Strong uniqueness for SDEs in Hilbert spaces with nonregular drift
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stochastic partial differential equationsstochastic differential equationsHilbert spacesmaximal regularitypathwise uniquenessquasi-regular Dirichlet formsZvonkin-type transformation
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) Dirichlet forms (31C25) PDEs with randomness, stochastic partial differential equations (35R60)
Abstract: We prove pathwise uniqueness for a class of stochastic differential equations (SDE) on a Hilbert space with cylindrical Wiener noise, whose nonlinear drift parts are sums of the sub-differential of a convex function and a bounded part. This generalizes a classical result by one of the authors to infinite dimensions. Our results also generalize and improve recent results by N. Champagnat and P. E. Jabin, proved in finite dimensions, in the case where their diffusion matrix is constant and nondegenerate and their weakly differentiable drift is the (weak) gradient of a convex function. We also prove weak existence, hence obtain unique strong solutions by the Yamada-Watanabe theorem. The proofs are based in part on a recent maximal regularity result in infinite dimensions, the theory of quasi-regular Dirichlet forms and an infinite dimensional version of a Zvonkin-type transformation. As a main application, we show pathwise uniqueness for stochastic reaction diffusion equations perturbed by a Borel measurable bounded drift. Hence, such SDE have a unique strong solution.
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Cited in
(32)- The infinitesimal generator of the stochastic Burgers equation
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