English

Measure-valued equations for Kolmogorov operators with unbounded coefficients

Analysis of PDEs 2007-07-24 v1 Probability

Abstract

Given a real and separable Hilbert space H we consider the measure-valued equation \begin{equation*} \int_H\phi(x)\mu_t(dx)- \int_H\phi(x)\mu(dx)= \int_0^t(\int_HK_0\phi(x)\mu_s(dx))ds, \end{equation*} where K_0 is the Kolmogorov differential operator K0ϕ(x)=12Trace[BBD2ϕ(x)]+<x,ADϕ(x)>+<Dϕ(x),F(x)>, K_0\phi(x)=\frac12\textrm{Trace}\big[BB^*D^2\phi(x)\big]+< x,A^*D\phi(x)>+< D\phi(x),F(x)>, xHx\in H, ϕ:H\Rset\phi:H\to \Rset is a suitable smooth function, A:D(A)HHA:D(A)\subset H\to H is linear, F:HHF:H\to H is a globally Lipschitz function and B:HHB:H\to H is linear and continuous. In order prove existence and uniqueness of a solution for the above equation, we show that K0K_0 is a core, in a suitable way, of the infinitesimal generator associated to the solution of a certain stochastic differential equation in H. We also extend the above results to a reaction-diffusion operator with polinomial nonlinearities.

Keywords

Cite

@article{arxiv.0707.3233,
  title  = {Measure-valued equations for Kolmogorov operators with unbounded coefficients},
  author = {Luigi Manca},
  journal= {arXiv preprint arXiv:0707.3233},
  year   = {2007}
}

Comments

38 pages

R2 v1 2026-06-21T09:00:31.633Z