Itô formula for mild solutions of SPDEs with Gaussian & non-Gaussian noise & applications to stability properties

Article Type

Research Article

Publication Title

Random Operators and Stochastic Equations

Abstract

We use the Yosida approximation to find an Itô formula for mild solutions {XX(t), t > 0} of SPDEs with Gaussian and non-Gaussian colored noise, with the non-Gaussian noise being defined through a compensated Poisson random measure associated to a Lévy process. The functions to which we apply such Itô formula are in C1,2([0, T] × H), as in the case considered for SDEs in [15]. Using this Itô formula, we prove exponential stability and exponential ultimate boundedness properties, in the mean square sense, for mild solutions. We also compare this Itô formula to an Itô formula for mild solutions introduced by Ichikawa in [12], and an Itô formula written in terms of the semigroup of the drift operator [5], which we extend to the non-Gaussian case.

First Page

79

Last Page

105

DOI

10.1515/rose-2017-0008

Publication Date

6-1-2017

Comments

Open Access, Green

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