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The Martingale Problem in Hilbert Spaces

Giuseppe Da PratoLuciano Tubaro — 2008

Bollettino dell'Unione Matematica Italiana

We consider an SPDE in a Hilbert space H of the form d X ( t ) = ( A X ( t ) + b ( X ( t ) ) ) d t + σ ( X ( t ) ) d W ( t ) , X ( 0 ) = x H and the corresponding transition semigroup P t f ( x ) = 𝔼 [ f ( X ( t , x ) ) ] . We define the infinitesimal generator L ¯ of P t through the Laplace transform of P t as in [1]. Then we consider the differential operator L φ = 1 2 Tr [ σ ( x ) σ * ( x ) D 2 φ ] + b ( x ) , D φ defined on a suitable set V of regular functions. Our main result is that if V is a core for L ¯ , then there exists a unique solution of the martingale problem defined in terms of L . Application to the Ornstein-Uhlenbeck equation and to some regular perturbation...

Kolmogorov equation associated to the stochastic reflection problem on a smooth convex set of a Hilbert space II

Viorel BarbuGiuseppe Da PratoLuciano Tubaro — 2011

Annales de l'I.H.P. Probabilités et statistiques

This work is concerned with the existence and regularity of solutions to the Neumann problem associated with a Ornstein–Uhlenbeck operator on a bounded and smooth convex set of a Hilbert space . This problem is related to the reflection problem associated with a stochastic differential equation in .

Constrained stabilization of a dynamic systems: a case study

In this work we consider the problem of determining and implementing a state feedback stabilizing control law for a laboratory two-tank dynamic system in the presence of state and control constraints. We do this by exploiting the properties of the polyhedral Lyapunov functions, i. e. Lyapunov functions whose level surfaces are polyhedra, in view of their capability of providing an arbitrarily good approximation of the maximal set of attraction, which is the largest set of initial states which can...

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