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

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.

Analysis of equilibrium states of Markov solutions to the 3D Navier-Stokes equations driven by additive noise

We prove that every Markov solution to the three dimensional Navier-Stokes equation with periodic boundary conditions driven by additive Gaussian noise is uniquely ergodic. The convergence to the (unique) invariant measure is exponentially fast. Moreover, we give a well-posedness criterion for the equations in terms of invariant measures. We also analyse the energy balance and identify the term which ensures equality in the balance.Comment: 32 page

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 $\alpha$ satisfies a dimension-free Harnack inequality provided $\alpha \in(1/2, 1)$, and it satisfies the log-Harnack inequality for all $\alpha \in (0,1).$ 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

Domain invariance for local solutions of semilinear evolution equations in Hilbert spaces

A closed set K of a Hilbert space H is said to be invariant under the evolution equation X'(t) = AX(t) + f(t,X(t)) (t > 0), whenever all solutions starting from a point of K, at any time t0 0, remain in K as long as they exist. For a self-adjoint strictly dissipative operator A, perturbed by a (possibly unbounded) nonlinear term f, we give necessary and sufficient conditions for the invariance of K, formulated in terms of A, f, and the distance function from K. Then, we also give sufficient conditions for the viability of K for the control system X'(t) = AX(t) + f(t,X(t), u(t)) (t > 0, u(t) ∈ U). Finally, we apply the above theory to a bilinear control problem for the heat equation in a bounded domain of RN, where one is interested in keeping solutions in one fixed level set of a smooth integral functional

Continuity equation in LlogL for the 2D Euler equations under the enstrophy measure

The 2D Euler equations with random initial condition has been investigates by Albeverio and Cruzeiro (Commun Math Phys 129:431–444, 1990) and other authors. Here we prove existence of solutions for the associated continuity equation in Hilbert spaces, in a quite general class with LlogL densities with respect to the enstrophy measure

Strong uniqueness for SDEs in Hilbert spaces with nonregular drift

We prove pathwise uniqueness for a class of stochastic differential equations (SDE) on a Hilbert space with cylindrical Wiener noise, whose non-linear drift parts are sums of the subdifferential of a convex function and a bounded part. This generalizes a classical result by one of the authors to infinite dimensions. Our results also generalize and improve recent results by N. Champagnat and P. E. Jabin, proved in finite dimensions, in the case where their diffusion matrix is constant and non-degenerate and their weakly differentiable drift is the (weak) gradient of a convex function. We also prove weak existence, hence obtain unique strong solutions by the Yamada-Watanabe theorem. The proofs are based in part on a recent maximal regularity result in infinite dimensions, the theory of quasi-regular Dirichlet forms and an infinite dimensional version of a Zvonkin-type transformation. As a main application we show pathwise uniqueness for stochastic reaction diffusion equations perturbed by a Borel measurable bounded drift. Hence such SDE have a unique strong solution

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

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 $(u,w)$. We introduce a parameter $\lambda$ which gives a system $(u^\lambda,w^\lambda)$; this system is studied for any $\lambda$ proving its well posedness and the uniqueness of its invariant measure $\mu^\lambda$. The key point is that for any $\lambda \neq 0$ the fields $u^\lambda$ and $w^\lambda$ 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 $u$ and $w$, we investigate the limit as $\lambda \to 0$, proving that $\mu^\lambda$ weakly converges to $\mu^0$, where $\mu^0$ is the only invariant measure for the joint system for $(u,w)$ when $\lambda=0$.Comment: 23 pages; improved versio