Strong uniqueness for SDEs in Hilbert spaces with nonregular drift

DOI10.1214/15-AOP1016zbMATH Open1347.60077arXiv1404.5418OpenAlexW2148974844WikidataQ59895409 ScholiaQ59895409MaRDI QIDQ726799FDOQ726799

Franco Flandoli, A. Yu. Veretennikov, Michael Röckner, Guiseppe Da Prato

Publication date: 14 July 2016

Published in: The Annals of Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1404.5418

zbMATH Keywords

stochastic partial differential equationsstochastic differential equationsHilbert spacesmaximal regularitypathwise uniquenessquasi-regular Dirichlet formsZvonkin-type transformation

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) Dirichlet forms (31C25) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited In (24)

• The infinitesimal generator of the stochastic Burgers equation
• On the relation between the Girsanov transform and the Kolmogorov equations for SPDEs
• Stochastic Navier-Stokes equations and related models
• Estimates for invariant probability measures of degenerate SPDEs with singular and path-dependent drifts
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• Scattering for stochastic nonlinear Schrödinger equations
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• Degenerate SDEs with singular drift and applications to Heisenberg groups
• Regularization by transport noises for 3D MHD equations
• A natural extension of Markov processes and applications to singular SDEs
• High mode transport noise improves vorticity blow-up control in 3D Navier-Stokes equations
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• Existence and Uniqueness for a Class of SPDEs Driven by L'{e}vy Noise in Hilbert Spaces
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• Degenerate SDE with Hölder-Dini drift and non-Lipschitz noise coefficient
• Gradient estimates and applications for SDEs in Hilbert space with multiplicative noise and Dini continuous drift
• A BSDEs approach to pathwise uniqueness for stochastic evolution equations
• Hyperviscous stochastic Navier–Stokes equations with white noise invariant measure
• Kolmogorov operators and SPDEs
• Prevalence of \(\rho\)-irregularity and related properties
• Optimal Control of Nonlinear Stochastic Differential Equations on Hilbert Spaces
• Regularization by noise for stochastic Hamilton-Jacobi equations
• Noiseless regularisation by noise

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