Existence and convergence results for infinite dimensional nonlinear stochastic equations with multiplicative noise

DOI10.1016/J.SPA.2012.10.008MaRDI QIDQ1940238zbMATH OpenOpenAlexWikidataFDO

Authors Viorel Barbu, Zdzislaw Brzezniak, Erika Hausenblas, Luciano Tubaro

Publication date 6 March 2013

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.4578

zbMATH Keywords

approximation of stochastic processesmultiplicative noisestochastic evolution equations

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60)

Abstract: The solution $X_n$ to a nonlinear stochastic differential equation of the form $$, $X_n(0)=x$, where $$ is a regular approximation of a Brownian motion $$, $B_j^n(t)$ is a family of linear continuous operators from $V$ to $H$ strongly convergent to $B_j(t)$, $A_n(t)oA(t)$, $A_n(t)$ is a family of maximal monotone nonlinear operators of subgradient type from $V$ to $V^{\prime }$, is convergent to the solution to the stochastic differential equation $$, $X(0)=x$. Here $VsubsetHcong{H}^{\prime }subset{V}^{\prime }$ where $V$ is a reflexive Banach space with dual $V^{\prime }$ and $H$ is a Hilbert space. These results can be reformulated in terms of Stratonovich stochastic equation $$.

Review text

A stochastic evolution equation in a reflexive Banach space with multiplicative Brownian noise is considered. Under suitable conditions, its well-posedness is established and the solution is shown to be stable with respect to gamma-convergence of the drift operators, suitable \(L^p\)-convergence of the progressively measurable external input, regular approximations of the Brownian motion and point-wise convergence of the operators appearing in the stochastic integral term. Examples include nonlinear stochastic diffusion equations, linear diffusion equations with nonlinear Neumann boundary conditions and nonlinear stochastic porous media equations.

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Cited in

(17)

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• Invariant manifolds for nonautonomous stochastic evolution equation
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• Variational solutions to nonlinear stochastic differential equations in Hilbert spaces
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• Total variation flow perturbed by gradient linear multiplicative noise
• An operatorial approach to stochastic partial differential equations driven by linear multiplicative noise
• Optimal relaxed control of stochastic hereditary evolution equations with Lévy noise
• Vortices in a stochastic parabolic Ginzburg-Landau equation
• Polynomial stability of stochastic heat equations
• Stability and moment estimates for the stochastic singular \(\Phi\)-Laplace equation
• Perturbations of singular fractional SDEs
• Long time behavior of stochastic differential equations driven by linear multiplicative fractional noise
• On state-constrained porous-media systems with gradient-type multiplicative noise
• Nonlinear stochastic partial differential equations with singular diffusivity and gradient Stratonovich noise
• Stochastic porous media equations with divergence Itô noise
• Stability of solutions to stochastic partial differential equations

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