652 research outputs found
Cubature on Wiener space in infinite dimension
We prove a stochastic Taylor expansion for SPDEs and apply this result to
obtain cubature methods, i. e. high order weak approximation schemes for SPDEs,
in the spirit of T. Lyons and N. Victoir. We can prove a high-order weak
convergence for well-defined classes of test functions if the process starts at
sufficiently regular initial values. We can also derive analogous results in
the presence of L\'evy processes of finite type, here the results seem to be
new even in finite dimension. Several numerical examples are added.Comment: revised version, accepted for publication in Proceedings Roy. Soc.
Dimension-independent Harnack inequalities for subordinated semigroups
Dimension-independent Harnack inequalities are derived for a class of
subordinate semigroups. In particular, for a diffusion satisfying the
Bakry-Emery curvature condition, the subordinate semigroup with power
satisfies a dimension-free Harnack inequality provided ,
and it satisfies the log-Harnack inequality for all Some
infinite-dimensional examples are also presented
Adjoint bi-continuous semigroups and semigroups on the space of measures
For a given bi-continuous semigroup T on a Banach space X we define its
adjoint on an appropriate closed subspace X^o of the norm dual X'. Under some
abstract conditions this adjoint semigroup is again bi-continuous with respect
to the weak topology (X^o,X). An application is the following: For K a Polish
space we consider operator semigroups on the space C(K) of bounded, continuous
functions (endowed with the compact-open topology) and on the space M(K) of
bounded Baire measures (endowed with the weak*-topology). We show that
bi-continuous semigroups on M(K) are precisely those that are adjoints of a
bi-continuous semigroups on C(K). We also prove that the class of bi-continuous
semigroups on C(K) with respect to the compact-open topology coincides with the
class of equicontinuous semigroups with respect to the strict topology. In
general, if K is not Polish space this is not the case
Smooth stable and unstable manifolds for stochastic partial differential equations
Invariant manifolds are fundamental tools for describing and understanding
nonlinear dynamics. In this paper, we present a theory of stable and unstable
manifolds for infinite dimensional random dynamical systems generated by a
class of stochastic partial differential equations. We first show the existence
of Lipschitz continuous stable and unstable manifolds by the Lyapunov-Perron's
method. Then, we prove the smoothness of these invariant manifolds
Approximating the coefficients in semilinear stochastic partial differential equations
We investigate, in the setting of UMD Banach spaces E, the continuous
dependence on the data A, F, G and X_0 of mild solutions of semilinear
stochastic evolution equations with multiplicative noise of the form dX(t) =
[AX(t) + F(t,X(t))]dt + G(t,X(t))dW_H(t), X(0)=X_0, where W_H is a cylindrical
Brownian motion on a Hilbert space H. We prove continuous dependence of the
compensated solutions X(t)-e^{tA}X_0 in the norms
L^p(\Omega;C^\lambda([0,T];E)) assuming that the approximating operators A_n
are uniformly sectorial and converge to A in the strong resolvent sense, and
that the approximating nonlinearities F_n and G_n are uniformly Lipschitz
continuous in suitable norms and converge to F and G pointwise. Our results are
applied to a class of semilinear parabolic SPDEs with finite-dimensional
multiplicative noise.Comment: Referee's comments have been incorporate
Statistical properties of stochastic 2D Navier-Stokes equations from linear models
A new approach to the old-standing problem of the anomaly of the scaling
exponents of nonlinear models of turbulence has been proposed and tested
through numerical simulations. This is achieved by constructing, for any given
nonlinear model, a linear model of passive advection of an auxiliary field
whose anomalous scaling exponents are the same as the scaling exponents of the
nonlinear problem. In this paper, we investigate this conjecture for the 2D
Navier-Stokes equations driven by an additive noise. In order to check this
conjecture, we analyze the coupled system Navier-Stokes/linear advection system
in the unknowns . We introduce a parameter which gives a
system ; this system is studied for any
proving its well posedness and the uniqueness of its invariant measure
.
The key point is that for any the fields and
have the same scaling exponents, by assuming universality of the
scaling exponents to the force. In order to prove the same for the original
fields and , we investigate the limit as , proving that
weakly converges to , where is the only invariant
measure for the joint system for when .Comment: 23 pages; improved versio
Hamilton Jacobi Bellman equations in infinite dimensions with quadratic and superquadratic Hamiltonian
We consider Hamilton Jacobi Bellman equations in an inifinite dimensional
Hilbert space, with quadratic (respectively superquadratic) hamiltonian and
with continuous (respectively lipschitz continuous) final conditions. This
allows to study stochastic optimal control problems for suitable controlled
Ornstein Uhlenbeck process with unbounded control processes
Large Deviations for Stochastic Evolution Equations with Small Multiplicative Noise
The Freidlin-Wentzell large deviation principle is established for the
distributions of stochastic evolution equations with general monotone drift and
small multiplicative noise. As examples, the main results are applied to derive
the large deviation principle for different types of SPDE such as stochastic
reaction-diffusion equations, stochastic porous media equations and fast
diffusion equations, and the stochastic p-Laplace equation in Hilbert space.
The weak convergence approach is employed in the proof to establish the Laplace
principle, which is equivalent to the large deviation principle in our
framework.Comment: 31 pages, published in Appl. Math. Opti
Weak convergence of finite element approximations of linear stochastic evolution equations with additive noise II. Fully discrete schemes
We present an abstract framework for analyzing the weak error of fully
discrete approximation schemes for linear evolution equations driven by
additive Gaussian noise. First, an abstract representation formula is derived
for sufficiently smooth test functions. The formula is then applied to the wave
equation, where the spatial approximation is done via the standard continuous
finite element method and the time discretization via an I-stable rational
approximation to the exponential function. It is found that the rate of weak
convergence is twice that of strong convergence. Furthermore, in contrast to
the parabolic case, higher order schemes in time, such as the Crank-Nicolson
scheme, are worthwhile to use if the solution is not very regular. Finally we
apply the theory to parabolic equations and detail a weak error estimate for
the linearized Cahn-Hilliard-Cook equation as well as comment on the stochastic
heat equation
Controllability and Qualitative properties of the solutions to SPDEs driven by boundary L\'evy noise
Let be the solution to the following stochastic evolution equation (1)
du(t,x)& = &A u(t,x) dt + B \sigma(u(t,x)) dL(t),\quad t>0; u(0,x) = x taking
values in an Hilbert space \HH, where is a \RR valued L\'evy process,
an infinitesimal generator of a strongly continuous semigroup,
\sigma:H\to \RR bounded from below and Lipschitz continuous, and B:\RR\to H
a possible unbounded operator. A typical example of such an equation is a
stochastic Partial differential equation with boundary L\'evy noise. Let
\CP=(\CP_t)_{t\ge 0} %{\CP_t:0\le t<\infty}T>0BAx\in H\CP_T^\star \delta_xH\HHLAB$ the solution of Equation [1] is
asymptotically strong Feller, respective, has a unique invariant measure. We
apply these results to the damped wave equation driven by L\'evy boundary
noise
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