Singular stochastic equations on Hilbert spaces: Harnack inequalities for their transition semigroups

Harnack inequality infinitesimally invariant probability invariant probability measure Kolmogorov operator Markov transition kernels monotone coefficients stochastic differential equations Yosida approximation

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35)

Abstract: We consider stochastic equations in Hilbert spaces with singular drift in the framework of [Da Prato, R"ockner, PTRF 2002]. We prove a Harnack inequality (in the sense of [Wang, PTRF 1997]) for its transition semigroup and exploit its consequences. In particular, we prove regularizing and ultraboundedness properties of the transition semigroup as well as that the corresponding Kolmogorov operator has at most one infinitesimally invariant measure

m u

(satisfying some mild integrability conditions). Finally, we prove existence of such a measure

m u

for non-continuous drifts.

Review text

The authors continue earlier investigations [\textit{G.\,Da\,Prato} and \textit{M.\,Röckner}, Probab.\ Theory Relat.\ Fields 124, No.\,2, 261--303 (2002; Zbl 1036.47029)] in order to prove a Harnack inequality for solutions \((X(t))\) of stochastic differential equations (resp., their transition kernels) in the sense of \textit{F.-Y.\thinspace Wang} [Probab.\ Theory Relat.\ Fields 109, No.\,3, 417--424 (1997; Zbl 0887.35012)] of the form \[ d X(t)=(A X(t) + F(X(t)))dt + \sigma d W(t), \quad X(0) = x (\in H), \] where \(H\) is a separable Hilbert space, \((W(t))\) a cylindrical Brownian motion on \(H\), \(\sigma\) a positive definite operator with bounded inverse, \((A, D(A))\) the generator of a \(C_0\)-one-parameter semigroup satisfying the growth condition \(\langle Ax,x\rangle \leq \omega \| x\|^2\) on the domain \(D(A)\), for some real \(\omega\). \(F\) is a set-valued \(m\)-dissipative map \(F:H\supseteq D(F)\to 2^H\). Let \(F_0\) denote a map \(F_0:D(F)\to H\) satisfying \(F_0(x)\in F(x)\) and \(|F_0(x)| = \min_{y\in F(x)}|y|\). The corresponding Kolmogorov operator \(L_0\), defined on a subspace \(\mathcal{E}_A(H)\subseteq B_b(H)\), the space of bounded measurable real functions, is defined by \[ L_0(\varphi)(x)= \tfrac{1}{2} \mathrm{tr}(\sigma^2 D^2 \varphi(x))+ \langle x, A^*D\varphi(x)\rangle + \langle F_0(x), D\varphi(x)\rangle \] for \(x\in D(F)\), \(\varphi\in \mathcal{E}_A(H)\). The investigations rely, as in the aforementioned paper, on several assumptions, \(H_0 - H_5\). In particular, \(H_4\) implies the existence of a infinitesimally invariant probability measure \(\mu\) concentrated on the domain \(D(F)\), and \(L_0\) generates a Markov semigroup of transition kernels, called \(p_t^\mu(\cdot, d x)\) (on \(L^2(H,\mu)\)), such that a Harnack inequality holds for \(p>1\), \(f\in B_b(H)\) (Theorem 1.6): \[ (p_t^\mu f(x))^p \leq p_t^\mu f^p(y)\cdot \exp \left[\|\sigma^{-1}\|^2 p \omega |x-y|^2/\left((p-1)(1-\mathrm{e}^{-2\omega t})\right) \right] \] for \(x, y\in \operatorname{supp} \mu =: H_0\) and \( t>0\). The authors prove four corollaries of the main result, implying, e.g., the uniqueness of \(\mu\), estimates for the \(\mu\)-densities of the kernels \(p_t(y,\cdot)\) and hyper-boundedness of the transition operators, and, furthermore, \(p_t^\mu(L^p(H,\mu))\subseteq C(H_0)\) for all \(t>0\), hence the strong Feller property. The proof runs along the following steps: first the measurable function \(F\) (resp., \(F_0\)) is approximated by resolvents \(x\mapsto F_\alpha(x) := \frac{1}{\alpha}((I-\alpha F)^{-1}-I)(x)\) (Yosida approximation), \(\alpha >0\), which are single-valued Lipschitz functions, and these are approximated by \(C^\infty\)-functions \(F_{\alpha,\beta}\) (defined by regularizations with Gaussian distributions), and analogously, at first \(f\) is assumed to be bounded Lipschitz, then the results are extended to \(f\in C_b(H)\), and finally to \(f\in B_b(H)\).

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