Stochastic evolution equations with random generators
The authors study nonlinear stochastic evolution equations of the form \[ X_t=\xi+ \int^t_0 \bigl(A(s)X_s+ F(s,X_s)\bigr) ds+\int^t_0 B(s,X_s) dW_s, \] where \(W\) is a cylindrical Wiener process on a Hilbert space \(U\). The aim is to obtain an existence and unicity result for mild solutions of such equations (Theorem 5.4). The forward integral is involved; and also stochastic calculus for cylindrical Brownian motion. The main tool used to obtain this result is an estimate of the Skorokhod integral (Theorem 3.3): \[ E\left( \sup_{0 \leq t\leq T}\left |\int^t_0 S(t,s)\Phi_s dW_s\right|^p_H\right)\leq CE \int^T_0 \|\Phi_s \|^p_{HS}ds \] for some constant \(C>0\), where \(\Phi\) is an adapted process with value in \(L_2(U;H)\) and \(S(t,s)\) is a random evolution system.
- Anticipating Hilbert integrals with respect to a cylindrical Wiener process and associated stochastic calculus
- Continuity of some anticipating integral processes
- Forward, backward and symmetric stochastic integration
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