Operator Semigroups in the Mixed Topology and the Infinitesimal description of Markov Processes

Goldys B, Nendel M, Röckner M (2022) Center for Mathematical Economics Working Papers; 665.
Bielefeld: Center for Mathematical Economics.

Diskussionspapier | Veröffentlicht | Englisch
 
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Abstract / Bemerkung
We define a class of not necessarily linear $C_0$-semigroups $(P_t)$$_{t\geq0}$ on $C_b(E)$ (more generally, on $C_\kappa(E):=\frac{1}{\kappa} C_b(E)$, for some growth bounding continuous function $\kappa$) equipped with the mixed topology $\tau_1^\mathscr{M}$ for a large class of topological state spaces $E$. In the linear case we prove that such $(P_t)$$_{t\geq0}$ can be characterized as integral operators given by measure kernels satisfying certain properties. We prove that the strong and weak infinitesimal generators of such $C_0$-semigroups coincide. As a main result we prove that transition semigroups of Markov processes are $C_0$-semigroups on $(C_b(E), \tau_{1}^{\mathscr M})$, if they leave $C_b(E)$ invariant and they are jointly weakly continuous in space and time. In particular, they are infinitesimally generated by their generator $(L, D(L))$ and thus reconstructable through an Euler formula from their strong derivative at zero in $(C_b(E), \tau_{1}^{\mathscr M})$. This solves a long standing open problem on Markov processes. Our results apply to a large number of Markov processes given as the laws of solutions to SDEs and SPDEs, including the stochastic 2D Navier-Stokes equations and the stochastic fast and slow diffusion porous media equations. Furthermore, we introduce the notion of a Markov core operator $(L_0, D(L_0))$ for the above generators $(L, D(L))$ and prove that uniqueness of the Fokker-Planck-Kolmogorov equations corresponding to $(L_0,D(L_0))$ for all Dirac initial conditions implies that $(L_0,D(L_0))$ is a Markov core operator for $(L,D(L))$. As a consequence we can identify the Kolmogorov operator of a large number of SDEs on finite and infinite dimensional state spaces as Markov core operators for the infinitesimal generators of the $C_0$-semigroups on $(C_\kappa(E),\tau_{\kappa}^{\mathscr M})$ given by their transition semigroups. Furthermore, if each $P_t$ is merely convex, we prove that $(P_t)$$_{t \geq 0}$ gives rise to viscosity solutions to the Cauchy problem of its associated (non linear) infinitesimal generators. We also show that value functions of optimal control problems, both, in finite and infinite dimensions are particular instances of convex $C_0$-semigroups on $(C_\kappa(E),\tau_{\kappa}^{\mathscr M})$.
Erscheinungsjahr
2022
Serientitel
Center for Mathematical Economics Working Papers
Band
665
Seite(n)
52
ISSN
0931-0658
Page URI
https://pub.uni-bielefeld.de/record/2962548

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Goldys B, Nendel M, Röckner M. Operator Semigroups in the Mixed Topology and the Infinitesimal description of Markov Processes. Center for Mathematical Economics Working Papers. Vol 665. Bielefeld: Center for Mathematical Economics; 2022.
Goldys, B., Nendel, M., & Röckner, M. (2022). Operator Semigroups in the Mixed Topology and the Infinitesimal description of Markov Processes (Center for Mathematical Economics Working Papers, 665). Bielefeld: Center for Mathematical Economics.
Goldys, B., Nendel, M., and Röckner, M. (2022). Operator Semigroups in the Mixed Topology and the Infinitesimal description of Markov Processes. Center for Mathematical Economics Working Papers, 665, Bielefeld: Center for Mathematical Economics.
Goldys, B., Nendel, M., & Röckner, M., 2022. Operator Semigroups in the Mixed Topology and the Infinitesimal description of Markov Processes, Center for Mathematical Economics Working Papers, no.665, Bielefeld: Center for Mathematical Economics.
B. Goldys, M. Nendel, and M. Röckner, Operator Semigroups in the Mixed Topology and the Infinitesimal description of Markov Processes, Center for Mathematical Economics Working Papers, vol. 665, Bielefeld: Center for Mathematical Economics, 2022.
Goldys, B., Nendel, M., Röckner, M.: Operator Semigroups in the Mixed Topology and the Infinitesimal description of Markov Processes. Center for Mathematical Economics Working Papers, 665. Center for Mathematical Economics, Bielefeld (2022).
Goldys, Ben, Nendel, Max, and Röckner, Michael. Operator Semigroups in the Mixed Topology and the Infinitesimal description of Markov Processes. Bielefeld: Center for Mathematical Economics, 2022. Center for Mathematical Economics Working Papers. 665.
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2022-04-26T11:49:55Z
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