Norm discontinuity and spectral properties of Ornstein-Uhlenbeck semigroups

Let $E$ be a real Banach space. We study the Ornstein-Uhlenbeck semigroup $P(t)$ associated with the Ornstein-Uhlenbeck operator $$Lf(x) = \frac12 {\rm Tr} Q D^2 f(x) + .$$ Here $Q$ is a positive symmetric operator from $E^*$ to $E$ and $A$ is the generator of a $C_0$-semigroup $S(t)$ on $E$. Under the assumption that $P$ admits an invariant measure $\mu$ we prove that if $S$ is eventually compact and the spectrum of its generator is nonempty, then \n P(t)-P(s)\n_{L^1(E,\mu)} = 2 for all $t,s\ge 0$ with $t\not=s$. This result is new even when $E = \R^n$. We also study the behaviour of $P$ in the space $BUC(E)$. We show that if $A\not=0$ there exists $t_0>0$ such that \n P(t)-P(s)\n_{BUC(E)} = 2 for all $0\le t,s\le t_0$ with $t\not=s$. Moreover, under a nondegeneracy assumption or a strong Feller assumption, the following dichotomy holds: either \n P(t)- P(s)\n_{BUC(E)} = 2 for all $t,s\ge 0$, \ $t\not=s$, or $S$ is the direct sum of a nilpotent semigroup and a finite-dimensional periodic semigroup. Finally we investigate the spectrum of $L$ in the spaces $L^1(E,\mu)$ and $BUC(E)$.Comment: 14 pages; to appear in J. Evolution Equation

Strong uniqueness for stochastic evolution equations with unbounded measurable drift term

We consider stochastic evolution equations in Hilbert spaces with merely measurable and locally bounded drift term $B$ and cylindrical Wiener noise. We prove pathwise (hence strong) uniqueness in the class of global solutions. This paper extends our previous paper (Da Prato, Flandoli, Priola and M. Rockner, Annals of Prob., published online in 2012) which generalized Veretennikov's fundamental result to infinite dimensions assuming boundedness of the drift term. As in our previous paper pathwise uniqueness holds for a large class, but not for every initial condition. We also include an application of our result to prove existence of strong solutions when the drift $B$ is only measurable, locally bounded and grows more than linearly.Comment: The paper will be published in Journal of Theoretical Probability. arXiv admin note: text overlap with arXiv:1109.036

Time irregularity of generalized Ornstein--Uhlenbeck processes

The paper is concerned with the properties of solutions to linear evolution equation perturbed by cylindrical L\'evy processes. It turns out that solutions, under rather weak requirements, do not have c\`adl\`ag modification. Some natural open questions are also stated

HJB Equations and Stochastic Control on Half-Spaces of Hilbert Spaces

In this paper, we study a first extension of the theory of mild solutions for Hamilton–Jacobi–Bellman (HJB) equations in Hilbert spaces to the case where the domain is not the whole space. More precisely, we consider a half-space as domain, and a semilinear HJB equation. Our main goal is to establish the existence and the uniqueness of solutions to such HJB equations, which are continuously differentiable in the space variable. We also provide an application of our results to an exit-time optimal control problem, and we show that the corresponding value function is the unique solution to a semilinear HJB equation, possessing sufficient regularity to express the optimal control in feedback form. Finally, we give an illustrative example

Controllability and Qualitative properties of the solutions to SPDEs driven by boundary L\'evy noise

Let $u$ 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 $L$ is a \RR valued L\'evy process, $A:H\to H$ 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}$the corresponding Markovian semigroup. We show that, if the system (2) du(t) = A u(t)\: dt + B v(t),\quad t>0 u(0) = x is approximate controllable in time$T>0$, then under some additional conditions on$B$and$A$, for any$x\in H$the probability measure$\CP_T^\star \delta_x$is positive on open sets of$H$. Secondly, as an application, we investigate under which condition on$\HH$and on the L\'evy process$L$and on the operator$A$and$B$ 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

Strong uniqueness for stochastic evolution equations in Hilbert spaces perturbed by a bounded measurable drift

We prove pathwise (hence strong) uniqueness of solutions to stochastic evolution equations in Hilbert spaces with merely measurable bounded drift and cylindrical Wiener noise, thus generalizing Veretennikov's fundamental result on $\mathbb{R}^d$ to infinite dimensions. Because Sobolev regularity results implying continuity or smoothness of functions do not hold on infinite-dimensional spaces, we employ methods and results developed in the study of Malliavin-Sobolev spaces in infinite dimensions. The price we pay is that we can prove uniqueness for a large class, but not for every initial distribution. Such restriction, however, is common in infinite dimensions.Comment: Published in at http://dx.doi.org/10.1214/12-AOP763 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org