A note on semilinear stochastic equations

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Review text

The authors consider a semilinear equation: \[ (1)\quad dX(t)=[AX(t)+F(X(t))]dt+dW(t),\quad X(0)=\xi, \] where A: D(A)\(\subset H\to H\) is the infinitesimal generator of a strongly continuous semigroup S(\(\cdot)\) in H and F: D(F)\(\subset H\to H\) is a nonlinear mapping in the separable Hilbert space H. Moreover W(\(\cdot)\) is an H-valued cylindrical Wiener process (that is the covariance of W(t) is tI) in a probability space (\(\Omega\),F,P), adapted to a given normal filtration \(\{\) \({\mathcal F}_ t\}\) in \({\mathcal F}\) and that \(\xi\) is an \({\mathcal F}_ 0\)-measurable random variable. F is not regular on H but it is locally Lipshitz continuous on a smaller Banach space E. It is assumed that E is an invariant subspace for S(t), \(t\geq 0.\) Equation (1) is written in the integral form \[ (2)\quad X(t)=S(t)\xi +\int^{t}_{0}S(t-s)F(X(s))ds+W_ A(t), \] where \[ (3)\quad W_ A(t)=\int^{t}_{0}S(t-s)dW(s). \] Under suitable hypotheses it is shown that the stochastic convolution \(W_ A\) has continuous trajectories on E; then equation (2) is solved path by path in E locally, and in some case globally in time.

Recommendations

Cited in

(21)

This page was built for publication: A note on semilinear stochastic equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2641007)