On linear stochastic flows

DOI10.1090/TRAN/8782MaRDI QIDQ6138013zbMATH OpenOpenAlexFDO

Authors B. Goldys, Szymon Peszat

Publication date 16 January 2024

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2105.04140

zbMATH Keywords

Hilbert spacemild solutionstochastic equations with multiplicative noisestochastic flowunbounded operators

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: We study the existence of the stochastic flow associated to a linear stochastic evolution equation ${\displaystyle }$d X= AX,d t +sum_{k} B_k X,d W_k, ${\displaystyle }$ on a Hilbert space. Our first result covers the case where $A$ is the generator of a $C_0$-semigroup, and $(B_k)$ is a sequence of bounded linear operators such that $su{m}_k|B_k|<+infty$. We also provide sufficient conditions for the existence of stochastic flows in the Schatten classes beyond the space of Hilbert-Schmidt operators. Some new results and examples concerning the so-called commutative case are presented as well.

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Cited in

(1)

• Generalized Ornstein-Uhlenbeck process for affine stochastic functional differential equations and its applications

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