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March 2006 Kolmogorov equations in infinite dimensions: Well-posedness and regularity of solutions, with applications to stochastic generalized Burgers equations
Michael Röckner, Zeev Sobol
Ann. Probab. 34(2): 663-727 (March 2006). DOI: 10.1214/009117905000000666

Abstract

We develop a new method to uniquely solve a large class of heat equations, so-called Kolmogorov equations in infinitely many variables. The equations are analyzed in spaces of sequentially weakly continuous functions weighted by proper (Lyapunov type) functions. This way for the first time the solutions are constructed everywhere without exceptional sets for equations with possibly nonlocally Lipschitz drifts. Apart from general analytic interest, the main motivation is to apply this to uniquely solve martingale problems in the sense of Stroock–Varadhan given by stochastic partial differential equations from hydrodynamics, such as the stochastic Navier–Stokes equations. In this paper this is done in the case of the stochastic generalized Burgers equation. Uniqueness is shown in the sense of Markov flows.

Citation

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Michael Röckner. Zeev Sobol. "Kolmogorov equations in infinite dimensions: Well-posedness and regularity of solutions, with applications to stochastic generalized Burgers equations." Ann. Probab. 34 (2) 663 - 727, March 2006. https://doi.org/10.1214/009117905000000666

Information

Published: March 2006
First available in Project Euclid: 9 May 2006

zbMATH: 1106.35127
MathSciNet: MR2223955
Digital Object Identifier: 10.1214/009117905000000666

Subjects:
Primary: 35R15 , 47D06 , 47D07 , 60J35 , 60J60
Secondary: 35J70 , 35Q53 , 60H15

Keywords: diffusion process , Feller semigroup , infinite-dimensional background space , Kolmogorov equation , Lyapunov function , Stochastic Burgers equation , weighted space of continuous functions

Rights: Copyright © 2006 Institute of Mathematical Statistics

Vol.34 • No. 2 • March 2006
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