On the Dirichlet semigroup for Ornstein-Uhlenbeck operators in subsets of Hilbert spaces

DOI10.1016/J.JFA.2010.04.016MaRDI QIDQ709225zbMATH OpenOpenAlexFDO

Authors Guiseppe Da Prato, Alessandra Lunardi

Publication date 18 October 2010

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1006.1523

Dirichlet semigroup Gaussian measures Hilbert spaces Ornstein-Uhlenbeck operators Sobolev spaces

PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Groups and semigroups of linear operators, their generalizations and applications (47D99) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: We consider a family of self-adjoint Ornstein--Uhlenbeck operators

L_{a l p h a}

in an infinite dimensional Hilbert space H having the same gaussian invariant measure

m u

for all

a l p h a i n [0, 1]

. We study the Dirichlet problem for the equation

l a m b d a p h i - L_{a l p h a} p h i = f

in a closed set K, with

f i n L^{2} (K, m u)

. We first prove that the variational solution, trivially provided by the Lax---Milgram theorem, can be represented, as expected, by means of the transition semigroup stopped to K. Then we address two problems: 1) the regularity of the solution

v a r p h i

(which is by definition in a Sobolev space

W_{a l p h a}^{1, 2} (K, m u)

) of the Dirichlet problem; 2) the meaning of the Dirichlet boundary condition. Concerning regularity, we are able to prove interior

W_{a l p h a}^{2, 2}

regularity results; concerning the boundary condition we consider both irregular and regular boundaries. In the first case we content to have a solution whose null extension outside K belongs to

W_{a l p h a}^{1, 2} (H, m u)

. In the second case we exploit the Malliavin's theory of surface integrals which is recalled in the Appendix of the paper, then we are able to give a meaning to the trace of

p h i

at the boundary of K and to show that it vanishes, as it is natural.

Review text

This paper presents several interesting results on second order elliptic and parabolic equations with Dirichlet boundary conditions in a closed set \(K\) of a separable real Hilbert space \(H\). The authors consider a family of self-adjoint Ornstein-Uhlenbeck operators \(\mathcal{L}_{\alpha}\), \(0 \leq \alpha \leq 1\), in \(H\) having the same invariant measure \(\mu\), and they study the Dirichlet problem for the equation \(\lambda \varphi - \mathcal{L}_{\alpha} \varphi =f\) in \(K\), with \(\varphi = 0\) on the boundary \(\partial K\) of \(K\), for \(f \in L^2(K,\mu)\). After the necessary definitions in Section 2 of Sobolev spaces over \(H\) and over \(K\), it is proved in Section 3 that the variational solution provided by the Lax-Milgram theorem can be represented by means of the transition semigroup stopped to \(K\). Some properties of the semigroup and the generator are presented, too. Section 4 investigates the regularity of the solution \(\varphi\) for \(\alpha < 1\). In Section 5, the authors consider domains \(K\) with smooth boundaries and analyze the meaning of the Dirichlet boundary condition. Here, Malliavin's theory of surface integrals for Gaussian measures in infinite dimensional spaces is exploited. In an appendix, a simplified representation of a surface measure in the case of a Hilbert space under weaker assumptions is given. This permits the authors to give a meaning of the trace of \(\varphi\) at the boundary and to show that it vanishes.

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