We prove strong well-posedness for a class of stochastic evolution equations in Hilbert spaces H when the drift term is Hölder continuous. This class includes examples of semilinear stochastic Euler-Bernoulli beam equations which describe elastic systems with structural damping, and semilinear stochastic 3D heat equations. In the deterministic case, there are examples of non-uniqueness in our framework. Strong (or pathwise) uniqueness is restored by means of a suitable additive Wiener noise. The proof of uniqueness relies on the study of related systems of infinite dimensional forward-backward SDEs (FBSDEs). This is a different approach with respect to the well-known method based on the Itô formula and the associated Kolmogorov equation (the so-called Zvonkin transformation or Itô-Tanaka trick). We deal with approximating FBSDEs in which the linear part generates a group of bounded linear operators in H; such approximations depend on the type of SPDEs we are considering. We also prove Lipschitz dependence of solutions from their initial conditions.
Addona, D., Masiero, F., Priola, E. (2023). A BSDEs approach to pathwise uniqueness for stochastic evolution equations. JOURNAL OF DIFFERENTIAL EQUATIONS, 366(5 September 2023), 192-248 [10.1016/j.jde.2023.04.014].
A BSDEs approach to pathwise uniqueness for stochastic evolution equations
Masiero F.;
2023
Abstract
We prove strong well-posedness for a class of stochastic evolution equations in Hilbert spaces H when the drift term is Hölder continuous. This class includes examples of semilinear stochastic Euler-Bernoulli beam equations which describe elastic systems with structural damping, and semilinear stochastic 3D heat equations. In the deterministic case, there are examples of non-uniqueness in our framework. Strong (or pathwise) uniqueness is restored by means of a suitable additive Wiener noise. The proof of uniqueness relies on the study of related systems of infinite dimensional forward-backward SDEs (FBSDEs). This is a different approach with respect to the well-known method based on the Itô formula and the associated Kolmogorov equation (the so-called Zvonkin transformation or Itô-Tanaka trick). We deal with approximating FBSDEs in which the linear part generates a group of bounded linear operators in H; such approximations depend on the type of SPDEs we are considering. We also prove Lipschitz dependence of solutions from their initial conditions.File | Dimensione | Formato | |
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