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

by A. Andersson and M. Hefter and A. Jentzen and R. Kurniawan

(Report number 2016-48)

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 Fr\'{e}chet 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.

Keywords: infinite dimensional Kolmogorov equations, generalized solutions

@Techreport{AHJK16_685,
  author = {A. Andersson and M. Hefter and A. Jentzen and R. Kurniawan},
  title = {Regularity properties for solutions of infinite dimensional Kolmogorov equations in Hilbert spaces},
  institution = {Seminar for Applied Mathematics, ETH Z{\"u}rich},
  number = {2016-48},
  address = {Switzerland},
  url = {https://www.sam.math.ethz.ch/sam_reports/reports_final/reports2016/2016-48.pdf },
  year = {2016}
}

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