilde{A}(U_s(x)) ds \quad \text{for quasi every}\quad x\in X, \tag \(*\) \] for all \(t \in \mathbb{R}\) and such that the mapping \(x \to U_t(x)\) preserved the class of slim sets for every \(t\) and the flow property \((**)\) \(U_t \circ U_x(x)= U_{t=s}(x)\) holds q.e. for every \(t\) and \(s\). In these hypotheses, in the present paper the author proves that the solution satisfying \((**)\) exists quasi everywhere uniquely, the uniqueness being understood in the sense that, if \(\Psi_t(x)\) is a solution to (1) and \(\Phi_t(x)= \Psi_t(x)-x\) satisfies the flow property for all \(t,s \in \mathbb{R},\) q.e. \(x,\) then one has \(U_t(x)=\Psi_t(x),\) for all \(t \in \mathbb{R}\) q.e. \(x\) or, equivalently, \(V_t(x)=\Phi_t(x),\) for all \(t \in \mathbb{R},\) q.e. \(x.\)
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