ISSN:
1432-0606
Keywords:
Key words. Martingale problem, Nuclear, Interacting Hilbert-space-valued diffusions, McKean—Vlasov equation, Propagation of chaos. AMS Classification. Primary 60J60, Secondary 60B10.
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract. A nonlinear Hilbert-space-valued stochastic differential equation where L -1 (L being the generator of the evolution semigroup) is not nuclear is investigated in this paper. Under the assumption of nuclearity of L -1 , the existence of a unique solution lying in the Hilbert space H has been shown by Dawson in an early paper. When L -1 is not nuclear, a solution in most cases lies not in H but in a larger Hilbert, Banach, or nuclear space. Part of the motivation of this paper is to prove under suitable conditions that a unique strong solution can still be found to lie in the space H itself. Uniqueness of the weak solution is proved without moment assumptions on the initial random variable. A second problem considered is the asymptotic behavior of the sequence of empirical measures determined by the solutions of an interacting system of H -valued diffusions. It is shown that the sequence converges in probability to the unique solution Λ 0 of the martingale problem posed by the corresponding McKean—Vlasov equation.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/s002459900072
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