An operatorial approach to stochastic partial differential equations driven by linear multiplicative noise
From MaRDI portal
(Redirected from Publication:496465)
Abstract: In this paper, we develop a new general approach to the existence and uniqueness theory of infinite dimensional stochastic equations of the form dX+A(t)Xdt = XdW in (0;T)xH, where A(t) is a nonlinear monotone and demicontinuous operator from V to V', coercive and with polynomial growth. Here, V is a reflexive Banach space continuously and densely embedded in a Hilbert space H of (generalized) functions on a domain and V' is the dual of V in the duality induced by H as pivot space. Furthermore, W is a Wiener process in H. The new approach is based on an operatorial reformulation of the stochastic equation which is quite robust under perturbation of A(t). This leads to new existence and uniqueness results of a larger class of equations with linear multiplicative noise than the one treatable by the known approaches. In addition, we obtain regularity results for the solutions with respect to both the time and spatial variable which are sharper than the classical ones. New applications include stochastic partial differential equations, as e.g. stochastic transport equations.
The aim of the paper is to study the existence and uniqueness of the solution to a nonlinear monotone stochastic differential equation \[ dX(t)+ A(t)X(t)dt = X(t)dW(t) \] with linear multiplicative noise in a real separable Hilbert space. The approach is to introduce the rescaling transform \(X(t)= e^{W(t)}y(t)\) and to reduce the above equation to the random differential equation \[ \frac{dy}{dt}(t) + e^{-W(t)}A(t)(e^{W(t)}y(t)) +\mu y(t)=0,\qquad t\in [0,T], \] which is treated as an operational equation in a convenient Hilbert space and can be rewritten as a monotone-type random equation in an appropriate space of infinite-dimensional stochastic processes on \([0,T]\). When the nonlinear operator is the subgradient of a convex function, the problem reduces to a convex optimization problem. One of the advantages of the approach adopted in this paper is that it gives sharp pointwise estimates and new pathwise regularity for the solutions.
Recommendations
- A variational approach to nonlinear stochastic differential equations with linear multiplicative noise
- Stochastic evolution equations with multiplicative noise
- Stochastic equations with an unbounded operator coefficient and multiplicative noise
- Variational solutions to nonlinear stochastic differential equations in Hilbert spaces
- Well-posedness of monotone semilinear SPDEs with semimartingale noise
Cites work
- A concise course on stochastic partial differential equations
- A convergence result for stochastic partial differential equations
- A variational approach to stochastic nonlinear parabolic problems
- Existence and convergence results for infinite dimensional nonlinear stochastic equations with multiplicative noise
- Functional analysis, Sobolev spaces and partial differential equations
- scientific article; zbMATH DE number 3491650 (Why is no real title available?)
- scientific article; zbMATH DE number 3277871 (Why is no real title available?)
- scientific article; zbMATH DE number 3374742 (Why is no real title available?)
- scientific article; zbMATH DE number 3302617 (Why is no real title available?)
- Nonlinear Differential Equations of Monotone Types in Banach Spaces
- On a random scaled porous media equation
- Optimal control approach to nonlinear diffusion equations driven by Wiener noise
- Stochastic Equations in Infinite Dimensions
- Stochastic evolution equations
- Stochastic generalized porous media and fast diffusion equations
- Stochastic variational inequalities and applications to the total variation flow perturbed by linear multiplicative noise
- Sur une classe de problèmes d'évolution non linéaires
Cited in
(46)- Stochastic nonlinear parabolic equations with Stratonovich gradient noise
- Nonlinear Fokker-Planck equations driven by Gaussian linear multiplicative noise
- A splitting algorithm for stochastic partial differential equations driven by linear multiplicative noise
- Entropy solutions for stochastic porous media equations
- Stochastic equations with an unbounded operator coefficient and multiplicative noise
- Global solutions to random 3D vorticity equations for small initial data
- Rescaling approach for a stochastic population dynamics equation perturbed by a linear multiplicative Gaussian noise
- Existence for nonlinear finite dimensional stochastic differential equations of subgradient type
- A solution theory for a general class of SPDEs
- Strong dissipativity of generalized time-fractional derivatives and quasi-linear (stochastic) partial differential equations
- Large deviations for stochastic 3D Leray-\( \alpha \) model with fractional dissipation
- Optimal regularity in time and space for stochastic porous medium equations
- Construction of minimal mass blow-up solutions to rough nonlinear Schrödinger equations
- Nonlinear diffusion equations with nonlinear gradient noise
- Global solutions for random vorticity equations perturbed by gradient dependent noise, in two and three dimensions
- Optimal bilinear control of stochastic nonlinear Schrödinger equations: mass-(sub)critical case
- Optimal control of the FitzHugh-Nagumo stochastic model with nonlinear diffusion
- Stochastic evolution equations with singular drift and gradient noise via curvature and commutation conditions
- Variational solutions to nonlinear stochastic differential equations in Hilbert spaces
- Supremum estimates for degenerate, quasilinear stochastic partial differential equations
- Scattering for stochastic nonlinear Schrödinger equations
- A self-dual variational approach to stochastic partial differential equations
- Stochastic evolution equations with multiplicative noise
- Path-by-path well-posedness of nonlinear diffusion equations with multiplicative noise
- Stochastic energy balance climate models with Legendre weighted diffusion and an additive cylindrical Wiener process forcing
- Backward uniqueness of stochastic parabolic like equations driven by Gaussian multiplicative noise
- Variational approach to nonlinear stochastic differential equations in Hilbert spaces
- The monotonicity inequality for linear stochastic partial differential equations
- Total variation flow perturbed by gradient linear multiplicative noise
- Quasi-Linear (Stochastic) Partial Differential Equations with Time-Fractional Derivatives
- Stochastic PDEs via convex minimization
- The stochastic logarithmic Schrödinger equation
- Strichartz and local smoothing estimates for stochastic dispersive equations with linear multiplicative noise
- A variational approach to nonlinear stochastic differential equations with linear multiplicative noise
- Doubly nonlinear stochastic evolution equations
- Well-posedness of SVI solutions to singular-degenerate stochastic porous media equations arising in self-organized criticality
- Operator differential-algebraic equations with noise arising in fluid dynamics
- Boundary stabilisation to non-stationary solutions for deterministic and stochastic parabolic-type equations
- On the well‐posedness of a class of nonautonomous SPDEs: An operator‐theoretical perspective
- Stability and moment estimates for the stochastic singular \(\Phi\)-Laplace equation
- Operator-valued stochastic differential equations in the context of Kurzweil-like equations
- On linear stochastic flows
- Stochastic nonlinear Schrödinger equations in the defocusing mass and energy critical cases
- Nonlinear stochastic partial differential equations with singular diffusivity and gradient Stratonovich noise
- Kolmogorov operators and SPDEs
- Stability of solutions to stochastic partial differential equations
This page was built for publication: An operatorial approach to stochastic partial differential equations driven by linear multiplicative noise
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q496465)
