Translation invariant diffusions in the space of tempered distributions

DOI10.1007/S13226-013-0012-0MaRDI QIDQ2392874zbMATH OpenOpenAlexFDO

Authors B. Rajeev

Publication date 5 August 2013

Published in Indian Journal of Pure \& Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.09184

zbMATH Keywords

Hermite-Sobolev spacemonotonicity inequalitynonlinear evolution equationstochastic partial differential equationtranslate of diffusion

Mathematics Subject Classification ID

Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60)

Abstract: In this paper we prove existence and pathwise uniqueness for a class of stochastic differential equations (with coefficients $sigm{a}_{ij},b_i$ and initial condition $y$ in the space of tempered distributions) that maybe viewed as a generalisation of Ito's original equations with smooth coefficients . The solutions are characterized as the translates of a finite dimensional diffusion whose coefficients $sigm{a}_{ij}starildey,b_{i}starildey$ are assumed to be locally Lipshitz.Here $star$ denotes convolution and $ildey$ is the distribution which on functions, is realised by the formula $ildey(r):=y(-r)$ . The expected value of the solution satisfies a non linear evolution equation which is related to the forward Kolmogorov equation associated with the above finite dimensional diffusion.

Review text

Consider the stochastic partial differential equation \(dY_t= AY_t\cdot dBt+ LY_t dt\), \(Y_0= y\), in the space \(S'\) of tempered distributions, where \((B_t)\) is a \(d\)-dimensional Brownian motion, \(A= (A_1,\dots, A_d)\), and \(L\), \(A_j\), \(j= 1,\dots,d\), are nonlinear operators in \(S'\) given by \[ A_j\varphi= -\sum^d_{i=1} \langle\sigma, \varphi\rangle_{ij}\partial_i\phi, \] \[ L\varphi= (1/2) \sum^d_{i,j=1} (\langle\sigma, \varphi\rangle\langle\sigma, \varphi\rangle^T)_{i, j}\partial^2_{ij} \varphi-\sum^d_{i=1}\langle b, \varphi\rangle_i\partial_i\varphi, \] with coefficients \(\sigma= (\sigma_{ij})^d_{i,j= 1}\), \(b= (b_i)^d_{i=1}\). The author proves existence and pathwise uniqueness results, characterizes the solution as translate of a finite-dimensional diffusion, and shows that its expectation satisfies a nonlinear evolution equation related to Kolmogorov's forward equation for the diffusion.

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Cites work

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Cited in

(12)

• No temporal distributional limit theorem for a.e. irrational translation
• An Itō formula in the space of tempered distributions
• A class of stochastic differential equations with pathwise unique solutions
• Stochastic PDEs in \(\mathcal{S}'\) for SDEs driven by Lévy noise
• On the Feynman–Kac Formula
• Characterizing Gaussian flows arising from Itô's stochastic differential equations
• Existence and uniqueness of stochastic PDEs associated with the forward equations: an approach using alternate norms
• Stochastic PDEs involving a bilaplacian operator
• Weak solutions of SPDEs in the space of tempered distributions
• Stochastic partial differential equations and invariant manifolds in embedded Hilbert spaces
• A note on invariant manifolds for stochastic partial differential equations in the framework of the variational approach
• Solutions of SPDE's associated with a stochastic flow

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