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 , is a suitable smooth function, is linear, is a globally Lipschitz function and is linear and continuous. In order prove existence and uniqueness of a solution for the above equation, we show that 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.
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