An optimal regularity result for Kolmogorov equations and weak uniqueness for some critical SPDEs

DOI10.1214/20-AOP1482zbMATH Open1467.35367arXiv1911.11032MaRDI QIDQ2039435FDOQ2039435

Authors: E. Priola 

Publication date: 2 July 2021

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We show uniqueness in law for the critical SPDE ${\displaystyle }$ dX_t = AX_t dt + (-A)^{1/2}F(X(t))dt + dW_t,;; X_0 =x in H, ${\displaystyle }$ where $A$ $:dom(A)subsetHoH$ is a negative definite self-adjoint operator on a separable Hilbert space $H$ having $A^{-1}$ of trace class and $W$ is a cylindrical Wiener process on $H$. Here $F:HoH$ can be continuous with at most linear growth (some functions $F$ which grow more than linearly can also be considered). This leads to new uniqueness results for generalized stochastic Burgers' equations and for three-dimensional stochastic Cahn-Hilliard type equations which have interesting applications. To get weak uniqueness we also establish a new optimal regularity result for the Kolmogorov equation $lambdau-Lu=f$ on $H$, where $lambda>0$, $f:HomathbbR$ is Borel and bounded and $L$ is the Ornstein-Uhlenbeck operator related to the SPDE when $F=0$. In particular we show that the first derivative $Du:HoH$ verifies $Du(x)inextdom((-A{)}^{1/2})$, for any $xinH,$ and moreover ${\displaystyle }$ sup_{x in H} |(-A)^{1/2}Du (x)|_H = | (-A)^{1/2}Du |_{0} le C , | f|_{0}. ${\displaystyle }$

Full work available at URL: https://arxiv.org/abs/1911.11032

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zbMATH Keywords

stochastic evolution equationcritical SPDEsoptimal regularity for Kolmogorov operatorsweak uniqueness in infinite dimensions

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Smoothness and regularity of solutions to PDEs (35B65) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited In (7)

• New regularity of Kolmogorov equation and application on approximation of semi-linear SPDEs with Hölder continuous drifts
• Spatial regularity for a class of degenerate Kolmogorov equations
• Kolmogorov equations and weak order analysis for SPDEs with nonlinear diffusion coefficient
• The Bakhvalov-Kolmogorov principle and asymptotically optimal algorithms for stationary problems in weakened Sobolev spaces.
• A note on the weak regularity theory for degenerate Kolmogorov equations
• Erratum to: ``An optimal regularity result for Kolmogorov equations and weak uniqueness for some critical SPDEs
• A counterexample to \(L^{\infty}\)-gradient type estimates for Ornstein-Uhlenbeck operators

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