Tuesday, September 29, 2009
10:30 AM in UNUSUAL PLACE: HAAS 111
Professor Dr. Michael Röckner
Professor, Fakultät für Mathematik, Universität Bielefeld, Germany and Adjunct Professor, Department of Statistics, Purdue University

Fokker-Planck equations on Hilbert spaces

Abstract

We consider a stochastic differential equation in Hilbert space with time dependent coefficients for which no general existence and uniqueness results are known. We prove, under suitable assumptions, existence and uniqueness of a measure valued solution, for the corresponding Fokker-Planck equation. In particular, we verify the Chapman-Kolmogorov equations and get an evolution system of transition probabilities for the stochastic dynamics informally given by the stochastic differential equation.