arXivDaily arXiv每日学术速递 周一至周五更新
arXiv周末暂无论文更新,休息一下吧,周末愉快~~
arXiv 1706.07720math.PR
收藏

infinite-dimensional随机微分方程的逐路唯一性

Path-by-path uniqueness of infinite-dimensional stochastic differential equations

Lukas Wresch

摘要:

考虑(可能是无限维)可分希尔伯特空间中的随机微分方程$\mathrm dX_t = -A X_t \,\mathrm dt + f(t, X_t) \,\mathrm dt + \mathrm dB_t$,其中$B$是圆柱布朗运动,$f$是刚可测的有界函数。如果$f$的分量以比指数更快的方式衰减到0,则我们建立了这个随机微分方程的温和解的逐路唯一性。这扩展了A。M. Davie从$\mathbb R^d$到希尔伯特空间值随机微分方程的结果.

英文摘要:

Consider the stochastic differential equation $\mathrm dX_t = -A X_t \,\mathrm dt + f(t, X_t) \,\mathrm dt + \mathrm dB_t$ in a (possibly infinite-dimensional) separable Hilbert space, where $B$ is a cylindrical Brownian motion and $f$ is a just measurable, bounded function. If the components of $f$ decay to 0 in a faster than exponential way we establish path-by-path uniqueness for mild solutions of this stochastic differential equation. This extends A. M. Davie's result from $\mathbb R^d$ to Hilbert space-valued stochastic differential equations.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑