Path-dependent infinite-dimensional SDE with non-regular drift: an existence result

DOI10.1214/15-AIHP728zbMATH Open1367.60066arXiv1410.6930OpenAlexW2252651121MaRDI QIDQ2357263FDOQ2357263

Authors: David Dereudre, Sylvie Rœlly 

Publication date: 13 June 2017

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: We establish in this paper the existence of weak solutions of infinite-dimensional shift invariant stochastic differential equations driven by a Brownian term. The drift function is very general, in the sense that it is supposed to be neither bounded or continuous, nor Markov. On the initial law we only assume that it admits a finite specific entropy and a finite second moment. The originality of our method leads in the use of the specific entropy as a tightness tool and in the description of such infinite-dimensional stochastic process as solution of a variational problem on the path space. Our result clearly improves previous ones obtained for free dynamics with bounded drift.

Full work available at URL: https://arxiv.org/abs/1410.6930

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zbMATH Keywords

variational principlespecific entropynon-Markovian driftinfinite-dimensional stochastic differential equationnon-regular drift

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (8)

• Estimates for invariant probability measures of degenerate SPDEs with singular and path-dependent drifts
• Title not available (Why is that?)
• On path-dependent SDEs involving distributional drifts
• Title not available (Why is that?)
• Local weak convergence for sparse networks of interacting processes
• Infinite-dimensional Wiener processes with drift
• Interacting stochastic processes on sparse random graphs
• Locally interacting diffusions as Markov random fields on path space

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