A BSDEs approach to pathwise uniqueness for stochastic evolution equations

DOI10.1016/J.JDE.2023.04.014MaRDI QIDQ6155310zbMATH OpenOpenAlexFDO

Authors Davide Addona, Federica Masiero, E. Priola

Publication date 12 June 2023

Published in Journal of Differential Equations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2110.01994

zbMATH Keywords

backward stochastic differential equationsstrong uniquenesssemilinear stochastic heat equationsHölder continuous driftnonlinear stochastic PDEssemilinear stochastic Euler-Bernoulli beam equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Abstract: We prove strong well-posedness for a class of stochastic evolution equations in Hilbert spaces H when the drift term is Holder continuous. This class includes examples of semilinear stochastic damped wave equations which describe elastic systems with structural damping (for such equations even existence of solutions in the linear case is a delicate issue) and semilinear stochastic 3D heat equations. In the deterministic case, there are examples of non-uniqueness in our framework. Strong (or pathwise) uniqueness is restored by means of a suitable additive Wiener noise. The proof of uniqueness relies on the study of related systems of infinite dimensional forward-backward SDEs (FBSDEs). This is a different approach with respect to the well-known method based on the Ito formula and the associated Kolmogorov equation (the so-called Zvonkin transformation or Ito-Tanaka trick). We deal with approximating FBSDEs in which the linear part generates a group of bounded linear operators in H; such approximations depend on the type of SPDEs we are considering. We also prove Lipschitz dependence of solutions from their initial conditions.

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Cited in

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• Existence and uniqueness for BSDE with stopping time
• A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance
• Schauder estimates for stationary and evolution equations associated to stochastic reaction-diffusion equations driven by colored noise
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• Schauder regularity results in separable Hilbert spaces
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