We study the dependence of mild solutions to linear stochastic evolution equations on Hilbert space driven by Wiener noise, with drift having linear part of the type $A+\varepsilon G$, on the parameter $\varepsilon$. In particular, we study the limit and the asymptotic expansions in powers of $\varepsilon$ of these solutions, as well as of functionals thereof, as $\varepsilon \to 0$, with good control on the remainder. These convergence and series expansion results are then applied to a parabolic perturbation of the Musiela SPDE of mathematical finance modeling the dynamics of forward rates.
We prove well-posedness for a class of second-order SPDEs with multiplicative Wiener noise and doubly nonlinear drift in divergence form involving maximal monotone graphs defined everywhere, on which neither growth nor continuity assumptions are imposed.
We consider semilinear stochastic evolution equations on Hilbert spaces with multiplicative Wiener noise and linear drift term of the type $A + \varepsilon G$, with $A$ and $G$ maximal monotone operators and $\varepsilon$ a "small" parameter, and study the differentiability of mild solutions with respect to $\varepsilon$. The operator $G$ can be a singular perturbation of $A$, in the sense that its domain can be strictly contained in the domain of $A$.
We prove global well-posedness for a class of dissipative semilinear stochastic evolution equations with singular drift and multiplicative Wiener noise. In particular, the nonlinear term in the drift is the superposition operator associated to a maximal monotone graph everywhere defined on the real line, on which no continuity nor growth assumptions are imposed. The hypotheses on the diffusion coefficient are also very general, in the sense that the noise does not need to take values in spaces of continuous, or bounded, functions in space and time. Our approach combines variational techniques …
We prove existence of invariant measures for the Markovian semigroup generated by the solution to a parabolic semilinear stochastic PDE whose nonlinear drift term satisfies only a kind of symmetry condition on its behavior at infinity, but no restriction on its growth rate is imposed. Thanks to strong integrability properties of invariant measures $μ$, solvability of the associated Kolmogorov equation in $L^1(μ)$ is then established, and the infinitesimal generator of the transition semigroup is identified as the closure of the Kolmogorov operator. A key role is played by a generalized variati…
We give a construction allowing to construct local renormalised solutions to general quasilinear stochastic PDEs within the theory of regularity structures, thus greatly generalising the recent results of [BDH16,FG16,OW16]. Loosely speaking, our construction covers quasilinear variants of all classes of equations for which the general construction of [Hai14,BHZ16,CH16] applies, including in particular one-dimensional systems with KPZ-type nonlinearities driven by space-time white noise. In a less singular and more specific case, we furthermore show that the counterterms introduced by the renor…
In this paper, we first prove existence and uniqueness of the solution of a backward doubly stochastic differential equation (BDSDE) and of the related stochastic partial differential equation (SPDE) under monotonicity assumption on the generator. Then we study the case where the terminal data is singular, in the sense that it can be equal to +$\infty$ on a set of positive measure. In this setting we show that there exists a minimal solution, both for the BDSDE and for the SPDE. Note that solution of the SPDE means weak solution in the Sobolev sense.
We study stochastic integrals driven by a general subordinator and establish a zero-one law for the finiteness of the resulting integral as well as moment estimates. As an application, we use these results to obtain structural properties of SPDEs driven by multiplicative pure jump noise, which include (1) a maximal inequality for a multiplicative stochastic convolution $Z_t$, (2) a small ball probability of $Z_t$, (3) the existence of invariant measures and accessibility to zero of SPDEs, and (4) a Galerkin approximation of solutions to SPDEs.
In this paper, the strong averaging principle is researched for a class of Hölder continuous drift slow-fast SPDEs with $α$-stable process by the Zvonkin's transformation and the classical Khasminkii's time discretization method. As applications, an example is also provided to explain our result.
We prove existence and uniqueness of strong solutions for a class of second-order stochastic PDEs with multiplicative Wiener noise and drift of the form $\operatorname{div} γ(\nabla \cdot)$, where $γ$ is a maximal monotone graph in $\mathbb{R}^n \times \mathbb{R}^n$ obtained as the subdifferential of a convex function satisfying very mild assumptions on its behavior at infinity. The well-posedness result complements the corresponding one in our recent work arXiv:1612.08260 where, under the additional assumption that $γ$ is single-valued, a solution with better integrability and regularity prop…
The existence and uniqueness of the mild solutions for a class of degenerate functional SPDEs are obtained, where the drift is assumed to be Hölder-Dini continuous. Moreover, the non-explosion of the solution is proved under some reasonable conditions. In addition, the Harnack is derived by the coupling by change of measure. Finally, the shift Harnack inequality is obtained for the equations without delay, which is new even in the non-degenerate case.
An Ito-Skorokhod bi-linear equation driven by infinitely many independent colored noises is considered in a normal triple of Hilbert spaces. The special feature of the equation is the appearance of the Wick product in the definition of the Ito-Skorokhod integral, requiring innovative approaches to computing the solution. A chaos expansion of the solution is derived and several truncations of this expansion are studied. A recursive approximation of the solution is suggested and the corresponding approximation error bound is computed.
We study SPDEs with two reflecting walls $Λ^1$, $Λ^2$ and two singular drifts $\frac{c_1}{(X-Λ^1)^{\vartheta}}$, $\frac{c_2}{(Λ^2-X)^{\vartheta}}$, driven by space-time white noise. First, we establish the existence and uniqueness of the solutions $X$ for $\vartheta\geq 0$. Second, we obtain the following pathwise properties of the solutions $X$. If $\vartheta>3$, then a.s. $Λ^1<X<Λ^2$ for all $t\geq0$; If $0<\vartheta<3$, then $X$ hits $Λ^1$ or $Λ^2$ with positive probability in finite time. Thus $\vartheta=3$ is the critical parameter for $X$ to hit reflecting walls.
We examine in this article the one-dimensional, non-local, singular SPDE \begin{equation*} \partial_t u \;=\; -\, (-Δ)^{1/2} u \,-\, \sinh(γu) \,+\, ξ\;, \end{equation*} where $γ\in \mathbb{R}$, $(-Δ)^{1/2}$ is the fractional Laplacian of order $1/2$, $ξ$ the space-time white noise in $\mathbb{R} \times \mathbb{T}$, and $\mathbb{T}$ the one-dimensional torus. We show that for $0<γ^2<π/7$ the Da Prato--Debussche method applies. One of the main difficulties lies in the derivation of a Schauder estimate for the semi-group associated to the fractional Laplacian due to the lack of smoothness result…
In terms of a nice reference probability measure, integrability conditions on the path-dependent drift are presented for (infinite-dimensional) degenerate PDEs to have regular positive solutions. To this end, the corresponding stochastic (partial) differential equations are proved to possess the weak existence and uniqueness of solutions, as well as the existence, uniqueness and entropy estimates of invariant probability measures. When the reference measure satisfies the log-Sobolev inequality, Sobolev estimates are derived for the density of invariant probability measures. Some results are ne…
We study spaces of modelled distributions with singular behaviour near the boundary of a domain that, in the context of the theory of regularity structures, allow one to give robust solution theories for singular stochastic PDEs with boundary conditions. The calculus of modelled distributions established in Hairer (Invent. Math. 198, 2014) is extended to this setting. We formulate and solve fixed point problems in these spaces with a class of kernels that is sufficiently large to cover in particular the Dirichlet and Neumann heat kernels. These results are then used to provide solution theorie…
In this paper, the distribution dependent stochastic differential equation in a separable Hilbert space with a Dini continuous drift is investigated. The existence and uniqueness of weak and strong solutions are obtained. Moreover, some regularity results as well as gradient estimates and log-Harnack inequality are derived for the associated semigroup. In addition, dimensional free Harnack inequality with power and shift Harnack inequality are also proved when the noise is additive. All of the results extend the ones in the distribution independent situation.
We derive the stochastic version of the Magnus expansion for linear systems of stochastic differential equations (SDEs). The main novelty with respect to the related literature is that we consider SDEs in the Itô sense, with progressively measurable coefficients, for which an explicit Itô-Stratonovich conversion is not available. We prove convergence of the Magnus expansion up to a stopping time τ and provide a novel asymptotic estimate of the cumulative distribution function of t. As an application, we propose a new method for the numerical solution of stochastic partial differential equation…
We study a constrained optimal control problem with possibly degenerate coefficients arising in models of optimal portfolio liquidation under market impact. The coefficients can be random in which case the value function is described by a degenerate backward stochastic partial differential equation (BSPDE) with singular terminal condition. For this degenerate BSPDE, we prove existence and uniqueness of a nonnegative solution. Our existence result requires a novel gradient estimate for degenerate BSPDEs.
We establish existence, uniqueness and regularity of solution results for a class of backward stochastic partial differential equations with singular terminal condition. The equation describes the value function of non-Markovian stochastic optimal control problem in which the terminal state of the controlled process is pre-specified. The analysis of such control problems is motivated by models of optimal portfolio liquidation.
We consider a nonlinear stochastic partial differential equation (SPDE) in divergence form where the forcing term is a Gaussian noise, that is white in time and colored in space such that the gradient of the solution is Hölder-continuous, but not differentiable. Then, we prove a generalized Taylor expansion of the difference between the solution to the SPDE and the solution to its linearization around a fixed basepoint. The result is reminiscent of the theory of (controlled) rough paths and agrees with the general observation, that, in settings with a rough driver, subtracting the solution to …
We introduce a non-linear paracontrolled calculus and use it to renormalise a class of singular SPDEs including certain quasilinear variants of the periodic two dimensional parabolic Anderson model.
In this article we introduce a stochastic counterpart of the Hörmander condtion on the kernel $K(r,t,x,y)$: there exists a pseudo-metric $ρ$ on $(0,\infty)\times R^d$ and a positive constant $C_0$ such that for $X=(t,x), Y=(s,y), Z=(r,z) \in (0,\infty) \times R^d$, $$ \sup_{X,Y}\int_{0}^\infty \left[ \int_{ρ(X,Z) \geq C_0 ρ(X,Y)} | K(r,t, z,x) - K(r,s, z,y)| ~dz\right]^2 dr <\infty. $$ We prove that the stochastic singular integral of the type $$ \mathbb{T} g(t,x) :=\int_0^{t} \int_{R^d} K(t,s,x,y) g(s,y)dy dW_s $$ is a bounded operator on $\mathbb{L}_p=L_p(Ω\times (0,\infty); L_{p}(R^d))$ for…
The existence of random attractors for singular stochastic partial differential equations (SPDE) perturbed by general additive noise is proven. The drift is assumed only to satisfy the standard assumptions of the variational approach to SPDE with compact embeddings in the Gelfand triple and singular coercivity. For ergodic, monotone, contractive random dynamical systems it is proven that the attractor consists of a single random point. In case of real, linear multiplicative noise finite time extinction is obtained. Applications include stochastic generalized fast diffusion equations and stocha…
Quantitative estimates for the top Lyapunov exponents for systems of stochastic reaction-diffusion equations are proven. The treatment includes reaction potentials with degenerate minima. The proof relies on an asymptotic expansion of the invariant measure, with careful control on the resulting error terms. As a consequence of these estimates, synchronisation by noise is deduced for systems of stochastic reaction-diffusion equations for the first time.
A characterisation of the spaces $\mathcal{G}_K$ and $\mathcal{G}_K'$ introduced in Grothaus et al. (Methods Funct Anal Topol 3(2):46-64, 1997) and Potthoff and Timpel (Potential Anal 4(6):637-654, 1995) is given. A first characterisation of these spaces provided in Grothaus et al. (Methods Funct Anal Topol 3(2):46-64, 1997) uses the concepts of holomorphy on infinite dimensional spaces. We, instead, give a characterisation in terms of U-functionals, i.e., classic holomorphic function on the one dimensional field of complex numbers. We apply our new characterisation to derive new results conce…
The solution of a parabolic stochastic partial differential equation (SPDE) driven by an infinite-dimensional Brownian motion is in general not a semi-martingale anymore and does in general not satisfy an Itô formula like the solution of a finite-dimensional stochastic ordinary differential equation (SODE). In particular, it is not possible to derive stochastic Taylor expansions as for the solution of a SODE using an iterated application of the Itô formula. Consequently, until recently, only low order numerical approximation results for such a SPDE have been available. Here, the fact that the …
We consider a stochastic partial differential equation (SPDE) on a lattice \partial_t X=(Δ-m^2)X-λX^p+ηwhere $η$ is a space-time Lévy noise. A perturbative (in the sense of formal power series) strong solution is given by a tree expansion, whereas the correlation functions of the solution are given by a perturbative expansion with coefficients that are represented as sums over a certain class of graphs, called Parisi-Wu graphs. The perturbative expansion of the truncated (connected) correlation functions is obtained via a Linked Cluster Theorem as a sums over connected graphs only. The moments…
In this paper, we first study the existence-uniqueness and large deviation estimate of solutions for stochastic Volterra integral equations with singular kernels in 2-smooth Banach spaces. Then, we apply them to a large class of semilinear stochastic partial differential equations (SPDE) driven by Brownian motions as well as by fractional Brownian motions, and obtain the existence of unique maximal strong solutions (in the sense of SDE and PDE) under local Lipschitz conditions. Lastly, high order SPDEs in a bounded domain of Euclidean space, second order SPDEs on complete Riemannian manifolds,…
