Equivalence of laws and null controllability for SPDEs driven by a fractional Brownian motion

DOI10.1007/S00030-012-0218-6MaRDI QIDQ2392236zbMATH OpenOpenAlexFDO

Authors B. Maslowski, Jan van Neerven

Publication date 1 August 2013

Published in NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.1183

zbMATH Keywords

equivalence of lawsfractional Brownian motionnull controllabilitystochastic evolution equation

Mathematics Subject Classification ID

Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: We obtain necessary and sufficient conditions for equivalence of law for linear stochastic evolution equations driven by a general Gaussian noise by identifying the suitable space of controls for the corresponding deterministic control problem. This result is applied to semilinear (reaction-diffusion) equations driven by a fractional Brownian motion. We establish the equivalence of continuous dependence of laws of solutions to semilinear equations on the initial datum in the topology of pointwise convergence of measures and null controllability for the corresponding deterministic control problem.

Review text

The authors deal with the equivalence of laws for stochastic evolution equations \[ dX(t) = A X(t) \, dt + B \, dW, \quad X(0) = x_0, \] on a time interval \([0,T]\), where the state space \(E\) is a real separable Hilbert space and \(W\) is an \(\mathcal{H}\)-isonormal process on some real Hilbert space \(\mathcal{H}\). Under suitable conditions, they show that for all \(x_0 \in E\) the laws of the solutions are mutually absolutely continuous if and only if for all \(x_0 \in E\) the problem \[ x' = Ax + Bf, \quad x(0) = x_0, \] is null controllable in time \(T\) with a control \(f \in \mathcal{H}^*\). They apply this result to fractional Ornstein-Uhlenbeck processes, and, as another application, they prove the strong Feller property for stochastic semilinear equations with additive fractional noise.

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Cited in

(3)

• Law equivalence of Ornstein-Uhlenbeck processes driven by a Lévy process
• 2D Navier-Stokes equation with cylindrical fractional Brownian noise
• Stochastic evolution equations with Volterra noise

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