Class Of Stochastic Evolution Equations Research Articles

A BSDEs approach to pathwise uniqueness for stochastic evolution equations

We prove strong well-posedness for a class of stochastic evolution equations in Hilbert spaces H when the drift term is Hölder continuous. This class includes examples of semilinear stochastic Euler-Bernoulli beam equations which describe elastic systems with structural damping, and semilinear stochastic 3D heat equations. In the deterministic case, there are examples of non-uniqueness in our framework. Strong (or pathwise) uniqueness is restored by means of a suitable additive Wiener noise. The proof of uniqueness relies on the study of related systems of infinite dimensional forward-backward SDEs (FBSDEs). This is a different approach with respect to the well-known method based on the Itô formula and the associated Kolmogorov equation (the so-called Zvonkin transformation or Itô-Tanaka trick). We deal with approximating FBSDEs in which the linear part generates a group of bounded linear operators in H; such approximations depend on the type of SPDEs we are considering. We also prove Lipschitz dependence of solutions from their initial conditions.

Regularity analysis for SEEs with multiplicative fBms and strong convergence for a fully discrete scheme

AbstractOne of the open problems in the study of stochastic differential equations is regularity analysis and approximations to stochastic partial differential equations driven by multiplicative fractional Brownian motions (fBms), especially for the case $H\in (0,\frac {1}{2})$. In this paper, we address this problem by considering a class of stochastic evolution equations (SEEs) driven by multiplicative fBms. We analyze the well-posedness and regularity of mild solutions to such equations with $H\in (0,\frac {1}{2})$ and $H\in (\frac {1}{2},1)$ under the Lipschitz conditions and linear growth conditions. The two cases are treated separately. Compared with the standard Brownian motion case, the main difficulty is that fBm is neither a Markov process nor a semimartingale such that some classical stochastic calculus theories are unavailable. As a consequence, we need to explore some new strategies to complete the existence and uniqueness and regularity analysis of the solutions. Especially for the case $H\in (0,\frac {1}{2})$, we utilize some delicate techniques to overcome the difficulties from the singularity of the covariance of fBms. In addition, we give a fully discrete scheme for such equations, carried out by the spectral Galerkin method in space and a time-stepping method in time. The obtained regularity results of the equations help us to examine the strong convergence of the discrete scheme. In final, several numerical examples are done to substantiate the theoretical findings.

On the stochastic Dullin\u2013Gottwald\u2013Holm equation: global existence and wave-breaking phenomena

We consider a class of stochastic evolution equations that include in particular the stochastic Camassa–Holm equation. For the initial value problem on a torus, we first establish the local existence and uniqueness of pathwise solutions in the Sobolev spaces H^s with s>3/2. Then we show that strong enough nonlinear noise can prevent blow-up almost surely. To analyze the effects of weaker noise, we consider a linearly multiplicative noise with non-autonomous pre-factor. Then, we formulate precise conditions on the initial data that lead to global existence of strong solutions or to blow-up. The blow-up occurs as wave breaking. For blow-up with positive probability, we derive lower bounds for these probabilities. Finally, the blow-up rate of these solutions is precisely analyzed.

Uniform attractors for a class of stochastic evolution equations with multiplicative fractional noise

This paper studies the (random) uniform attractor for a class of non-autonomous stochastic evolution equations driven by a time-periodic forcing and multiplicative fractional noise with Hurst parameter bigger than 1/2. We first establish the existence and uniqueness results for the solution to the considered equation and show that the solution generates a jointly continuous non-autonomous random dynamical system (NRDS). Moreover, we prove the existence of the uniform attractor for this NRDS through stopping time technique. Particularly, a compact uniformly absorbing set is constructed under a smallness condition imposed on the fractional noise.

Attractivity for Hilfer fractional stochastic evolution equations

This article is devoted to the study of the attractivity of solutions to a class of stochastic evolution equations involving Hilfer fractional derivative. By employing the semigroup theory, fractional calculus and the fixed point technique, we establish new alternative criteria to ensure the existence of globally attractive solutions for the Cauchy problem when the associated semigroup is compact.

Weak convergence rates for stochastic evolution equations and applications to nonlinear stochastic wave, HJMM, stochastic Schrödinger and linearized stochastic Korteweg–de Vries equations

We establish weak convergence rates for noise discretizations of a wide class of stochastic evolution equations with non-regularizing semigroups and additive or multiplicative noise. This class covers the nonlinear stochastic wave, HJMM, stochastic Schr\"odinger and linearized stochastic Korteweg-de Vries equation. For several important equations, including the stochastic wave equation, previous methods give only suboptimal rates, whereas our rates are essentially sharp.

The Wong–Zakai approximations of invariant manifolds and foliations for stochastic evolution equations

In this paper, we study the Wong–Zakai approximations given by a stationary process via the Wiener shift and their associated dynamics of a class of stochastic evolution equations with a multiplicative white noise. We prove that the solutions of Wong–Zakai approximations almost surely converge to the solutions of the Stratonovich stochastic evolution equation. We also show that the invariant manifolds and stable foliations of the Wong–Zakai approximations converge to the invariant manifolds and stable foliations of the Stratonovich stochastic evolution equation, respectively.

Stochastic evolution equations of jump type with random coefficients: existence, uniqueness and optimal control

We study a class of stochastic evolution equations of jump type with random coefficients and its optimal control problem. There are three major ingredients. The first is to prove the existence and uniqueness of the solutions by continuous dependence theorem of solutions combining with the parameter extension method. The second is to establish the stochastic maximum principle and verification theorem for our optimal control problem by the classic convex variation method and dual technique. The third is to represent an example of a Cauchy problem for a controlled stochastic partial differential equation with jumps which our theoretical results can solve.

Existence and global attractiveness of a square-mean μ-pseudo almost automorphic solution for some stochastic evolution equation driven by Lévy noise

In this work, we introduce the concept of μ-pseudo almost automorphic processes in distribution. We use the μ-ergodic process to define the spaces of μ-pseudo almost automorphic processes in the square mean sense. We establish many interesting results on the functional space of such processes like a composition theorem. Under some appropriate assumptions, we establish the existence, the uniqueness and the stability of the square-mean μ-pseudo almost automorphic solutions in distribution to a class of abstract stochastic evolution equations driven by Levy noise. We provide an example to illustrate our results.

Square-mean pseudo almost automorphic mild solutions for stochastic evolution equations driven by G-Brownian motion

ABSTRACTIn this article, we prove the existence and uniqueness of the square-mean pseudo almost automorphic mild solutions for a class of stochastic evolution equations driven by G-Brownian motion (G-SSEs). Our results are established by means of the fixed point theorem. An example is given to illustrate the theory.

Shift Harnack inequality and integration by parts formula for semilinear stochastic partial differential equations

Shift Harnack inequality and integration by parts formula are established for semilinear stochastic partial differential equations and stochastic functional partial differential equations by modifying the coupling used by F.-Y. Wang [Ann. Probab., 2012, 42(3): 994–1019]. Log-Harnack inequality is established for a class of stochastic evolution equations with non-Lipschitz coefficients which includes hyperdissipative Navier-Stokes/Burgers equations as examples. The integration by parts formula is extended to the path space of stochastic functional partial differential equations, then a Dirichlet form is defined and the log-Sobolev inequality is established.

Cylindrical continuous martingales and stochastic integration in infinite dimensions

In this paper we define a new type of quadratic variation for cylindrical continuous local martingales on an infinite dimensional spaces. It is shown that a large class of cylindrical continuous local martingales has such a quadratic variation. For this new class of cylindrical continuous local martingales we develop a stochastic integration theory for operator valued processes under the condition that the range space is a UMD Banach space. We obtain two-sided estimates for the stochastic integral in terms of the $\gamma $-norm. In the scalar or Hilbert case this reduces to the Burkholder-Davis-Gundy inequalities. An application to a class of stochastic evolution equations is given at the end of the paper.

Convergence of tamed Euler schemes for a class of stochastic evolution equations

We prove stability and convergence of a full discretization for a class of stochastic evolution equations with super-linearly growing operators appearing in the drift term. This is done by using the recently developed tamed Euler method, which employs a fully explicit time stepping, coupled with a Galerkin scheme for the spatial discretization.

Centre manifolds for stochastic evolution equations

Stochastic invariant manifolds are crucial in modelling the dynamical behaviour of dynamical systems under uncertainty. Under the assumption of exponential trichotomy, existence and smoothness of centre manifolds for a class of stochastic evolution equations with linearly multiplicative noise are proved. The exponential attraction and approximation to centre manifolds are also discussed.

Existence and global attractiveness of a pseudo almost periodic solution in p-th mean sense for stochastic evolution equation driven by a fractional Brownian motion

In this work, we establish a new concept of pseudo almost periodic processes in p-th mean sense using the measure theory. We use the μ-ergodic process to define the spaces of μ-pseudo almost periodic process in the p-th mean sense. We establish many interesting results on the functional space of such processes like completeness and composition theorems. The main objective of this paper is to use those results and some stochastic analysis approaches to study the existence, the uniqueness and the global attractiveness for a μ-pseudo almost periodic mild solution to a class of abstract stochastic evolution equations driven by fractional Brownian motion. We provide an example to illustrate our results.

Stochastic initial boundary value problems subject to distributed and boundary noise and their optimal control

In this paper we consider a class of stochastic evolution equations arising from initial boundary value problems with both boundary and distributed noise. We prove existence and regularity of mild solutions. Then we consider a controlled version of the model and prove the existence of optimal controls and develop the necessary conditions of optimality for partially observed problems using relaxed controls.

On the Equivalence of Solutions for a Class of Stochastic Evolution Equations in a Banach Space

We study a class of stochastic evolution equations in a Banach space $E$ driven by cylindrical Wiener process. Three different concept of solutions: generalised strong, weak and mild are defined and the conditions under which they are equivalent are given. We apply this result to prove existence, uniqueness and continuity of weak solutions to stochastic delay equation with additive noise. We also consider two examples of these equations in non-reflexive Banach spaces: a stochastic transport equation with delay and a stochastic McKendrick equation with delay.

On signed measure valued solutions of stochastic evolution equations

We study existence, uniqueness and mass conservation of signed measure valued solutions of a class of stochastic evolution equations with respect to the Wiener sheet, including as particular cases the stochastic versions of the regularized two-dimensional Navier–Stokes equations in vorticity form introduced by Kotelenez.

ALMOST PERIODIC SOLUTIONS TO STOCHASTIC EVOLUTION EQUATIONS ON BANACH SPACES

We prove the existence of almost periodic solutions to a class of abstract stochastic evolution equations on a Banach space E, [Formula: see text] Both autonomous (A is a C0-semigroup generator) and non-autonomous (A(t) satisfies conditions of Acquistapace–Terreni and generates a strongly continuous evolution family) cases are studied. Results are based on the theory of stochastic integration on Banach spaces of van Neerven and Weis and R-boundedness estimates for semigroups and evolution families due to Hytönen and Veraar. An example is given for a non-autonomous second order boundary value problem on a domain in ℝd.

Dissipative Stochastic Evolution Equations Driven by General Gaussian and Non-Gaussian Noise

We study a class of stochastic evolution equations with a dissipative forcing nonlinearity and additive noise. The noise is assumed to satisfy rather general assumptions about the form of the covariance function; our framework covers examples of Gaussian processes, like fractional and bifractional Brownian motion and also non Gaussian examples like the Hermite process. We give an application of our results to the study of the stochastic version of a common model of potential spread in a dendritic tree. Our investigation is specially motivated by possibility to introduce long-range dependence in time of the stochastic perturbation.