Maximal dissipativity for degenerate Kolmogorov operators

In this paper we are interested in studying the properties of an elliptic degenerate operator N₀ in the space L^p of with respect to an invariant measure μ. The existence of μ is proven under suitable conditions on coefficients of the operator. We prove that the closure of N₀ is m-dissipative in      

Invariant measures for semilinear SPDE’s with local Lipschitz drift coefficients and applications

We study existence and a priori estimates of invariant measures μ for SPDE with local Lipschitz drift coefficients. Furthermore, we discuss the corresponding parabolic Cauchy-problem in L ¹(μ). Particular emphasis will be put on stochastic reaction diffusion equations.      

A new approach to stochastic evolution equations with adapted drift

In this paper we develop a new approach to stochastic evolution equations with an unbounded drift A which is dependent on time and the underlying probability space in an adapted way. It is well-known that the semigroup approach to equations with random drift leads to adaptedness problems for the stochastic convolution term. In this paper we give a new representation formula for the stochastic convolution which avoids integration of non-adapted processes. Here we mainly consider the parabolic setting. We establish connections with other solution concepts such as weak solutions. The usual parabolic regularity properties are derived and we show that the new approach can be applied in the study of semilinear problems with random drift. At the end of the paper the results are illustrated with two examples of stochastic heat equations with random drift.     

Exponential ergodicity and regularity for equations with Lévy noise

We prove exponential convergence to the invariant measure, in the total variation norm, for solutions of SDEs driven by α-stable noises in finite and in infinite dimensions. Two approaches are used. The first one is based on Liapunov’s function approach by Harris, and the second on Doeblin’s coupling argument in [8]. Irreducibility and uniform strong Feller property play an essential role in both approaches. We concentrate on two classes of Markov processes: solutions of finite dimensional equations, introduced in [27], with Hölder continuous drift and a general, non-degenerate, symmetric α-stable noise, and infinite dimensional parabolic systems, introduced in [29], with Lipschitz drift and cylindrical α-stable noise. We show that if the nonlinearity is bounded, then the processes are exponential mixing. This improves, in particular, an earlier result established in [28], with a different method.     

Formulae for the derivatives of degenerate diffusion semigroups

We consider the diffusion semigroup P_t associated to a class of degenerate elliptic operators . This class includes the hypoelliptic Ornstein-Uhlenbeck operator but does not satisfy in general the well-known H?rmander condition on commutators for sums of squares of vector fields. We establish probabilistic formulae for the spatial derivatives of P_t f up to the third order. We obtain L^∞-estimates for the derivatives of P_t f and show the existence of a classical bounded solution for the parabolic Cauchy problem involving and having as initial datum. Dedicated to Giuseppe Da Prato on the occasion of his 70th birthday     

Regularity of invariant measures for a class of perturbed Ornstein-Uhlenbeck operators

In the framework of [5] we prove regularity of invariant measures for a class of Ornstein-Uhlenbeck operators perturbed by a drift which is not necessarily bounded or Lipschitz continuous. Regularity here means that is absolutely continuous with respect to the Gaussian invariant measure of the unperturbed operator with the square root of the Radon-Nikodym density in the corresponding Sobolev space of order 1.Partially supported by the International Science Foundation (Grant M 38000), the Russian Foundation of Fundamental Research (Grant 94-01-01556), and EC-Science Project SC1^*CT92-0784.Partially supported by the Italian National Project MURST Problemi nonlineari nell'AnalisiPartially supported by the DFG(SFB-256-Bonn, SFB-343-Bielefeld) and EC-Science Project SC1^*CT92-0784.     

Kernel estimates for Schrödinger operators

We prove short time estimates for the heat kernel of Schr?dinger operators with unbounded potential in R^N.     

Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type

Degenerate parabolic equations of Kolmogorov type occur in many areas of analysis and applied mathematics. In their simplest form these equations were introduced by Kolmogorov in 1934 to describe the probability density of the positions and velocities of particles but the equations are also used as prototypes for evolution equations arising in the kinetic theory of gases. More recently equations of Kolmogorov type have also turned out to be relevant in option pricing in the setting of certain models for stochastic volatility and in the pricing of Asian options. The purpose of this paper is to numerically solve the Cauchy problem, for a general class of second order degenerate parabolic differential operators of Kolmogorov type with variable coefficients, using a posteriori error estimates and an algorithm for adaptive weak approximation of stochastic differential equations. Furthermore, we show how to apply these results in the context of mathematical finance and option pricing. The approach outlined in this paper circumvents many of the problems confronted by any deterministic approach based on, for example, a finite-difference discretization of the partial differential equation in itself. These problems are caused by the fact that the natural setting for degenerate parabolic differential operators of Kolmogorov type is that of a Lie group much more involved than the standard Euclidean Lie group of translations, the latter being relevant in the case of uniformly elliptic parabolic operators.     

Elliptic operators with unbounded diffusion,drift and potential terms

We prove that the realization $A_p$ in $L^p({\mathbb{R}}^N),1<p<\infty$, of the elliptic operator $A=(1+|x{|}^{\alpha })\mathrm{\Delta }+b|x{|}^{\alpha ?1}\frac{x}{|x|}?\mathrm{?}?c|x{|}^{\beta }$ with domain $D(A_p)=\{u\in W^{2,p}({\mathbb{R}}^N)|Au\in L^p({\mathbb{R}}^N)\}$ generates a strongly continuous analytic semigroup $T(?)$ provided that $\alpha >2,\beta >\alpha ?2$ and any constants $b\in \mathbb{R}$ and $c>0$. This generalizes the recent results in [4] and in [16]. Moreover we show that $T(?)$ is consistent, immediately compact and ultracontractive.     

Solving a non-linear stochastic pseudo-differential equation of Burgers type

In this paper, we study the initial value problem for a class of non-linear stochastic equations of Burgers type of the following form

_∂tu+q(x,D)u+_∂xf(t,x,u)=_h1(t,x,u)+_h2(t,x,u)_Ft,x${\partial }_{t}u+q(x,D)u+{\partial }_{x}f(t,x,u)=h_1(t,x,u)+h_2(t,x,u)F_{t,x}$

for u:(t,x)∈(0,∞)×R?u(t,x)∈R$u:(t,x)\in (0,\infty )\times \mathbb{R}?u(t,x)\in \mathbb{R}$, where q(x,D)$q(x,D)$ is a pseudo-differential operator with negative definite symbol of variable order which generates a stable-like process with transition density, f,_h1,_h2:[0,∞)×R×R→R$f,h_1,h_2:[0,\infty )\times \mathbb{R}\times \mathbb{R}\to \mathbb{R}$ are measurable functions, and _Ft,x$F_{t,x}$ stands for a Lévy space-time white noise. We investigate the stochastic equation on the whole space R$\mathbb{R}$ in the mild formulation and show the existence of a unique local mild solution to the initial value problem by utilising a fixed point argument.     

Smoothing properties of nonlinear transition semigroups: case of lipschitz nonlinearities

We consider a semilinear stochastic differential equation in a Hilbert space H with a Lipschitz continuous (possibly unbounded) nonlinearity F. We prove that the associated transition semigroup {P_t, t ≥ 0}, acting on the space of bounded measurable functions from H to , transforms bounded nondifferentiable functions into Fréchet differentiable ones. Moreover we consider the associated Kolmogorov equation and we prove that it possesses a unique “strong” solution (where “strong” means limit of classical solutions) given by the semigroup {P_t, t ≥ 0} applied to the initial condition. This result is a starting point to prove existence and uniqueness of strong solutions to Hamilton - Jacobi - Bellman equations arising in control theory. Dedicated to Giuseppe Da Prato on the occasion of his 70th birthday     

Maximal inner spaces and Hankel operators on the Bergman space

The paper deals with two closely related questions about the Bergman space of the unit disk. First, we investigate a special class of invariant subspaces of the Bergman space, namely, invariant subspaces induced by certain Hankel operators. We show that such spaces always have the co-dimension 1 or 2 property; and we determine exactly when such a space has the co-dimension 1 property. Second, we introduce the notion of inner spaces in the Bergman space and give several characterizations of when an inner space is maximal.Research supported by the National Science Foundation     

On analytic Ornstein-Uhlenbeck semigroups in infinite dimensions

We extend to infinite dimensions an explicit formula of Chill, Fašangová, Metafune, and Pallara for the optimal angle of analyticity of analytic Ornstein-Uhlenbeck semigroups. The main ingredient is an abstract representation of the Ornstein-Uhlenbeck operator in divergence form. The authors are supported by the ‘VIDI subsidie’ 639.032.201 of the Netherlands Organization for Scientific Research (NWO) and by the Research Training Network HPRN-CT-2002-00281. Received: 28 June 2006 Revised: 5 January 2007     

Kolmogorov equations for measures

We consider a semigroup of operators in the Banach space C _b (H) of uniformly continuous and bounded functions on a separable Hilbert space H. We prove an existence and uniqueness result for a measure valued equation involving this class of semigroups. Then we apply the result to the transition semigroup and the Kolmogorov operator corresponding to a stochastic PDE in H. For this purpose, we characterize the generator of the transition semigroup on a core.      

Invariant measure for the stochastic Ginzburg Landau equation

The existence of martingale solutions and stationary solutions of stochastic Ginzburg-Landau equations under general hypothesizes on the dimension, the non linear term and the added noise is investigated. With a few more assumptions, it is established that the transition semi-group is well defined and that the stationary martingale solution yields the existence of an invariant measure. Moreover this invariant measure is shown to be unique.     

The heat equation with time-independent multiplicative stable Lévy noise

We study the heat equation with a random potential term. The potential is a one-sided stable noise, with positive jumps, which does not depend on time. To avoid singularities, we define the equation in terms of a construction similar to the Skorokhod integral or Wick product. We give a criterion for existence based on the dimension of the space variable, and the parameter p$p$ of the stable noise. Our arguments are different for p<1$p<1$ and p?1$p?1$.     

Convergence of approximations of monotone gradient systems

We consider stochastic differential equations in a Hilbert space, perturbed by the gradient of a convex potential. We investigate the problem of convergence of a sequence of such processes. We propose applications of this method to reflecting O.U. processes in infinite dimension, to stochastic partial differential equations with reflection of Cahn-Hilliard type and to interface models. Dedicated to Giuseppe Da Prato on the occasion of his 70th birthday     

Stochastic partial differential equations in M-type 2 Banach spaces

We study abstract stochastic evolution equations in M-type 2 Banach spaces. Applications to stochastic partial differential equations inL ^p spaces withp2 are given. For example, solutions of such equations are Hölder continuous in the space variables.The author is an Alexander von Humboldt Stiftung fellow     

Maximal regularity for evolution equations in weighted <Emphasis Type="Italic">L</Emphasis><Subscript><Emphasis Type="Italic">p</Emphasis></Subscript>-spaces

Let X be a Banach space and let A be a closed linear operator on X. It is shown that the abstract Cauchy problem enjoys maximal regularity in weighted L _p -spaces with weights , where , if and only if it has the property of maximal L _p -regularity. Moreover, it is also shown that the derivation operator admits an -calculus in weighted L _p -spaces. Received: 26 February 2003