Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations.pdfVIP

Front．Math．China2014，9(3)：601—622 DOI10．1007／s11464—014—0364—8 Necessaryand sufficientconditions ftoorrpaatthh-in‘d’eDend’enceOoftGiirrssaannoovv t●ranSIfO■rm at■i■on fnor l●nnnnl●t●e·d1●m ensi■Onal’ stochasticevolutionequations M iaoWANG1 Jiang．LunW U1， ． 1 DepartmentofMathematics，SwanseaUniversity，SwanseaSA28PP，UK 2 SchoolofM athematics，NorthwestUniversity,Xi’an 710127，China ⑥ HigherEducationPressandSpringer—VerlagBerlinHeidelberg2014 Abstract Basedonarecentresultonlinkingstochasticdifferentialequations on to ffinite—dimensional1Burger—KPZ typenonlinearparabolicpartial differentia1equations．weutilizeGalerkin typefinite—dimensionalapproxima- tionstocharacterizethepath—indeDendenceofthedensityprocessofGirsanov transformationfortheinfinite—dimensionalstochasticevolutionequations．Our resultprovidesalinkofinfinite—dimensionalsemi—linearstochasticdifferential equationstoinfinite—dimensionalBurgers—KPZtypenonlinearparabolicpartial differentialequations．Asanapplication．thischaracterizationresultiSapplied tostochasticheatequation inonespacedimensionovertheunitinterva1． Keywords Characterizationtheorem ，Burgers—KPZtypenonlinearequations in infinite dimensions，infinite—dimensionalsemi—linear stochastic differential equations，Galerkin approximation，Girsanov transformation，stochasticheat equation，path—independence，Fr6chetdifferentiation MSC 60H15，60H30，35R60 1 Introductionandmotivation Theaim ofthispaperiStocharacterizethepath—independentpropertyofthe densityprocessofGirsanovtransofrmation ofrinfinite—dimensionalstochastic evolution equationsfSEEs)，a classofsemi—linearstochastic differential equations(SDEs1ininfinitedimensions．Asaresult，weestablishalinkbetween infinite—dimensionalSEEsandtheinfinite—dimensionalBurger—KPZtypenon— linearparabolicpartialdifferentialequationsfPDEs1，inthesimilarwavasthe ReceivedOctober21，2013；acceptedJanuary28，2014 Correspondingauthor：Jiang-LunWU，E—mail：j．1．wu@swansea．ac．uk 602