Fokker-Planck equations and maximal dissipativity for Kolmogorov operators for SPDE driven by Lévy noise (Q1935441)
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English | Fokker-Planck equations and maximal dissipativity for Kolmogorov operators for SPDE driven by Lévy noise |
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Fokker-Planck equations and maximal dissipativity for Kolmogorov operators for SPDE driven by Lévy noise (English)
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15 February 2013
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The authors consider the Kolmogorov \({\mathcal K}_0\) operator related to the following stochastic PDE in a separable Hilbert space \(H\): \[ dX_t= (AX_t + F(t,X_t))dt + \sqrt{Q} dW_t + \int_{\mathbb{Z}} f(t,\,X_{t-},z)\tilde{N}(dt,dz), \] \[ X_s = x,\;x \in H\;\forall t \geq s, \] where: \(W_t\) is an \(H\)-valued cylindrical Wiener process, \(A\) is the infinitesimal generator of a \(C_0\)-semigroup on \(H\), \(Q\) is a linear positive definite operator on \(H\), \(F:[0,T] \times H\rightarrow H\) is a Lipschitz function, \(f\) is a measurable function on \(H\times {\mathbb Z}\) and \(\tilde{N}(ds,dz)\) is the compensated Poisson measure. It is shown that \({\mathcal K}_0\) is essentially \(m\)-dissipative in \(L^p([0,T]\times H; \nu)\), where \(p\geq 1\), \(\nu(dt,dx) = \nu_t(dx)dt\) and \(\{\nu_t\}_{t\in[0,T]}\) is a solution of the Fokker-Planck equation given by \({\mathcal K}_0\). This result implies that \({\mathcal K}_0\) generates a \(C_0\)- semigroup on a functions Banach space. A uniqueness result is also proven here. The results of this paper are generalizations of those in [\textit{V. I. Bogachev}, \textit{G. Da Prato} and \textit{M. Rökner}, J. Funct. Anal. 256, No. 2, 1269--1298 (2009; Zbl 1161.47027)]
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Kolmogorov operator
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SPDE
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Fokker-Planck equation
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dissipativity
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