The stochastic reflection problem on an infinite dimensional convex set and BV functions in a Gelfand triple

DOI10.1214/11-AOP661MaRDI QIDQ439883zbMATH OpenOpenAlexFDO

Authors Michael Röckner, Rong-Chan Zhu, Xiang-Chan Zhu

Publication date 17 August 2012

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1011.3996, https://projecteuclid.org/euclid.aop/1341401148

zbMATH Keywords

Ornstein-Uhlenbeck processDirichlet formsBV functionsGelfand triplesintegration by parts formula in infinite dimensions.stochastic reflection problems

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Functions of bounded variation, generalizations (26A45) Dirichlet forms (31C25)

Abstract: In this paper, we introduce a definition of BV functions in a Gelfand triple which is an extension of the definition of BV functions in [2] by using Dirichlet form theory. By this definition, we can consider the stochastic reflection problem associated with a self-adjoint operator $A$ and a cylindrical Wiener process on a convex set $Gamma$ in a Hilbert space $H$. We prove the existence and uniqueness of a strong solution of this problem when $Gamma$ is a regular convex set. The result is also extended to the non-symmetric case. Finally, we extend our results to the case when $Gamma=K_{a}lpha$, where $K_{a}lpha=fin{L}^2(0,1)|fgeq-alpha,alphageq0$.

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Cited in

(19)

• BV functions in Hilbert spaces
• Integration by parts on the law of the modulus of the Brownian bridge
• Maximal Sobolev regularity in Neumann problems for gradient systems in infinite dimensional domains
• The stochastic reflection problem with multiplicative noise
• Surface measures generated by differentiable measures
• Bounded variation with respect to a log-concave measure
• On the law of the minimum in a class of unidimensional SDEs
• About the infinite dimensional skew and obliquely reflected Ornstein-Uhlenbeck process
• Restricted Markov uniqueness for the stochastic quantization of \(P(\Phi)_{2}\) and its applications
• On Skorokhod differentiable measures
• The stochastic reflection problem in Hilbert spaces
• BV functions in a Gelfand triple and the stochastic reflection problem on a convex set of a Hilbert space
• Stochastic variational inequalities associated with elasto-plastic torsion
• BV functions in a Gelfand triple for differentiable measure and its applications
• On functions of bounded variation on convex domains in Hilbert spaces
• Stochastic differential equations with a convex constraint
• Some fine properties of BV functions on Wiener spaces
• Infinite dimensional reflecting Ornstein-Uhlenbeck stochastic process on non-convex open sets
• The controllability of Fokker-Planck equations with reflecting boundary conditions and controllers in diffusion term

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