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Uniqueness for stochastic evolution equations in Banach spaces

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Ondreját M.

Instytut Matematyczny Polskiej Akademii Nauk

Different types of uniqueness (e.g. pathwise uniqueness, uniqueness in law, joint uniqueness in law) and existence (e.g. strong solution, martingale solution) for stochastic evolution equations driven by a Wiener process are studied and compared. We show a sufficient condition for a joint distribution of a process and a Wiener process to be a solution of a given SPDE. Equivalences between different concepts of solution are shown. An alternative approach to the construction of the stochastic integral in 2-smooth Banach spaces is included as well as Burkholder's inequality, stochastic Fubini's theorem and the Girsanov theorem.

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1 Ondreját M.

1 2004

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Uniqueness for stochastic evolution equations in Banach spaces