On the relation between the Girsanov transform and the Kolmogorov equations for SPDEs

DOI10.1007/S11118-021-09924-1zbMATH Open1506.60064arXiv2006.06189OpenAlexW3035440190MaRDI QIDQ2099171FDOQ2099171

Dejun Luo, Cristiano Ricci, Franco Flandoli

Publication date: 23 November 2022

Published in: Potential Analysis (Search for Journal in Brave)

Abstract: The Girsanov transform and Kolmogorov equations are two useful methods for studying SPDEs. It is shown that, under suitable conditions, the series expansion obtained from the Girsanov transform coincides with the one generated by an iteration scheme for Kolmogorov equations. We also apply the iteration approach to extend the well posedness theory for Kolmogorov equations beyond the boundedness condition on the nonlinear term.

Full work available at URL: https://arxiv.org/abs/2006.06189

zbMATH Keywords

Kolmogorov equationGirsanov transform

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02) Random operators and equations (aspects of stochastic analysis) (60H25) Fixed-point iterations (47J26)

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Cited In (3)

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• On perturbations of symmetric gaussian diffusions
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