Differentiability of Markov semigroups for stochastic reaction-diffusion equations and applications to control

Sandra Cerrai

Stochastic Processes and their Applications, 1999, vol. 83, issue 1, 15-37

Abstract: We consider a reaction-diffusion equation in a bounded domain , driven by a space-time white noise, with a drift term having polynomial growth and a diffusion term which is not boundedly invertible, in general. We are showing that the transition semigroup corresponding to the equation has a regularizing effect. More precisely, we show that it maps bounded and Borel functions defined in the Hilbert space with values in into the space of differentiable functions from H into . An estimate for the sup-norm of the derivative of the semigroup is given. We apply these results to the study of the corresponding Hamilton-Jacobi equation arising in stochastic control theory.

Keywords: Stochastic; reaction-diffusion; systems; Markov; semigroups; Hamilton-Jacobi; equations; Dynamic; programming (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (2)

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