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arxiv: 0907.1431 · v1 · pith:KQVI5MWAnew · submitted 2009-07-09 · 🧮 math.PR

Existence and uniqueness of solutions for Fokker-Planck equations on Hilbert spaces

classification 🧮 math.PR
keywords equationexistencestochasticuniquenessdifferentialequationshilbertassumptions
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We consider a stochastic differential equation in a Hilbert space with time-dependent coefficients for which no general existence and uniqueness results are known. We prove, under suitable assumptions, existence and uniqueness of a measure valued solution, for the corresponding Fokker--Planck equation. In particular, we verify the Chapman--Kolmogorov equations and get an evolution system of transition probabilities for the stochastic dynamics informally given by the stochastic differential equation.

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