English

An optimal regularity result for Kolmogorov equations and weak uniqueness for some critical SPDEs

Probability 2021-02-25 v3

Abstract

We show uniqueness in law for the critical SPDE dXt=AXtdt+(A)1/2F(X(t))dt+dWt,    X0=xH, dX_t = AX_t dt + (-A)^{1/2}F(X(t))dt + dW_t,\;\; X_0 =x \in H, where AA :dom(A)HH : dom(A) \subset H \to H is a negative definite self-adjoint operator on a separable Hilbert space HH having A1A^{-1} of trace class and WW is a cylindrical Wiener process on HH. Here F:HHF: H \to H can be continuous with at most linear growth (some functions FF which grow more than linearly can also be considered). This leads to new uniqueness results for generalized stochastic Burgers' equations and for three-dimensional stochastic Cahn-Hilliard type equations which have interesting applications. To get weak uniqueness we also establish a new optimal regularity result for the Kolmogorov equation λuLu=f \lambda u - Lu = f on HH, where λ>0\lambda >0, f:HR f: H \to {\mathbb R} is Borel and bounded and LL is the Ornstein-Uhlenbeck operator related to the SPDE when F=0F=0. In particular we show that the first derivative Du:HHDu : H \to H verifies Du(x)dom((A)1/2)Du(x) \in \text{dom}((-A)^{1/2}), for any xH,x \in H, and moreover supxH(A)1/2Du(x)H=(A)1/2Du0Cf0. \sup_{x \in H} |(-A)^{1/2}Du (x)|_H = \| (-A)^{1/2}Du \|_{0} \le C \, \| f\|_{0}.

Keywords

Cite

@article{arxiv.1911.11032,
  title  = {An optimal regularity result for Kolmogorov equations and weak uniqueness for some critical SPDEs},
  author = {Enrico Priola},
  journal= {arXiv preprint arXiv:1911.11032},
  year   = {2021}
}

Comments

to appear in AOP