On coupled systems of Kolmogorov equations with applications to stochastic differential games

DOI10.1051/COCV/2016019MaRDI QIDQ5269839zbMATHOpenAlexFDO

Authors Davide Addona, Luciana Angiuli, Luca Lorenzi, Gianmario Tessitore

Publication date 28 June 2017

Published in ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.04845

zbMATH Keywords

compactnessunbounded coefficientsgradient estimatesstochastic gamesevolution operatorssemilinear systemsnonautonomous parabolic systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems for second-order parabolic systems (35K45) Semilinear parabolic equations (35K58) Stochastic games, stochastic differential games (91A15) Linear operators defined by compactness properties (47B07)

Abstract: We prove that a family of linear bounded evolution operators $$ can be associated, in the space of vector-valued bounded and continuous functions, to a class of systems of elliptic operators $$ with unbounded coefficients defined in $IimesRd$ (where $I$ is a right-halfline or $I=R$) all having the same principal part. We establish some continuity and representation properties of $$ and a sufficient condition for the evolution operator to be compact in $C_b(Rd;R^m)$. We prove also a uniform weighted gradient estimate and some of its more relevant consequence.

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Cited in

(11)

• On a perturbation of a class of Schr"odinger systems in -spaces
• On the \(L^p\)-theory of vector-valued elliptic operators
• Generation of semigroups associated to strongly coupled elliptic operators in \(L^p (\mathbb{R}^d; \mathbb{R}^m)\)
• Generation results for vector-valued elliptic operators with unbounded coefficients in \(L^p\) spaces
• On vector-valued Schrödinger operators with unbounded diffusion in \(L^p\) spaces
• Vector-valued Schrödinger operators in \(L^p\)-spaces
• On a polynomial scalar perturbation of a Schrödinger system in \(L^{p}\)-spaces
• On weakly coupled systems of partial differential equations with different diffusion terms
• scientific article; zbMATH DE number 4149928 (Why is no real title available?)
• Invariant measures for systems of Kolmogorov equations
• Stability of transition semigroups and applications to parabolic equations

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