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Da Prato, Giuseppe and Tubaro, Luciano:
The Martingale Problem in Hilbert Spaces
Bollettino dell'Unione Matematica Italiana Serie 9 1 (2008), fasc. n.3, p. 839-855, (English)
pdf (444 Kb), djvu (144 Kb). | MR 2455348 | Zbl 1195.60089

Sunto

We consider an SPDE in a Hilbert space $H$ of the form $dX(t) = ( AX(t) + b(X(t)) ) \, dt + \sigma(X(t)) \, dW(t)$, $X(0) = x \in H$ and the corresponding transition semigroup $P_t f (x)= \mathbb{E}[ f(X(t, x)) ]$. We define the infinitesimal generator $\bar L$ of $P_t$ through the Laplace transform of $P_t$ as in [1]. Then we consider the differential operator $L\varphi = \frac{1}{2} \operatorname{Tr}[\sigma(x)\sigma^*(x)D^2\varphi] + \langle b(x), D\varphi \rangle$ defined on a suitable set $V$ of regular functions. Our main result is that if $V$ is a core for $\bar L$, then there exists a unique solution of the martingale problem defined in terms of $L$. Application to the Ornstein-Uhlenbeck equation and to some regular perturbation of it are given.
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