A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps

We consider a stochastic functional delay differential equation, namely an equation whose evolution depends on its past history as well as on its present state, driven by a pure diffusive component plus a pure jump Poisson compensated measure. We lift the problem in the infinite dimensional space of square integrable Lebesgue functions in order to show that its solution is an $L^2-$valued Markov process whose uniqueness can be shown under standard assumptions of locally Lipschitzianity and linear growth for the coefficients. Coupling the aforementioned equation with a standard backward differential equation, and deriving some ad hoc results concerning the Malliavin derivative for systems with memory, we are able to derive a non--linear Feynman--Kac representation theorem under mild assumptions of differentiability

Calculus via regularizations in Banach spaces and Kolmogorov-type path-dependent equations

The paper reminds the basic ideas of stochastic calculus via regularizations in Banach spaces and its applications to the study of strict solutions of Kolmogorov path dependent equations associated with "windows" of diffusion processes. One makes the link between the Banach space approach and the so called functional stochastic calculus. When no strict solutions are available one describes the notion of strong-viscosity solution which alternative (in infinite dimension) to the classical notion of viscosity solution.Comment: arXiv admin note: text overlap with arXiv:1401.503

Mild solutions of semilinear elliptic equations in Hilbert spaces

This paper extends the theory of regular solutions ($C^1$ in a suitable sense) for a class of semilinear elliptic equations in Hilbert spaces. The notion of regularity is based on the concept of $G$-derivative, which is introduced and discussed. A result of existence and uniqueness of solutions is stated and proved under the assumption that the transition semigroup associated to the linear part of the equation has a smoothing property, that is, it maps continuous functions into $G$-differentiable ones. The validity of this smoothing assumption is fully discussed for the case of the Ornstein-Uhlenbeck transition semigroup and for the case of invertible diffusion coefficient covering cases not previously addressed by the literature. It is shown that the results apply to Hamilton-Jacobi-Bellman (HJB) equations associated to infinite horizon optimal stochastic control problems in infinite dimension and that, in particular, they cover examples of optimal boundary control of the heat equation that were not treatable with the approaches developed in the literature up to now

Structured populations with distributed recruitment: from PDE to delay formulation

In this work first we consider a physiologically structured population model with a distributed recruitment process. That is, our model allows newly recruited individuals to enter the population at all possible individual states, in principle. The model can be naturally formulated as a first order partial integro-differential equation, and it has been studied extensively. In particular, it is well-posed on the biologically relevant state space of Lebesgue integrable functions. We also formulate a delayed integral equation (renewal equation) for the distributed birth rate of the population. We aim to illustrate the connection between the partial integro-differential and the delayed integral equation formulation of the model utilising a recent spectral theoretic result. In particular, we consider the equivalence of the steady state problems in the two different formulations, which then leads us to characterise irreducibility of the semigroup governing the linear partial integro-differential equation. Furthermore, using the method of characteristics, we investigate the connection between the time dependent problems. In particular, we prove that any (non-negative) solution of the delayed integral equation determines a (non-negative) solution of the partial differential equation and vice versa. The results obtained for the particular distributed states at birth model then lead us to present some very general results, which establish the equivalence between a general class of partial differential and delay equation, modelling physiologically structured populations.Comment: 28 pages, to appear in Mathematical Methods in the Applied Science