Operator semigroups in the mixed topology and the infinitesimal description of Markov processes

MaRDI QIDQ6505757arXivFDO

Authors B. Goldys, Max Nendel, Michael Röckner

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Viscosity solutions to PDEs (35D40) Semigroups of nonlinear operators (47H20) Nonlinear evolution equations (47J35) Transition functions, generators and resolvents (60J35) One-parameter semigroups and linear evolution equations (47D06)

Abstract: We define a class of not necessarily linear $C_0$-semigroups $(P_t{)}_{tgeq0}$ on $C_b(E)$ (more generally, on $C_{k}appa(E):=frac1kappa{C}_b(E)$, for some growth bounding continuous function $kappa$) equipped with the mixed topology $a{u}_1^{m}athscrM$ for a large class of topological state spaces $E$. If these semigroups are linear, they are reconstructable through an Euler formula from their strong derivative at zero in $(C_b(E),a{u}_1^{mathscrM})$. In the linear case, we prove that such $(P_t{)}_{tgeq0}$ can be characterized as integral operators given by measure kernels satisfying certain tightness properties. As a consequence, transition semigroups of Markov processes are such $C_0$-semigroups on $C_b(E)$, if they leave $C_b(E)$ invariant and they are jointly weakly continuous in space and time. Hence, they can be reconstructed from their strong derivative at zero and thus have a fully infinitesimal description. This solves an open problem for Markov processes. Moreover, we introduce the notion of a Markov core operator $(L_0,D(L_0))$ for the above generators $(L,D(L))$ and prove that uniqueness of the Fokker-Planck-Kolmogorov equations corresponding to $(L_0,D(L_0))$ for all Dirac initial conditions implies that $(L_0,D(L_0))$ is a Markov core operator for $(L,D(L))$. As a consequence, we identify the Kolmogorov operators of a large number of S(P)DEs as Markov core operators for the infinitesimal generators of the $C_0$-semigroups on $C_{k}appa(E)$ given by their transition semigroups. If each $P_t$ is merely convex, we prove that $(P_t{)}_{tgeq0}$ gives rise to viscosity solutions to the Cauchy problem associated to its infinitesimal (nonlinear) generator. We show that value functions of optimal control problems, both, in finite and infinite dimensions are particular instances of such $C_0$-semigroups on $C_{k}appa(E)$.

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