Kolmogorov equations in infinite dimensions: Well-posedness and regularity of solutions, with applications to stochastic generalized Burgers equations

Abstract

We develop a new method to uniquely solve a large class of heat equations, so-called Kolmogorov equations in infinitely many variables. The equations are analyzed in spaces of sequentially weakly continuous functions weighted by proper (Lyapunov type) functions. This way for the first time the solutions are constructed everywhere without exceptional sets for equations with possibly nonlocally Lipschitz drifts. Apart from general analytic interest, the main motivation is to apply this to uniquely solve martingale problems in the sense of Stroock--Varadhan given by stochastic partial differential equations from hydrodynamics, such as the stochastic Navier--Stokes equations. In this paper this is done in the case of the stochastic generalized Burgers equation. Uniqueness is shown in the sense of Markov flows.

Published at http://dx.doi.org/10.1214/009117905000000666 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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