Translation invariant diffusions in the space of tempered distributions

DOI10.1007/S13226-013-0012-0zbMATH Open1287.60079arXiv1706.09184OpenAlexW2080095515MaRDI QIDQ2392874FDOQ2392874

B. Rajeev

Publication date: 5 August 2013

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

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.

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

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zbMATH Keywords

monotonicity inequalitynonlinear evolution equationstochastic partial differential equationHermite-Sobolev spacetranslate of diffusion

Mathematics Subject Classification ID

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

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Cited In (7)

• No temporal distributional limit theorem for a.e. irrational translation
• Characterizing Gaussian flows arising from Itô's stochastic differential equations
• Stochastic PDEs in \(\mathcal{S}'\) for SDEs driven by Lévy noise
• On the Feynman–Kac Formula
• Solutions of SPDE's associated with a stochastic flow
• An Itō formula in the space of tempered distributions
• A class of stochastic differential equations with pathwise unique solutions

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