Regularity properties for solutions of infinite dimensional Kolmogorov equations in Hilbert spaces

Abstract

In this article we establish regularity properties for solutions of infinite dimensional Kolmogorov equations. We prove that if the nonlinear drift coefficients, the nonlinear diffusion coefficients, and the initial conditions of the considered Kolmogorov equations are $n$-times continuously Fréchet differentiable, then so are the generalized solutions at every positive time. In addition, a key contribution of this work is to prove suitable enhanced regularity properties for the derivatives of the generalized solutions of the Kolmogorov equations in the sense that the dominating linear operator in the drift coefficient of the Kolmogorov equation regularizes the higher order derivatives of the solutions. Such enhanced regularity properties are of major importance for establishing weak convergence rates for spatial and temporal numerical approximations of stochastic partial differential equations.

arXiv commentarXiv admin note: text overlap with arXiv:1611.00856

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Cited by in corpus (4)

• Weak convergence rates for Euler-type approximations of semilinear stochastic evolution equations with nonlinear diffusion coefficients
• Weak convergence rates of spectral Galerkin approximations for SPDEs with nonlinear diffusion coefficients
• On nonlinear Feynman-Kac formulas for viscosity solutions of semilinear parabolic partial differential equations
• Weak convergence rates for stochastic evolution equations and applications to nonlinear stochastic wave, HJMM, stochastic Schrödinger and linearized stochastic Korteweg-de Vries equations