# A Concise Course on Stochastic Partial Differential Equations

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1 A Concise Course on Stochastic Partial Differential Equations Michael Röckner Reference: C. Prevot, M. Röckner: Springer LN in Math. 1905, Berlin (2007) And see the references therein for the original literature! 1 / 91

2 Table of content 1 The Stochastic Integral in General Hilbert Spaces (w.r.t. Brownian Motion) Infinite-dimensional Wiener processes Martingales in general Banach spaces The definition of the stochastic integral Scheme of the construction of the stochastic integral The construction of the stochastic integral in detail The stochastic integral for cylindrical Wiener processes Cylindrical Wiener processes The definition of the stochastic integral for cylindrical Wiener processes 2 Stochastic Differential Equations on Hilbert spaces The finite dimensional case Gelfand triples, conditions on the coefficients and examples The main result and an Itô formula 3 Applications to stochastic partial differential equations 2 / 91

3 1 The Stochastic Integral in General Hilbert Spaces (w.r.t. Brownian Motion) For a topological space E we denote its Borel σ-algebra by B(E). For a probability space (Ω, F, P)(i.e. Ω is an arbitrary set, F a σ-algebra of subsets of Ω and P : F [0, 1] a probability measure) and an F-measurable function X : Ω R we set E(X) := X(ω)P( dω) provided Ω X(ω) P( dω) <. We fix two Hilbert spaces (U,, U ) and (H,, H ). Ω 3 / 91

4 1.1 Infinite-dimensional Wiener processes ( x, h U m, h U )( x, g U m, g U ) µ(dx) = Qh, g U. Definition (1.1.1) A probability measure µ on ( U, B(U) ) is called Gaussian if ˆµ(u) := U e i u,v U µ(dv) = e i m,u U 1 2 Qu,u U, u U, where m U and Q L(U) is nonnegative, symmetric. (Here L(U) denotes the set of all bounded linear operators on U). In this case Q necessarily has finite trace and µ will be denoted by N(m, Q) where m is called mean and Q is called covariance (operator). Furthermore, for all h, g U x, h U µ(dx) = m, h U, 4 / 91

5 1.1 Infinite-dimensional Wiener processes Theorem (1.1.2) Let Q be a nonnegative and symmetric operator in L(U) with finite trace and let m U. Then there exists a Gaussian measure µ = N(m, Q) on ( U, B(U) ). Now we can give the definition of a standard Q-Wiener process. To this end we fix an element Q L(U), nonnegative, symmetric, with finite trace and a positive real number T. 5 / 91

6 1.1 Infinite-dimensional Wiener processes Definition (1.1.3) A U-valued stochastic process W (t), t [0, T ], on a probability space (Ω, F, P) is called a (standard) Q-Wiener process if: W (0) = 0, W has P-a.s. continuous trajectories, the increments of W are independent, i.e. the random variables W (t 1 ), W (t 2 ) W (t 1 ),..., W (t n ) W (t n 1 ) are independent for all 0 t 1 < < t n T, n N, the increments have the following Gaussian laws: P ( W (t) W (s) ) 1 = N ( 0, (t s)q ) for all 0 s t T. 6 / 91

7 1.1 Infinite-dimensional Wiener processes Proposition (1.1.4 Representation of the Q-Wiener process) Let e k, k N, be an orthonormal basis of U consisting of eigenvectors of Q with corresponding eigenvalues λ k, k N. Then a U-valued stochastic process W (t), t [0, T ], is a Q-Wiener process if and only if W (t) = k N λk β k (t)e k, t [0, T ], (1.1) where β k, k {n N λ n > 0}, are independent real-valued Brownian motions on a probability space (Ω, F, P). The series even converges in L 2( Ω, F, P; C([0, T ], U) ), and thus always has a P-a.s. continuous modification. (Here the space C ( [0, T ], U ) is equipped with the sup norm.) In particular, for any Q as above there exists a Q-Wiener process on U. 7 / 91

8 1.1 Infinite-dimensional Wiener processes Definition (1.1.5 Normal filtration) A filtration F t, t [0, T ], on a probability space (Ω, F, P) (i.e., each F t is a σ-field and F s F t F, s t) is called normal if: F 0 contains all elements A F with P(A) = 0 and F t = F t+ = s>t F s for all t [0, T ]. 8 / 91

9 1.1 Infinite-dimensional Wiener processes Definition (1.1.6 Q-Wiener process with respect to a filtration) A Q-Wiener process W (t), t [0, T ], is called a Q-Wiener process with respect to a filtration F t, t [0, T ], if: W (t), t [0, T ], is adapted to F t, t [0, T ], and W (t) W (s) is independent of F s for all 0 s t T. We define and N := { A F P(A) = 0 }, Ft := σ ( W (s) s t ) F 0 t := σ( F t N ). Then it is clear that F t := F s 0, t [0, T ], (1.2) s>t is a normal filtration and we get: 9 / 91

10 1.1 Infinite-dimensional Wiener processes Proposition (1.1.7) Let W (t), t [0, T ], be an arbitrary U-valued Q-Wiener process on a probability space (Ω, F, P). Then it is a Q-Wiener process with respect to the normal filtration F t, t [0, T ], given by (1.2). 10 / 91

11 1.2 Martingales in general Banach spaces Analogously to the real-valued case it is possible to define the conditional expectation of any Bochner integrable random variable with values in an arbitrary separable Banach space ( E, ). This result is formulated in the following proposition. 11 / 91

12 1.2 Martingales in general Banach spaces Proposition (1.2.1 Existence of the conditional expectation) Assume that E is a separable real Banach space and let (Ω, F, P) be a probability space. Let X : Ω E be F-measurable and Bochner integrable. Let G be a σ-field contained in F. Then there exists a unique, up to a set of P-probability zero, Bochner integrable E-valued map Z : Ω E, measurable with respect to G such that X dp = Z dp for all A G. (1.3) A Z is denoted by E(X G) and is called the conditional expectation of X given G. Furthermore, E(X G) E ( X G ). A 12 / 91

13 1.2 Martingales in general Banach spaces Definition (1.2.2) Let M(t), t 0, be a stochastic process on (Ω, F, P) with values in a separable Banach space E, and let F t, t 0, be a filtration on (Ω, F, P). The process M is called an (F t )-martingale, if: E ( M(t) ) < for all t 0, M(t) is F t -measurable for all t 0, E ( M(t) Fs ) = M(s) P-a.s. for all 0 s t <. 13 / 91

14 1.2 Martingales in general Banach spaces Remark (1.2.3) Let M be as above such that E( M(t) ) < for all t [0, T ]. Then M is an (R-valued) (F t )-martingale if and only if l(m) is an (F t )-martingale for all l E. In particular, results like optional stopping etc. extend to E-valued martingales. 14 / 91

15 1.2 Martingales in general Banach spaces Theorem (1.2.4 Maximal inequality) Let p > 1 and let E be a separable Banach space. If M(t), t [0, T ], is a right-continuous E-valued (F t )-martingale, then ( ( E sup t [0,T ] M(t) p)) 1 p p p 1 sup t [0,T ] ( E ( M(t) p)) 1 p = p ( E ( M(T ) p)) 1 p. p 1 15 / 91

16 1.2 Martingales in general Banach spaces Remark (1.2.5) We note that in the inequality in Theorem 1.11 the first norm is the standard norm on L p( Ω, F, P; C([0, T ]; E) ), whereas the second is the standard norm on C ( [0, T ]; L p (Ω, F, P; E) ). So, for right-continuous E-valued (F t )-martingales these two norms are equivalent. 16 / 91

17 1.2 Martingales in general Banach spaces Now we fix 0 < T < and denote by M 2 T (E) the space of all E-valued continuous, square integrable martingales M(t), t [0, T ]. Proposition (1.2.6) The space M 2 T (E) equipped with the norm M M 2 T is a Banach space. ( := sup E ( M(t) 2)) 1 2 t [0,T ] ( E ( sup M(t) 2)) 1 2 t [0,T ] = ( E ( M(T ) 2)) E ( M(T ) 2) / 91

18 1.2 Martingales in general Banach spaces Proposition (1.2.7) Let T > 0 and W (t), t [0, T ], be a U-valued Q-Wiener process with respect to a normal filtration F t, t [0, T ], on a probability space (Ω, F, P). Then W (t), t [0, T ], is a continuous square integrable F t -martingale, i.e. W M 2 T (U). 18 / 91

19 1.3 The definition of the stochastic integral For the whole section we fix a positive real number T and a probability space (Ω, F, P) and we define Ω T := [0, T ] Ω and P T := dx P where dx is the Lebesgue measure. Moreover, let Q L(U) be symmetric, nonnegative and with finite trace and we consider a Q-Wiener process W (t), t [0, T ], with respect to a normal filtration F t, t [0, T ]. 19 / 91

20 1.3.1 Scheme of the construction of the stochastic integral Step 1: First we consider a certain class E of elementary L(U, H)-valued processes and define the mapping Int : E M 2 T (H) =: M2 T Φ t 0 Φ(s) dw (s), t [0, T ]. 20 / 91

21 1.3.1 Scheme of the construction of the stochastic integral Step 2: We prove that there is a certain norm on E such that Int : E M 2 T is a linear isometry. Since M 2 T is a Banach space, this implies that Int can be extended to the abstract completion Ē of E. This extension remains isometric and it is unique. Step 3: We give an explicit representation of Ē. Step 4: We show how the definition of the stochastic integral can be extended by localization. 21 / 91

22 1.3.2 The construction of the stochastic integral in detail Step 1: First we define the class E as follows. of all elementary processes 22 / 91

23 1.3.2 The construction of the stochastic integral in detail Definition (1.3.1 Elementary process) An L = L(U, H)-valued process Φ(t), t [0, T ], on (Ω, F, P) with normal filtration F t, t [0, T ], is said to be elementary if there exist 0 = t 0 < < t k = T, k N, such that where: Φ(t) = k 1 m=0 Φ m 1 ]tm,t m+1 ](t), t [0, T ], Φ m : Ω L(U, H) is F tm -measurable, w.r.t. strong Borel σ-algebra on L(U, H), 0 m k 1, Φ m takes only a finite number of values in L(U, H), 1 m k / 91

24 1.3.2 The construction of the stochastic integral in detail Define the linear map Int : E M 2 T by Int(Φ)(t) := t 0 Φ(s) dw (s) := k 1 m=0 Φ m ( W (tm+1 t) W (t m t) ), (this is obviously independent of the representation) for all Φ E. t [0, T ] 24 / 91

25 1.3.2 The construction of the stochastic integral in detail Proposition (1.3.2) Let Φ E. Then the stochastic integral t 0 Φ(s) dw (s), t [0, T ], defined above, is a continuous square integrable martingale with respect to F t, t [0, T ], i.e. Int : E M 2 T. 25 / 91

26 1.3.2 The construction of the stochastic integral in detail Step 2: To verify the assertion that there is a norm on E such that Int : E M 2 T is an isometry, we have to introduce the following notion. Definition (1.3.3 Hilbert Schmidt operator) Let e k, k N, be an orthonormal basis of U. An operator A L(U, H) is called Hilbert-Schmidt if Ae k, Ae k <. k N 26 / 91

27 1.3.2 The construction of the stochastic integral in detail Moreover, the space L 2 := L 2 (U, H) of all Hilbert Schmidt operators from U to H equipped with the inner product A, B L2 := k N Ae k, Be k (independent of ONB!) is a separable Hilbert space. 27 / 91

28 1.3.2 The construction of the stochastic integral in detail Proposition (1.3.4 Itô-isometry ) If Φ = k 1 m=0 Φ m1 ]tm,t m+1 ] is an elementary L(U, H)-valued process then 0 Φ(s) dw (s) 2 M 2 T ( T ) = E Φ(s) Q L 2 ds =: Φ 2 T 0 28 / 91

29 1.3.2 The construction of the stochastic integral in detail Step 3: To give an explicit representation of Ē it is useful, to introduce the subspace U 0 := Q 1 2 (U) with the inner product given by u 0, v 0 0 := Q 1 2 u0, Q 1 2 v0 U, u 0, v 0 U 0, where Q 1 2 is the pseudo inverse of Q 1 2 in the case that Q is not one-to-one. Then (U 0,, 0 ) is again a separable Hilbert space. We have L L 0 2 = L Q 1 2 L2 for each L L 0 2 := L 2 (U 0, H). 29 / 91

30 1.3.2 The construction of the stochastic integral in detail Define L(U, H) 0 := { T U0 T L(U, H) }. Since Q 1 2 L 2 (U) it is clear that L(U, H) 0 L 0 2 and that the T -norm of Φ E can be written as ( ( T Φ T = E Φ(s) 2 L 0 2 We need the following σ-field: 0 ) ) 1 2 ds. P T : ( {]s, } { } ) = σ t] Fs 0 s < t T, F s F s {0} F0 F 0 F 0 = σ ( Y : Ω T R Y is left-continuous and adapted to F t, t [0, T ] ). We are now able to characterize Ē. 30 / 91

31 1.3.2 The construction of the stochastic integral in detail Proposition (1.3.5) Ē : = { Φ : [0, T ] Ω L 0 2 Φ is predictable and Φ T < } = L 2 ( [0, T ] Ω, P T, dt P; L 0 2) =: N 2 W (0, T ; H). For simplicity we also write NW 2 (0, T ) or N W 2 instead of NW 2 (0, T ; H). Since L(U, H) 0 L 0 2 and since any Φ E is predictable by construction we indeed have that E NW / 91

32 1.3.2 The construction of the stochastic integral in detail Step 4: Finally by the so-called localization procedure we extend the stochastic integral even to the linear space { N W (0, T ; H) := Φ : Ω T L 0 2 Φ is predictable with ( T ) } P 0 Φ(s) 2 L 0 2 ds < = 1. For simplicity we also write N W (0, T ) or N W instead of N W (0, T ; H) and N W is called the class of stochastically integrable processes on [0, T ]. The extension is done in the following way: For Φ N W we define τ n := inf { t [0, T ] t 0 Φ(s) 2 L 0 2 } ds > n T. (1.4) 32 / 91

33 1.3.2 The construction of the stochastic integral in detail Then τ n, n N, is an increasing sequence of stopping times with respect to F t, t [0, T ] (i.e., {τ n t} F t t [0, T ]), such that ( T ) E 0 1 ]0,τn](s)Φ(s) 2 L 0 2 ds n <. 33 / 91

34 1.3.2 The construction of the stochastic integral in detail Thus the stochastic integrals t 0 1 ]0,τn](s)Φ(s) dw (s), t [0, T ], are well-defined for all n N. For arbitrary t [0, T ] we set t 0 Φ(s) dw (s) := t 0 1 ]0,τn](s)Φ(s) dw (s), (1.5) where n is an arbitrary natural number such that τ n t. This definition is consistent. 34 / 91

35 1.3.2 The construction of the stochastic integral in detail Lemma (1.3.6) Let Φ N W (0, T ) and f an (F t )-adapted continuous H-valued process. Set T f(t), Φ(t) dw (t) := T 0 0 Φ f (t) dw (t) (1.6) with Φ f (t)(u) := f(t), Φ(t)u, u U 0. Then Φ t N W (0, T ; R) and the stochastic integral is well-defined as a continuous R-valued stochastic process. 35 / 91

36 1.4 The stochastic integral for cylindrical Wiener processes Until now we have considered the case that W (t), t [0, T ], was a standard Q-Wiener process where Q L(U) was nonnegative, symmetric and with finite trace. We could integrate processes in { N W := Φ : Ω T L 2 (Q 1 2 (U), H) Φ is predictable and ( T ) } P 0 Φ(s) 2 L 0 2 ds < = / 91

37 1.4 The stochastic integral for cylindrical Wiener processes In fact it is possible to extend the definition of the stochastic integral to the case that Q is not necessarily of finite trace. To this end we first have to introduce the concept of cylindrical Wiener processes. 37 / 91

38 1.4.1 Cylindrical Wiener processes Let Q L(U) be nonnegative definite and symmetric. Remember that in the case that Q is of finite trace the Q-Wiener process has the following representation: W (t) = k N β k (t)e k, t [0, T ], where e k, k N, is an orthonormal basis of Q 1 2 (U) = U 0 and β k, k N, is a family of independent real-valued Brownian motions. 38 / 91

39 1.4.1 Cylindrical Wiener processes The series converges in L 2 (Ω, F, P; U), because the inclusion U 0 U defines a Hilbert Schmidt embedding from (U 0,, 0 ) to (U,, ). In the case that Q is no longer of finite trace one looses this convergence. Nevertheless, it is possible to define the Wiener process. For simplicity let Q = I, thus U 0 = U. To this end we need a further Hilbert space (U 1,, 1 ) and a Hilbert Schmidt embedding J : (U,, ) (U 1,, 1 ). 39 / 91

40 1.4.1 Cylindrical Wiener processes Remark (1.4.1) (U 1,, 1 )) and J as above always exist; e.g. choose U 1 := U and α k ]0, [, k N, such that k=1 α2 k <. Define J : U 0 U by J(u) := α k u, e k 0 e k, u U 0. k=1 Then J is one-to-one and Hilbert Schmidt. Then the process given by the following proposition is called a cylindrical Wiener process in U. 40 / 91

41 1.4.1 Cylindrical Wiener processes Proposition (1.4.2) Let e k, k N be an orthonormal basis of U and β k, k N, a family of independent real-valued Brownian motions. Define Q 1 := JJ. Then Q 1 L(U 1 ), Q 1 is nonnegative definite and symmetric with finite trace and the series W (t) = β k (t)je k, t [0, T ], (1.7) k=1 converges in M 2 T (U 1) and defines a Q 1 -Wiener process on U / 91

42 1.4.2 The definition of the stochastic integral for cylindrical Wiener processes Basically we integrate with respect to the standard U 1 -valued Q 1 -Wiener process given by Proposition In this sense we get that a process Φ(t), t [0, T ], is integrable with respect to W (t), t [0, T ], if it takes values in L 2 (Q (U 1 ), H), is predictable and if ( T ) P 0 Φ(s) 2 ds < L 2 (Q (U 1 ),H) = / 91

43 1.4.2 The definition of the stochastic integral for cylindrical Wiener processes It is easy to check that Now we define t 0 Φ L 2 (U, H) Φ J 1 L 2 (Q (U 1 ), H) Φ(s) dw (s) := where Φ N W := t 0 Φ(s) J 1 dw (s), t [0, T ]. (1.8) { ( T Φ : Ω T L 2 (U, H) Φ predictable, P Φ(s) 2 L ) } ds < = / 91

44 2 Stochastic Differential Equations on Hilbert spaces Chapter 2: Stochastic Differential Equations on Hilbert spaces 44 / 91

45 2.1 The finite dimensional case Let (Ω, F, P) be a complete probability space and F t, t [0, [, a normal filtration. Let (W t ) t 0 be a standard Wiener process on R d 1, d 1 N, with respect to F t, t [0, [. So, in the terminology of the previous section U := R d 1, Q := I, and H := R d. 45 / 91

46 2.1 The finite dimensional case Let M(d d 1, R) denote the set of all real d d 1 -matrices. Let the following maps σ = σ(t, x, ω), b = b(t, x, ω) be given: σ :[0, [ R d Ω M(d d 1, R) b :[0, [ R d Ω R d such that both are continuous in x R d for each fixed t [0, [, w Ω, and progressively measurable, i.e. both σ and b restricted to [0, t] R d Ω are B([0, t]) B(R d ) F t -measurable for every t [0, [. 46 / 91

47 2.1 The finite dimensional case We also assume that T 0 sup { σ(t, x) 2 + b(t, x) } dt < on Ω, (2.1) x R for all T, R [0, [. Here denotes the Euclidean distance on R d and d d 1 σ 2 := σ ij 2 (= σ 2 L 2 ). (2.2) (R d 1,R d ) i=1 j=1, below denotes the Euclidean inner product on R d. 47 / 91

48 2.1 The finite dimensional case Theorem (2.1.1) Let b, σ be as above satisfying (2.1). Assume that on Ω for all t, R [0, [, x, y R d, x, y R 2 x y, b(t, x) b(t, y) + σ(t, x) σ(t, y) 2 K t (R) x y 2 (local weak monotonicity) (2.3) and 2 x, b(t, x) + σ(t, x) 2 K t (1)(1 + x 2 ), (weak coercivity) (2.4) 48 / 91

49 2.1 The finite dimensional case Theorem (2.1.1) where for R [0, [, K t (R) is an R + -valued (F t )-adapted process satisfying on Ω for all R, T [0, [ α T (R) := T 0 K t (R) dt <. (2.5) Then for any F 0 -measurable map X 0 : Ω R d there exists a unique solution to the stochastic differential equation dx(t) = b(t, X(t)) dt + σ(t, X(t)) dw (t). (2.6) 49 / 91

50 2.1 The finite dimensional case Theorem (2.1.1) Here solution means that (X(t)) t 0 is a P-a.s. continuous R d -valued (F t )-adapted process such that P-a.s. for all t [0, [ X(t) = X 0 + t 0 b(s, X(s)) ds + Furthermore, for all t [0, [ t 0 σ(s, X(s)) dw (s). (2.7) E( X(t) 2 e αt(1) ) E( X 0 2 ) + 1. (2.8) 50 / 91

51 2.1 The finite dimensional case Remark (2.1.2) We note that by (2.1) the integrals on the right-hand side of (2.7) are well-defined. Proof of Theorem Stopping and Euler approximation. 51 / 91

52 2.1 The finite dimensional case Proposition (2.1.3) Let the assumptions of Theorem apart from (2.4) be satisfied. Let X 0, X (n) 0 : Ω R d, n N, be F 0 -measurable such that P lim n X(n) 0 = X 0. Let T [0, [ and assume that X(t), X (n) (t), t [0, T ], n N, are solutions of (2.6) (up to time T ) such that X(0) = X 0 and X (n) (0) = X (n) 0 P-a.e. for all n N. Then P lim sup n t [0,T ] X (n) (t) X(t) = 0. (2.9) 52 / 91

53 2.2 Gelfand triples, conditions on the coefficients and examples Let H be a separable Hilbert space with inner product, H and H its dual. Let V be a reflexive Banach space, such that V H continuously and densely. Then for its dual space V it follows that H V continuously and densely. Identifying H with H via the Riesz isomorphism we have that V H V (2.10) continuously and densely and if V, V denotes the dualization between V and V (i.e. V z, v V := z(v) for z V, v V ), it follows that V z, v V = z, v H for all z H, v V. (2.11) (V, H, V ) is called a Gelfand triple. 53 / 91

54 2.2 Gelfand triples, conditions on the coefficients and examples Note that since H V continuously and densely, also V is separable, hence so is V. Furthermore, B(V ) is generated by V and B(H) by H. We also have by Kuratowski s theorem that V B(H), H B(V ) and B(V ) = B(H) V, B(H) = B(V ) H. Below we want to study stochastic differential equations on H of type dx(t) = A(t, X(t))dt + B(t, X(t)) dw (t) (2.12) with W (t), t [0, T ] a cylindrical Q-Wiener process with Q = I on another separable Hilbert space (U,, U ) and with B taking values in L 2 (U, H) as in Chapter 1, but with A taking values in the larger space V. 54 / 91

55 2.2 Gelfand triples, conditions on the coefficients and examples The solution X will, however, take values in H again. In this section we give precise conditions on A and B. Let T [0, [ be fixed and let (Ω, F, P) be a complete probability space with normal filtration F t, t [0, [. Let A : [0, T ] V Ω V, B : [0, T ] V Ω L 2 (U, H) be progressively measurable, i.e. for every t [0, T ], these maps restricted to [0, t] V Ω are B([0, t]) B(V ) F t -measurable. 55 / 91

56 2.2 Gelfand triples, conditions on the coefficients and examples As usual by writing A(t, v) we mean the map ω A(t, v, ω). Analogously for B(t, v). We impose the following conditions on A and B: (H1) (Hemicontinuity) For all u, v, x V, ω Ω and t [0, T ] the map R λ V A(t, u + λv, ω), x V is continuous. 56 / 91

57 2.2 Gelfand triples, conditions on the coefficients and examples (H2) (Weak monotonicity) There exists c R such that for all u, v V 2 V A(, u) A(, v), u v V + B(, u) B(, v) 2 L 2 (U,H) c u v 2 H on [0, T ] Ω. 57 / 91

58 2.2 Gelfand triples, conditions on the coefficients and examples (H3) (Coercivity) There exist α ]1, [, c 1 R, c 2 ]0, [ and an (F t )-adapted process f L 1 ([0, T ] Ω, dt P) such that for all v V, t [0, T ] 2 V A(t, v), v V + B(t, v) 2 L 2 (U,H) c 1 v 2 H c 2 v α V + f(t) on Ω. 58 / 91

59 2.2 Gelfand triples, conditions on the coefficients and examples (H4) (Boundedness) There exist c 3 [0, [ and an (F t )-adapted g L α α 1 ([0, T ] Ω, dt P) s.th. for all v V, t [0, T ] A(t, v) V g(t) + c 3 v α 1 V on Ω, where α is as in (H3). 59 / 91

60 2.2 Gelfand triples, conditions on the coefficients and examples Remark (2.2.1) 1. By (H3) and (H4) it follows that for all v V, t [0, T ] B(t, v) 2 L 2 (U,H) c 1 v 2 H + f(t) + 2 v V g(t) + 2c 3 v α V on Ω. 2. We stress that we shall never need any explicit representation of V. V is only used as an auxiliary space! 60 / 91

61 2.2 Gelfand triples, conditions on the coefficients and examples Remark (2.2.1) 3. Let ω Ω, t [0, T ]. (H1) and (H2) imply that A(t,, ω) is demicontinuous, i.e. implies u n u as n (strongly) in V A(t, u n, ω) A(t, u, ω) as n weakly in V, In particular if H = R d, d N, hence V = V = R d, then (H1) and (H2) imply that u A(t, u, ω) is continuous from R d to R d. 61 / 91

62 2.3 The main result and an Itô formula Consider the general situation described at the beginning of the previous section. So, we have a Gelfand triple and maps V H V A : [0, T ] V Ω V, B : [0, T ] V Ω L 2 (U, H) as specified there, satisfying (H1) (H4), and consider the stochastic differential equation dx(t) = A(t, X(t)) dt + B(t, X(t)) dw (t) (2.13) on H with W (t), t [0, T ], a cylindrical Q-Wiener process with Q := I taking values in another separable Hilbert space (U,, U ) and being defined on a complete probability space (Ω, F, P) with normal filtration F t, t [0, T ]. 62 / 91

63 2.3 The main result and an Itô formula Definition (2.3.1) A continuous H-valued (F t )-adapted process (X(t)) t [0,T ] is called a solution of (2.13), if X L α ([0, T ] Ω, dt P; V ) L 2 ([0, T ] Ω, dt P; H) with α as in (H3) and P-a.s. X(t) = X(0) + t 0 A(s, X(s))ds+ t 0 B(s, X(s)) dw (s), t [0, T ], (2.14) where X is any V -valued progressively measurable dt P-version of X. 63 / 91

64 2.3 The main result and an Itô formula Theorem (2.3.2 Krylov-Rosowskii) Let A, B above satisfy (H1) (H4) and let X 0 L 2 (Ω, F 0, P; H). Then there exists a unique solution X to (2.13) in the sense of Definition Moreover, E( sup X(t) 2 H) <. (2.15) t [0,T ] Proof. By finite dimensional (Galerkin) approximation and the following Itô-formula. 64 / 91

65 2.3 The main result and an Itô formula Theorem (2.3.3 Krylov-Rosowskii) Let X 0 L 2 (Ω, F 0, P; H), α > 1, and Y L α α 1 ([0, T ] Ω, dt P; V ), Z L 2 ([0, T ] Ω, dt P; L 2 (U, H)), both progressively measurable. Define the continuous V -valued process X(t) := X 0 + t 0 Y (s)ds + t 0 Z(s) dw (s), t [0, T ]. 65 / 91

66 2.3 The main result and an Itô formula Theorem (2.3.3 Krylov-Rosowskii) If X L α ([0, T ] Ω, dt P, V ), then X is an H-valued continuous (F t )-adapted process, ( ) E sup X(t) 2 H t [0,T ] < and the following Itô-formula holds for the square of its H-norm P-a.s. 66 / 91

67 2.3 The main result and an Itô formula Theorem (2.3.3 Krylov-Rosowskii) X(t) 2 H = X 0 2 H t 0 t 0 ( 2 V Y (s), X(s) ) V + Z(s) 2 L 2 (U,H) X(s), Z(s) dw (s) H for all t [0, T ] ds (2.16) for any V -valued progressively measurable dt P-version X of X. 67 / 91

68 2.3 The main result and an Itô formula Proposition (2.3.4) Consider the situation of Theorem and let X, Y be two solutions. Then for c R as in (H2) E( X(t) Y (t) 2 H) e ct E( X(0) Y (0) 2 H) for all t [0, T ]. (2.17) 68 / 91

69 3 Applications to stochastic partial differential equations Below we shall give examples of operators A : V V, independent of t and ω, satisfying (H1) (H4). If B is as in Chapter 2 satisfying (H2) with A 0, then the pair (A, B) satisfies (H1) (H4). In all examples below V and H will be spaces of (possibly generalized) functions. 69 / 91

70 3 Applications to stochastic partial differential equations Example (3.1 L p L 2 L p/(p 1) and A(u) := u u p 2 ) Let p [2, [, Λ R d, Λ open. Let V := L p (Λ) := L p (Λ, dξ), equipped with its usual norm p, and H := L 2 (Λ) := L 2 (Λ, dξ), where dξ denotes Lebesgue measure on Λ. Then V = L p/(p 1) (Λ). 70 / 91

71 3 Applications to stochastic partial differential equations Example (3.1 L p L 2 L p/(p 1) and A(u) := u u p 2 ) If p > 2 we assume that Λ := I Λ (ξ) dξ <. R d (3.1) Then or concretely V H V, L p (Λ) L 2 (Λ) L p/(p 1) (Λ) continuously and densely. Recall that since p > 1, L p (Λ) is reflexive. 71 / 91

72 3 Applications to stochastic partial differential equations Example (3.1 L p L 2 L p/(p 1) and A(u) := u u p 2 ) Define A : V V by Au := u u p 2, u V = L p (Λ). Indeed, A takes values in V = L p/(p 1) (Λ), since Au(ξ) p/(p 1) dξ = u(ξ) p dξ < for all u L p (Λ). Then A satisfies (H1) (H4). 72 / 91

73 3 Applications to stochastic partial differential equations Example (3.1 L p L 2 L p/(p 1) and A(u) := u u p 2 ) E.g. (H2): V A(u) A(v), u v V = (v(ξ) v(ξ) p 2 u(ξ) u(ξ) p 2 )(u(ξ) v(ξ)) dξ 0, since the map s s s p 2 is increasing on R. Thus (H2) holds, with c := 0. The corresponding SDE (2.12) then reads dx(t) = X(t) X(t) p 2 dt + B(t, X(t)) dw (t) 73 / 91

74 3 Applications to stochastic partial differential equations Now we turn to cases where A is given by a (possibly nonlinear) partial differential operator. We shall start with the linear case; more concretely, A will be given by the classical Laplace operator d 2 =. ξ 2 i=1 i 74 / 91

75 3 Applications to stochastic partial differential equations Again let Λ R d, Λ open, and let C0 (Λ) denote the set of all infinitely differentiable real-valued functions on Λ with compact support. Let p [1, [ and for u C0 (Λ) define and ( 1/p u 1,p := ( u(ξ) p + u(ξ) p ) dξ) (3.2) H 1,p 0 (Λ) := completion of C 0 (Λ) with respect to 1,p ( L p (Λ)!!!). (3.3) H 1,p 0 (Λ) is called the Sobolev space of order 1 in Lp (Λ) with Dirichlet boundary conditions. 75 / 91

76 3 Applications to stochastic partial differential equations Example (3.2 H 1,2 0 L 2 (H 1,2 0 ), A = ) Though later we shall see that to have (H3) we have to take p = 2, we shall first take any p [2, [ and define V := H 1,p 0 (Λ), H := L2 (Λ), so V := H 1,p 0 (Λ). 76 / 91

77 3 Applications to stochastic partial differential equations Example (3.2 H 1,2 0 L 2 (H 1,2 0 ), A = ) Again we assume (3.1) to hold if p > 2. Since then V L p (Λ) H, continuously and densely, identifying H with its dual we obtain the continuous and dense embeddings or concretely V H V H 1,p 0 (Λ) L2 (Λ) H 1,p 0 (Λ). (3.4) 77 / 91

78 3 Applications to stochastic partial differential equations Example (3.2 H 1,2 0 L 2 (H 1,2 0 ), A = ) Then : C 0 (Λ) C 0 (Λ) L 2 (Λ) V. extends to a bounded linear operator A(:= ) : H 1,p 0 (Λ) H1,p 0 (Λ). which satisfies (H1),(H2),(H4) and provided p = 2, also (H3). 78 / 91

79 3 Applications to stochastic partial differential equations Example (3.2 H 1,2 0 L 2 (H 1,2 0 ), A = ) E.g. (H2): for u n, v n C 0 ( ) with u n u, v n v in V, V A(u) A(v), u v V = lim n V u n v n, u n v n V = lim (u n v n ), u n v n H n = lim (u n v n )(ξ) 2 dξ 0. n 79 / 91

80 3 Applications to stochastic partial differential equations The corresponding SDE (2.12) then reads dx(t) = X(t) dt + B(t, X(t)) dw (t). If B 0, this is just the classical heat equation. If B 0, but constant, the solution is an Ornstein Uhlenbeck process on H. 80 / 91

81 3 Applications to stochastic partial differential equations Example (3.3 H 1,p 0 L 2 (H 1,p 0 ), A = p-laplacian) Again we take p [2, [, Λ R d, Λ open and bounded, and V := H 1,p 0 (Λ), H := L2 (Λ), so V = (H 1,p 0 (Λ)). Define A : H 1,p 0 (Λ) H1,p 0 (Λ) by A(u) := div( u p 2 u), u H 1,p 0 (Λ); more precisely, given u H 1,p 0 (Λ) for all v H1,p 0 (Λ) V A(u), v V := u(ξ) p 2 u(ξ), v(ξ) dξ. (3.5) 81 / 91

82 3 Applications to stochastic partial differential equations Example (3.3 H 1,p 0 L 2 (H 1,p 0 ), A = p-laplacian) A is called the p-laplacian, also denoted by p. Note that 2 =. (To show that A : V V is well-defined we have to show that the right-hand side of (3.5) defines a linear functional in v V which is continuous with respect to V = 1,p.) Then A satisfies (H1) (H4). E.g.(H2): Let u, v H 1,p 0 (Λ). Then by (3.5) V A(u) A(v), u v V 82 / 91

83 3 Applications to stochastic partial differential equations Example (3.3 H 1,p 0 L 2 (H 1,p 0 ), A = p-laplacian) = = = u(ξ) p 2 u(ξ) v(ξ) p 2 v(ξ), u(ξ) v(ξ) dξ ( u(ξ) p + v(ξ) p u(ξ) p 2 u(ξ), v(ξ) v(ξ) p 2 u(ξ), v(ξ) ) dξ ( u(ξ) p + v(ξ) p u(ξ) p 1 v(ξ) v(ξ) p 1 u(ξ) ) dξ ( u(ξ) p 1 v(ξ) p 1 )( u(ξ) v(ξ) ) dξ / 91

84 3 Applications to stochastic partial differential equations The corresponding SDE (2.12) then reads dx(t) = div( X(t) p 2 X(t)) dt + B(t, X(t)) dw (t). 84 / 91

85 3 Applications to stochastic partial differential equations Example (3.4 L p (H 1,2 0 ) (L p ), A = porous medium operator) Let Λ R d, Λ open and bounded, p [2, [ and V := L p (Λ), H := (H 1,2 0 (Λ)). Since Λ is bounded we have by Poincaré s inequality, that for some constant c > 0 u 1,2 u H 1,2 0 ( := c u 1,2 for all u H 1,2 0 (Λ). ) 1 u(ξ) 2 2 dξ (3.6) 85 / 91

86 3 Applications to stochastic partial differential equations Example (3.4 L p (H 1,2 0 ) (L p ), A = porous med. op.) So, we can (and will do so below) consider H 1,2 0 (Λ) with norm H 1,2 and corresponding scalar product 0 u, v H 1,2 := u(ξ), v(ξ) dξ, u, v H 1,2 0 (Λ). 0 Since H 1,2 0 (Λ) L2 (Λ) continuously and densely, so is Hence L p (Λ) continuously and densely. H 1,2 0 (Λ) L p p 1 (Λ). (L p p 1 (Λ)) (H 1,2 0 (Λ)) = H, 86 / 91

87 3 Applications to stochastic partial differential equations Example (3.4 L p (H 1,2 0 ) (L p ), A = porous med. op.) Now we identify H with its dual H by the Riesz map ( ) 1 : H H, so H H in this sense, hence continuously and densely. V = L p (Λ) H (L p (Λ)) = V (3.7) 87 / 91

88 3 Applications to stochastic partial differential equations Example (3.4 L p (H 1,2 0 ) (L p ), A = porous med. op.) Exercise: The map extends to a linear isometry : H 1,2 0 (Λ) (Lp (Λ)) : L p p 1 (Λ) (L p (Λ)) = V and for all u L p p 1 (Λ), v L p (Λ) V u, v V = L p p 1 u, v L p = u(ξ)v(ξ) dξ. (3.8) This isometry is in fact surjective, hence (L p (Λ)) = (L p p 1 ) L p p / 91

89 3 Applications to stochastic partial differential equations Example (3.4 L p (H 1,2 0 ) (L p ), A = porous med. op.) Now we want to define the porous medium operator A. So, let Ψ : R R be a continuous increasing function having the following properties: (Ψ1) There exist p [2, [, a ]0, [, c [0, [ such that for all s R sψ(s) a s p c. (Ψ2) There exist c 3, c 4 ]0, [ such that for all s R where p is as in (Ψ1). Ψ(s) c 4 + c 3 s p 1, 89 / 91

90 3 Applications to stochastic partial differential equations Example (3.4 L p (H 1,2 0 ) (L p ), A = porous med. op.) We note that (Ψ4) implies that Ψ(v) L p p 1 (Λ) for all v L p (Λ). (3.9) Now we can define the porous medium operator A : L p (Λ) = V V = (L p (Λ)) by Then (H1) (H4) hold. A(u) := Ψ(u), u L p (Λ). (3.10) 90 / 91

91 3 Applications to stochastic partial differential equations Example (3.4 L p (H 1,2 0 ) (L p ), A = porous med. op.) E.g.(H2): Let u, v V = L p (Λ). Then by (3.8) V A(u) A(v), u v) V = V (Ψ(u) Ψ(v)), u v V = [Ψ(u(ξ)) Ψ(v(ξ))](u(ξ) v(ξ)) dξ 0, where we used that Ψ is increasing in the last step. 91 / 91

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