Continuity versus nonexistence for a class of linear stochastic Cauchy problems driven by a Brownian motion

Let A = d/dθ denote the generator of the rotation group in the space C(Γ), where Γ denotes the unit circle. We show that the stochastic Cauchy problem

((1))

, where b is a standard Brownian motion and f ∈ C(Γ) is fixed, has a weak solution if and only if the stochastic convolution process t ↦ (f * b)_t has a continuous modification, and that in this situation the weak solution has a continuous modification. In combination with a recent result of Brzeźniak, Peszat and Zabczyk it follows that (1) fails to have a weak solution for all f ∈ C(Γ) outside a set of the first category.