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

DOI10.1214/11-AOP661zbMATH Open1267.60074arXiv1011.3996OpenAlexW2080536521MaRDI QIDQ439883FDOQ439883

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

Publication date: 17 August 2012

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

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 $K_{a}lpha=fin{L}^2(0,1)|fgeq-alpha,alphageq0$.

Full work available at URL: https://arxiv.org/abs/1011.3996

Recommendations

• BV functions in a Gelfand triple and the stochastic reflection problem on a convex set of a Hilbert space
• Stochastic differential equations with a convex constraint
• BV functions and distorted Ornstein Uhlenbeck processes over the abstract Wiener space
• BV functions in Hilbert spaces
• BV functions in a Gelfand triple for differentiable measure and its applications

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)

Cites Work

• Title not available (Why is that?)
• White noise driven quasilinear SPDEs with reflection
• Dirichlet forms and symmetric Markov processes
• A concise course on stochastic partial differential equations
• Title not available (Why is that?)
• The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities
• Uniqueness for stochastic evolution equations in Banach spaces
• BV functions in abstract Wiener spaces
• Tightness of general \(C_{1,p}\) capacities on Banach space
• Title not available (Why is that?)
• On the space of BV functions and a related stochastic calculus in infinite dimensions
• Kolmogorov equation associated to the stochastic reflection problem on a smooth convex set of a Hilbert space
• Existence and stability for Fokker-Planck equations with log-concave reference measure
• On semi-martingale characterizations of functionals of symmetric Markov processes
• Singular dissipative stochastic equations in Hilbert spaces
• BV functions and distorted Ornstein Uhlenbeck processes over the abstract Wiener space
• Classical Dirichlet forms on topological vector spaces --- closability and a Cameron-Martin formula
• Integration by parts formulae on convex sets of paths and applications to SPDEs with reflection
• BV functions in a Hilbert space with respect to a Gaussian measure
• On time change of symmetric Markov processes

Cited In (14)

• 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
• 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
• Stochastic variational inequalities associated with elasto-plastic torsion
• The Controllability of Fokker--Planck Equations with Reflecting Boundary Conditions and Controllers in Diffusion Term
• 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

This page was built for publication: The stochastic reflection problem on an infinite dimensional convex set and BV functions in a Gelfand triple

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q439883)