Smoothing properties of nonlinear transition semigroups: case of Lipschitz nonlinearities
Consider, in a separable Hilbert space \(H\), a semilinear stochastic equation \[ dX(t)=[AX(t)+F(X(t))]dt+{\sqrt Q}dW(t),\;t\in]0,T];\qquad X(0)=x\in H, \] where \(A:D(A)\subset H\to H\) generates a strongly continuous semigroup \(e^{tA}\) on \(H\) such that \(\| e^{tA}\| \leq Me^{at}\) for some \(a<0\), \(W\) is a cylindrical Wiener process in \(H\), \(Q\) is linear continuous, self-adjoint and nonnegative, and \(F:H\to H\) is a nonlinear function. It is known [see \textit{G. Da Prato} and \textit{J. Zabczyk}, Stochastics Stochastics Rep. 35, No. 2, 63--77 (1991; Zbl 0726.60062)] that under appropriate additional assumptions on \(A\) and \(Q\), if \(F\) is bounded, the transition semigroup \(P_t\varphi(x):=E\varphi(X(t,x))\) (\(X(t,x)\) being the unique mild solution to the equation) transforms bounded measurable functions into Fréchet differentiable ones. The main theorem states that an analogous result holds for \(F\) unbounded and Lipschitz continuous. Namely, the semigroup \(P_t\) transforms bounded Lipschitz functions into Fréchet differentiable ones, and \(\| D_xP_t\varphi\| _0\leq\| \varphi\| _{\text{Lip}}M\exp\{(a+M\| F\| _{\text{Lip}})t\}\), where \(D_x\) is the Fréchet derivative, \(\| \cdot\| _0\) is the sup norm, and \(\| \cdot\| _{\text{Lip}}\) is the Lipschitz one. Moreover, \(u(t,x):=P_t\varphi(x)\) is a unique strong (and mild) solution of the Kolmogorov equation \[ \begin{aligned} &u_t={1\over 2}\, \text{ Tr}\, [Qu_{xx}]+\langle Ax+F(x),u_x\rangle,\quad t\in]0,T],\;x\in D(A),\\ &u(0,x)=\varphi(x),\quad x\in H.\end{aligned} \]
- Smoothing properties of nonlinear stochastic equations in Hilbert spaces
- Partial smoothing of delay transition semigroups acting on special functions
- Smoothing properties of transition semigroups in hilbert spaces
- Differentiability of Markov semigroups for stochastic reaction-diffusion equations and applications to control
- Transition semigroups corresponding to Lipschitz dissipative systems.
- Smoothing properties of transition semigroups relative to SDEs with values in Banach spaces
- Differentiability of Markov semigroups for stochastic reaction-diffusion equations and applications to control
- Smoothing properties of nonlinear stochastic equations in Hilbert spaces
- Fokker-Planck equations and maximal dissipativity for Kolmogorov operators for SPDE driven by Lévy noise
- Partial smoothing of delay transition semigroups acting on special functions
- Regularizing properties of (non-Gaussian) transition semigroups in Hilbert spaces
- Smoothing properties of transition semigroups in hilbert spaces
- scientific article; zbMATH DE number 811843 (Why is no real title available?)
- Differentiability in infinite dimension and the Malliavin calculus
- Regularity of solutions to Fokker-Planck-Kolmogorov equations
This page was built for publication: Smoothing properties of nonlinear transition semigroups: case of Lipschitz nonlinearities
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q871612)
