All Questions
9 questions
1
vote
0
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127
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Gradient bound for the Markov semigroup generated by the solution to an Langevin SDE
Let
$h\in C^2(\mathbb R)$ with $$h''\ge\rho\tag1$$ for some $\rho>0$ and $$\int\underbrace{e^{-h}}_{=:\:\varrho}\:{\rm d}\lambda=1$$
$\mu$ be the measure with density $\varrho$ with respect to the ...
- 167
1
vote
0
answers
63
views
Martingale covariation operator in infinite-dimensions
Let
$(\Omega,\mathcal A,(\mathcal F_t)_{t\in[0,\:T]},\operatorname P)$ be a filtered probability space
$U,H$ be separable $\mathbb R$-Hilbert spaces
$(e_n)_{n\in\mathbb N}$ and $(f_n)_{n\in\mathbb N}$...
- 167
3
votes
1
answer
369
views
Estimate for the composition of two Hilbert-Schmidt operators
Let
$U$, $H$, $\tilde H$ be infinite-dimensional separable $\mathbb R$-Hilbert spaces
$Q$ be a self-adjoint and nonnegative nuclear linear operator on $U$
$\Psi$ be a Hilbert-Schmidt operator from$^1$...
- 167
3
votes
0
answers
231
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I've found a representation of the Itō-Stratonovich correction term and don't understand the used notion of a "trace"
Consider a Stratonovich SPDE $$X_t=X_0+\int_0^tb(s,X_s)\:{\rm d}s+\int_0^t\sigma(s,X_s)\circ{\rm d}W_s\tag 1$$ in a separable $\mathbb R$-Hilbert space $H$ with $W$ being a $Q$-Wiener process on a ...
- 167
2
votes
1
answer
755
views
Existence of a solution to an infinite dimensional Stratonovich SDE
Let
$U,H$ be separable $\mathbb R$-Hilbert spaces
$Q\in\mathfrak L(U)$ be nonnegative and self-adjoint with finite trace
$U_0:=Q^{1/2}U$
$(\Omega,\mathcal A,(\mathcal F_t)_{t\ge 0},\operatorname P)$ ...
- 167
1
vote
1
answer
654
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Properties of the trace term in the Itō formula
Let's consider the SDE $${\rm d}X_t=u_t(X_t){\rm d}t+\xi_t(X_t){\rm d}W_t\;\;\;\text{for all }t\ge 0\tag 1$$ where
$U,H$ are separable $\mathbb R$-Hilbert spaces
$Q\in\mathfrak L(U)$ is nonnegative ...
- 167
2
votes
1
answer
702
views
Correction term in the relation between the Itō and Stratonovich integrals in Hilbert spaces
I'm reading the paper On the relation between the Itō and Stratonovich integrals in Hilbert spaces and there is something I don't understand.
In the notation of the paper, let
$H,H_1$ be separable $\...
- 167
6
votes
0
answers
774
views
Relationship between the Itō formula for a Q-Wiener process and the Itō formula for a cylindrical Wiener process. A question on the trace term
Remark: Even when this question is about stochastic PDEs, it can be answered by someone who has no knowledge about probability theory or PDEs.
I'm reading Stochastic Differential Equations in ...
- 167
7
votes
1
answer
938
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What is the idea behind interpolation spaces?
I am working through a text on Numerics for SPDEs and there the concept an interpolation (Hilbert-)space associated to an operator is used. To be specific:
Definition. Let $H$ be an $\mathbb{R}$-...
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