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arxiv: 1008.2682 · v1 · pith:FNMH4G2Hnew · submitted 2010-08-16 · 🧮 math.PR · math-ph· math.MP

On the Existence Theory of Hilbert Space valued Diffusion Processes

classification 🧮 math.PR math-phmath.MP
keywords stochasticequationshilbertsolutiontheoryalongalternatelyapplying
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We prove that the solution of certain linear stochastic differential equations in Hilbert spaces, namely those with bounded operators as well as the conservative stochastic Schr\"odinger equations, can be obtained - along the lines of the Lie-Trotter product formula from semigroup theory - by splitting the equation into a ``deterministic'' and a ``stochastic'' part and alternately applying the corresponding solution flows in an iterative manner to the initial value.

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