1551365298-Stochastic Cauchy Problems in Infinite Dimensions Melnikova

MONOGRAPHS AND RESEARCH NOTES IN MATHEMATICS
Stochastic Cauchy Problems

in Infinite Dimensions
Generalized and Regularized Solutions
Irina V. Melnikova
MONOGRAPHS AND RESEARCH NOTES IN MATHEMATICS
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Contents
Preface ix
Introduction xi
Symbol Description xvii
I Well-Posed and Ill-Posed Abstract Cauchy

Problems: The Concept of Regularization 1
1 Semi-group methods for construction of exact, approximated,
and regularized solutions 3
1.1 The Cauchy problem and strongly continuous semi-groups of

solution operators . . . . . . . . . . . . . . . . . . . . . . . . 5
1.2 The Cauchy problem with generators of regularized semi-
groups: integrated, convoluted, and R-semi-groups . . . . . . 14
1.3 R-semi-groups and regularizing operators in the construction
of approximated solutions to ill-posed problems . . . . . . . 36
2 Distribution methods for construction of generalized

solutions to ill-posed Cauchy problems 43
2.1 Solutions in spaces of abstract distributions . . . . . . . . . . 44

2.2 Solutions in spaces of abstract ultra-distributions . . . . . . 54
2.3 Solutions to the Cauchy problem for differential systems in
Gelfand–Shilov spaces . . . . . . . . . . . . . . . . . . . . . . 59
3 Examples. Supplements 75
3.1 Examples of regularized semi-groups and their generators . . 75

3.2 Examples of solutions to Petrovsky correct, conditionally
correct, and incorrect systems . . . . . . . . . . . . . . . . . 84
3.3 Definitions and properties of spaces of test functions . . . . . 93
3.4 Generalized Fourier and Laplace transforms. Structure
theorems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104
vii
viii Contents
II Infinite-Dimensional Stochastic Cauchy

Problems 111
4 Weak, regularized, and mild solutions to Itô integrated
stochastic Cauchy problems in Hilbert spaces 113
4.1 Hilbert space-valued variables, processes, and stochastic inte-

grals. Main properties and results . . . . . . . . . . . . . . . 114
4.2 Solutions to Cauchy problems for equations with additive noise
and generators of regularized semi-groups . . . . . . . . . . . 138
4.3 Solutions to Cauchy problems for semi-linear equations with
multiplicative noise . . . . . . . . . . . . . . . . . . . . . . . 166
4.4 Extension of the Feynman–Kac theorem to the case of relations
between stochastic equations and PDEs in Hilbert spaces . . 179
5 Infinite-dimensional stochastic Cauchy problems with white

noise processes in spaces of distributions 197
5.1 Generalized solutions to linear stochastic Cauchy problems with

generators of regularized semi-groups . . . . . . . . . . . . . 198
5.2 Quasi-linear stochastic Cauchy problem in abstract Colombeau
spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 218
6 Infinite-dimensional extension of white noise calculus with

application to stochastic problems 229
6.1 Spaces of Hilbert space-valued generalized random variables:

(S)−ρ (H). Basic examples . . . . . . . . . . . . . . . . . . . . 230
6.2 Analysis of (S)−ρ (H)-valued processes . . . . . . . . . . . . . 241
6.3 S-transform and Wick product. Hitsuda–Skorohod integral.
Main properties. Connection with Itô integral . . . . . . . . 247
6.4 Generalized solutions to stochastic Cauchy problems in spaces
of abstract stochastic distributions . . . . . . . . . . . . . . . 253
Bibliography 275
Index 283
Preface
In recent decades there has been growing realization that elements of chance
play an essential role in many processes around us, including processes in
physics, biology, and finance. Mathematical models that give an accurate de-
scription of these processes lead to stochastic equations in finite- and infinite-
dimensional spaces. So far most of the literature on stochastic equations has
been focused on the finite-dimensional case.
This book is devoted to stochastic differential equations for random pro-
cesses with values in Hilbert spaces. The main object is the stochastic Cauchy
problem
X ′ (t) = AX(t) + F (t, X) + B(t, X)W(t) , t ∈ [0, T ] , X(0) = ζ , (P.1)
where A is the generator of a semi-group of operators in a Hilbert space H,
W is a white noise with values in another Hilbert space H, B is an operator
from H to H, and F is a non-linear term.
Due to the well-known irregularity of white noise, the Cauchy problem
(P.1) is usually replaced with the related integral equation by constructing
the stochastic integral with respect to a Wiener process W , the “primitive”
of W. Problems of this type with a “good” operator A that generates a C0 -
semi-group have been extensively studied in the literature.
In this book, we consider a much wider class of operators A, namely,
the operators that do not necessarily generate C0 -semi-groups, but generate
regularized semi-groups. Typical examples include generators of integrated,
convoluted, and R-semi-groups. Moreover, along with the “classical” approach
to stochastic problems, which consists of solving the corresponding integral
equations, we consider the Cauchy problem in its initial form (P.1) with white
noise processes in spaces of distributions and obtain generalized solutions.
The motivation for writing the book was two-fold. First, to give an account
of modern semi-group and distribution methods in their interrelations with
the methods of infinite-dimensional stochastic analysis, accessible to nonspe-
cialists. Second, to show how the idea of regularization, which we treat as
the regularization in a broad sense, runs through all these methods. We hope
that this idea will be useful for numerical realization and applications of the
theory.
The stated objectives are implemented in two parts of the book. In Part I
we give a self-contained introduction to modern semi-group and abstract dis-
tribution methods for solving the homogeneous (deterministic) Cauchy prob-
lem. We discuss basic properties of regularized semi-groups and illustrate them
ix
x Preface
with numerous examples, paying special attention to differential systems in

Gelfand–Shilov spaces. In Part II the semi-group and distribution methods
are used for solving stochastic problems along with the methods of infinite-
dimensional stochastic analysis. This part also includes novel material that
extends the white noise analysis to Hilbert spaces and allows us to obtain new
types of solutions to stochastic problems.
I began my career in mathematics as a graduate student of Prof. Valentin K.
Ivanov, one of the founders of the theory of ill-posed problems. I am grateful
to him for his help and encouragement over the years.
I would like to thank Dr. Alexei Filinkov for long-term cooperation. During
my visits to the University of Adelaide we wrote our first joint book for CRC
Press, The Abstract Cauchy Problem: Three Approaches, and planned to write
another one on stochastic problems. Unfortunately, Alexei had to withdraw
from this project.
It is my pleasure to thank my colleagues and friends Profs. Edward J.
Allen, Jean Francois Colombeau, Angelo Favini, Andrzej Kaminski, Michael
Oberguggenberger, Stevan Pilipović, and Dora Seleši for many useful discus-
sions of problems related to the topic of the book.
Last but not least, I am grateful to the members of my group at Ural
Federal University: Drs. Uliana Alekseeva, Maxim Alshanskiy, Valentina Par-
fenenkova, and post-graduates Vadim Bovkun and Olga Starkova. I owe much
to them in preparing this book. However, the final responsibility for the con-
tent of this book lies solely with me.
Ekaterinburg
Ural Federal University Irina V. Melnikova
Introduction
Models of various dynamic processes with random perturbations lead to

stochastic equations in infinite-dimensional spaces (see, e.g., [1, 2, 3, 13, 32]).
Most important for applications is the first-order Cauchy problem (P.1), where
A is the generator of a semi-group in a Hilbert space H and W is a white noise
process with values in another Hilbert space H.
In the finite-dimensional case the white noise process was initially defined
as a process with identically distributed and independent (at different times)
random values that have zero expectations and infinite variations. Defined in
such a way, the white noise does not satisfy the classical conditions which are
imposed on the inhomogeneity in the theory of differential-operator equations
[56]. Therefore stochastic differential equations are replaced by the related
integral equations with stochastic integrals wrt (with respect to) a Brownian
motion.
In the infinite-dimensional case, one has to consider stochastic integrals
wrt a Wiener process W = {W (t), t ≥ 0}, which is a “primitive” of W. The
integral form of problem (P.1) is as follows :
Z t Z t Z t
X(t) = ζ + AX(s) ds + F (s, X) ds + B(s, X) dW (s), t ∈ [0, T ],
0 0 0
commonly written
dX(t) = AX(t) dt+F (t, X) dt+B(t, X) dW (t), t ∈ [0, T ], X(0) = ζ. (I.1)
Problem (I.1) has been studied in the case when A is the generator of a
C0 -semi-group, i.e., when the corresponding homogeneous Cauchy problem is
well-posed (see, e.g., [20, 22, 34, 58, 81]).
In this book we consider (I.1) with generators of a much wider class of
regularized semi-groups, important in applications. Moreover, along with (I.1),
we consider the Cauchy problem in its initial form (P.1) with the white noise
defined in spaces of distributions and obtain generalized solutions.
The book consists of two parts, presenting necessary deterministic tech-
niques and results on stochastic equations, respectively.
In Part I we study the abstract homogeneous Cauchy problem
u′ (t) = Au(t), t ∈ [0, τ ), τ ≤ ∞, u(0) = f, (I.2)
in connection with properties of the semi-group generated by A in a Banach
xi
xii Introduction
space X . Special attention is paid to the Cauchy problem for the systems of
differential equations

∂u(x; t) ∂
=A i u(x; t), t ∈ [0, T ], x ∈ Rn , u(x; 0) = f (x). (I.3)
∂t ∂x
The study of the well-posedness of Cauchy problems revealed that their
solution operators U (t), t ≥ 0, have the semi-group property
U (t)U (τ ) = U (t + τ ), t, τ ≥ 0.
A large amount of work in semi-group theory was devoted to connections

between the uniform well-posedness of (I.2), the behavior of the resolvent of
A, and the existence of a C0 -semi-group generated by A (see, e.g., [39, 43, 47,
56, 96]). Based on these results, we formulated two necessary and sufficient
conditions for the uniform well-posedness of (I.2) with a closed densely defined
A:
• A is the generator of a C0 -semi-group {U (t), t ≥ 0};
• the resolvent of A is defined in a half-plane Reλ > ω and satisfies the
conditions
C
kRk (λ)k ≤ , Reλ > ω, k ∈ N0 . (I.4)
(Reλ − ω)k
This result is referred to as the MFPHY (Miyadera–Feller–Phillips–Hille–
Yosida) theorem.
Nowadays various applications lead to problems, both deterministic and
stochastic, with operators A that do not satisfy the conditions. Three ap-
proaches to such problems (I.2) are presented in [79].
The first one is based on semi-group techniques. Modern semi-group meth-
ods are aimed at constructing families of bounded linear operators such as
integrated, convoluted, and R-semi-groups, which are more general than C0 -
semi-groups. These families {S(t), t ∈ [0, τ )} may be global, i.e., τ = ∞, or
local, i.e., τ < ∞. They allow us to obtain solutions of (I.2) for initial data f
from certain subclasses of dom A ⊂ X . These solutions are stable wrt small
(in the sense of a stronger norm than the original one in X ) changes of f .
The second approach is based on the theory of abstract distributions. In
contrast to the semi-group approach, it yields a generalized solution for any
f ∈ X . The term “abstract” means that the distributions are not functionals,
but X -valued operators defined on spaces of test functions.
The third approach to solving problems that are not uniformly well-posed
uses the methods developed in the theory of regularization of ill-posed prob-
lems. The regularization consists of approximating the solution corresponding
to initial data f ∈ X given with an error (kfδ − f k ≤ δ) by solutions uε of
well-posed problems depending on a regularizing parameter ε. Under proper
coordination of the parameters ε = ε(δ) the following convergence of the reg-
ularized solutions to the exact solution holds:
uε(δ) (t) = Rε(δ) (t)fδ → u(t) as δ → 0 for each t ∈ [0, T ].

Introduction xiii
Here Rε(δ) (t) denotes the corresponding regularizing operator.

In Part I we study different types of well-posedness of problems (I.2) and
(I.3) and construct solutions by semi-group, distribution, and regularization
methods. These methods are extensively used later in Part II for solving
stochastic problems. The difference in the selection of the material compared
to [79] is that here we study non-degenerate problems, paying special attention
to problems with differential operators and regularization of ill-posed prob-
lems. We show that regularizing operators are closely related to R = R(ε)–
semi-groups and that all solutions constructed for ill-posed problems (I.2) and
(I.3) by semi-group and distribution methods are regularized in a broad sense.
Now we give a summary of Part I by chapter.
Chapter 1 is devoted to the modern semi-group methods of solving ab-
stract Cauchy problems (I.2) with operators A that generate strongly contin-
uous semi-groups of solution operators, particularly C0 -semi-groups, as well as
regularized semi-groups, including integrated, convoluted, and R-semi-groups.
Chapter 2 is devoted to generalized (wrt t) solutions to (I.2) in spaces of
abstract distributions and to generalized (wrt x) solutions to (I.3) in Gelfand–
Shilov spaces. The choice of a space of distributions depends on the type of
the semi-group generated by A. In addition, using the connection between the
semi-group techniques and generalized Fourier transform techniques developed
in Gelfand–Shilov spaces, we obtain the generalized (wrt t and x) solutions to
(I.3):
u(x; t) = (U (t)f )(x) = Gt (x) ∗ f (x), t ∈ [0, T ], x ∈ Rn ,

where the Green function Gt (x) = F −1 etA(·) (x) and corresponding dis-
tribution spaces are determined by the growth rate of etA(·) , the family of
solution operators for the Fourier transformed Cauchy problem.1
Chapter 3 presents supplementary material that helps us understand the
techniques and methods of the book. In Sections 3.1 and 3.2 we give different
examples of operators that generate regularized semi-groups. Special attention
is paid to examples of differential operators generating Petrovsky correct, con-
ditionally correct, and incorrect systems in the Gelfand–Shilov classification
[36, 77]. Important results of the distribution theory, including definitions of
different spaces of test functions and their properties, are presented in Section
3.3. A summary of integral transforms and structure theorems for distribu-
tions is presented in Section 3.4. The results are given in a unified manner for
the convenience of the reader.
The aim of Part II is construction of solutions for the integrated stochastic
problem (I.1) with generators of regularized semi-groups and Wiener processes
in Hilbert spaces as well as solutions for the “differential” problem (P.1) with
white noise in spaces of abstract distributions. As in Part I, we present the
results in a form accessible to nonspecialists in these branches who are inter-
1 If we write a generalized function as a function of a variable, we mean that it is a
distribution applied to test functions depending on this variable.

xiv Introduction
ested in methods of constructing solutions to infinite-dimensional stochastic

problems arising in applications.
Now we give a summary of Part II by chapter.
Chapter 4 is devoted to the construction of weak and mild solutions for the
Itô integrated problem (I.1) in Hilbert spaces. Necessary facts of the theory
of random processes, related properties of linear operators, and stochastic
integrals in Hilbert spaces are presented in Section 4.1, which has an auxiliary
character.
In Section 4.2 we consider the basic type of (I.1), namely, the linear stochas-
tic Cauchy problem with additive noise and A generating a regularized semi-
group. Here conditions of existence and uniqueness of weak and weak regular-
ized solutions are obtained and solutions are constructed.
In Section 4.3 mild solutions to the semi-linear problem are explored and
their connections with weak solutions are shown.
In Section 4.4 we study relationships between solutions of stochastic prob-
lems and solutions of deterministic PDEs with derivatives in Hilbert spaces.
We show that certain probability characteristics of solutions to stochastic
problems satisfy these PDEs. The results extend the Feynman–Kac theorem
to the case of Hilbert spaces [21, 82, 83].
In Chapter 5 we study the stochastic Cauchy problem (P.1) as it is, i.e.,
in differential form, where W is a generalized H-valued white noise process
considered as the derivative of a Wiener process in spaces of distributions
and A is the generator of a regularized semi-group in H. Such problems are
ill-posed and there are two reasons for that. The first one, as in the case of
(I.1), is related to A, generally, generating only a regularized semi-group. For
such an A the solution operators of the corresponding problem (I.2), playing
a crucial role in solving stochastic problems, are unbounded in H. The other
reason is inherently related to the stochastic term and manifests itself in the
irregularity of the white noise. In Chapter 4 we overcome these obstacles by
studying the problem in the integrated form with stochastic integrals wrt
Wiener processes and constructing regularized solutions. It turns out that
introduction of generalized solutions allows us to do this in a different way
(see, e.g., [7, 67, 68, 72, 73, 74, 80]). Thus, we study the problem (P.1) in
spaces of distributions.
In Section 5.1 we study solutions to the linear Cauchy problem in the
generalized statement
hϕ, X ′ i = Ahϕ, Xi + hϕ, δiζ + hϕ, BWi, hϕ, W′ i := −hϕ′ , W i,
on test functions ϕ chosen in dependence on properties of the semi-group gen-

erated by A. For the case of A generating an integrated semi-group, we con-
struct a generalized solution in spaces of abstract distributions. For the case of
a convoluted semi-group, we do this in spaces of ultra-distributions. For the
case of the generator of an R-semi-group in H, we construct (H−k )-valued
generalized solutions, where the abstract Sobolev spaces H−k are introduced
in such a way that the operator R−1 is bounded there. Special attention is paid
Introduction xv
to the stochastic Cauchy problem with differential operators A (i∂/∂x) gener-

ating R-semi-groups. For corresponding systems, we obtain generalized (wrt
t and x ∈ R) solutions using the technique of Gelfand–Shilov spaces [36, 37]
presented in Section 3.3. In conclusion, the relationship between generalized
and weak solutions is established.
In Section 5.2 we construct generalized solutions to semi-linear stochastic
Cauchy problems. We managed to overcome the additional difficulties associ-
ated with the problem of multiplication of distributions. This is due to appli-
cation of the Colombeau technique [18, 19, 91, 92, 93, 94] which we extend to
the case of Hilbert space-valued distributions [69, 70].
It should be noted that the considered weak and weak regularized solu-
tions to (I.1) as well as generalized solutions to (P.1) are predictable. In the
framework of white noise analysis one can consider and solve certain equations
without the condition of predictability. Such equations are called anticipat-
ing. This gives a perspective of introducing “dependence on the future” into
mathematical models; for example, in financial mathematics when modeling
markets which admit insider information.
In Chapter 6 we obtain generalized (wrt the random variable ω) solutions
to the problem (P.1) with a singular white noise W taking values in spaces of
abstract generalized random variables. We begin with the definition of these
spaces.
The spaces of generalized random variables with values in Rn appeared in
the last decades of the 20th-century [40, 41, 42] and were developed by many
authors (see, e.g., [4, 7, 31, 44, 50, 55, 60, 64, 75, 90, 99, 100, 101, 107]).
Since white noise can be thought of as the derivative of Brownian motion,
whose sample paths are continuous but nowhere differentiable, the sample
paths of the white noise can be considered as elements of the Schwartz space
of distributions S ′ . Therefore the white noise probability space (Ω, F , P ) is
constructed by taking Ω = S ′ and introducing Gaussian normalized measure
P = µ on the σ-algebra F = B(S ′ ) of Borel subsets of S ′ . The existence of this
measure is due to the famous Bochner–Minlos–Sazonov theorem. The white
noise calculus offers a framework where all random variables are considered
as functionals defined on S ′ .
In order to embrace all the needed functionals, a few generalizations of
the Schwartz distribution theory to the case of functions defined on S ′ were
introduced within the white noise calculus. With the help of the theory of
rigged Hilbert spaces [38] numerous stochastic analogs of the Gelfand triple
S ⊂ L2 (R) ⊂ S ′ were constructed. One of them is
(S)ρ ⊂ (L2 ) ⊂ (S)−ρ , 0 ≤ ρ ≤ 1,
where (L2 ) is the space of all random variables with finite second moments
defined on S ′ , (S)ρ is referred to as the Kondratiev space of test random
variables, and (S)−ρ is called the Kondratiev space of generalized random
variables. The values of the white noise process belong to (S)−ρ . Moreover,
the white noise process becomes infinitely-differentiable as a function of t
xvi Introduction
with values in this space. The construction allows us to introduce the noise
term directly into a differential equation and to state and solve stochastic
differential equations with no restrictions connected with predictability.
In Section 6.1 we define the spaces of H-valued generalized random vari-
ables (S)−ρ (H) as the spaces of linear continuous operators acting from (S)ρ
to H. The space (S)−ρ (H) becomes an extension of (L2 )(H) := L2 (S,′ µ; H) .
We show that the values of the H-valued Q-Wiener and cylindrical Wiener
processes, as well as the values of a Q-white noise and a singular white noise,
lie in (S)−ρ (H).
In Section 6.2 we develop analysis of (S)−ρ (H)-valued functions of t ∈
R introducing differentiation and integration. We show that Q-white noise
and singular white noise are the derivatives of the H-valued Q-Wiener and
cylindrical Wiener process, respectively.
In Section 6.3 we introduce the concepts of the Wick product, Hitsuda–
Skorohod integral, and S-transform and study their properties.
In Section 6.4 we obtain and study solutions to the linear problem with
additive and multiplicative singular white noise in the spaces (S)−ρ (H). Some
examples of the problems are given. In conclusion, the relationship between
generalized wrt ω solutions and weak solutions of the corresponding integral
problem is established.
Here again, as in Part I, all the solutions to the stochastic Cauchy prob-
lems obtained in Part II are regularized in a broad sense. The weak solutions
are regularized by elements from dom A∗ . Different generalized solutions are
regularized by means of test functions from spaces defined in the theories of
abstract distributions, of Gelfand–Shilov generalized functions, and of abstract
stochastic distributions.
We conclude with some observations.
First, we consider equations (deterministic and stochastic) for t ∈ [0, τ ),
or for t ∈ [0, T ], T < τ ≤ ∞. The choice of the interval depends on the type of
semi-group generated by A: if A generates a global semi-group {S(t), t ≥ 0},
we can consider the problems on [0, ∞) or on [0, T ], as the specific model
requires; if A generates just a local semi-group {S(t), t ∈ [0, τ )}, the problem
can be considered on [0, τ ) or on [0, T ] with T < τ .
Second, when we use the term “construction of a solution,” we do not
mean their actual structure; we usually prove the existence and uniqueness
of solutions having a certain form. This is what is required in applications,
where some relations of solutions to stochastic problems with their various
probability characteristics are needed.
Chapters consist of sections which are reflected in the table of contents.
Some sections contain items, but they are not reflected in the table of contents.
Everywhere in the book we use triple numbering for definitions, formulas,
theorems, and so on: the first figure is the number of the chapter, the second is
the number of the section, and the third is the ordinal number of the definition,
the formula, or the theorem, respectively. The end of the proof of a theorem
is marked by the symbol .
Symbol Description
A operator of the abstract Cauchy problem
A notion of classes of semi-groups with the Abel-
summability property
∂ ∂
A i ∂x , A i ∂x matrix differential operator
∂

Aj k i ∂x linear differential operator of finite order
B(Ω) Borel σ-algebra on all subsets of Ω
Cov(u) covariance operator of a random variable u
D L. Schwartz’s test function space
D′ space of linear continuous functionals on D (space of
distributions)
D′ (X ) space of linear continuous operators from D to X
(space of abstract distributions)
D{Mq } , D{Mq },B ,
{M },B
Da q , D{Mq } , . . . ultra-differentiable test function spaces (subspaces of
D)
det Q determinant of a matrix Q
dom A domain of an operator A
[dom A] Banach space {dom A, kxkA = kxk + kAxk}
E(u) expectation of a random variable u
f ∗g convolution of f and g
f ⊗g tensor product of f and g
Ft filter of σ-algebras
F u, F [u], u
e Fourier transform of u
F −1 u, F −1 [u] inverse Fourier transform of u
Gt (x), GR (t, x) Green function, regularized Green function
hk (·) Hermit polynomials
hα (·) stochastic Hermit polynomials
Hn := H × · · · × H direct product of spaces
Imλ, ℑλ imaginary part of λ ∈ C
K function defining a K-convoluted semi-group of opera-
tors
L2 (G) space of functions square summable on G
Lu, L[u], u
e Laplace transform of u
L−1 u, L−1 [u] inverse Laplace transform of u
L(X ) space of linear bounded operators on X
L(X , Y) space of linear bounded operators from X to Y
LHS (H, H1 ) space of Hilbert–Schmidt operators from H to H1
N, R, R+ , C sets of the natural, real, positive, complex numbers
N0 N ∪ {0}
xvii
xviii Symbol Description
N (m, Q) Gaussian distribution law with mean m and covariance

Q
O(f ) characteristics of the growth of a function f
R operator smoothing out initial data in the abstract
Cauchy problem and defining an R-semi-group
Rα (t) regularizing operator (operator regularizing the Cauchy
problem solution at the time moment t)
R(λ), λ ∈ ρ(A) resolvent of A (the resolvent of an operator B has the
identifying symbol, for example, RB (λ), λ ∈ ρ(B))
ran A range of A
Reλ, ℜλ real part of λ ∈ C
S space of rapidly decreasing test functions
S′ space of linear continuous functionals on S (space of
distributions of slow growth)
Sα , S β , Sαβ ,
β β, B
Sα, A , Sα , ... subspaces of S
′
Sω space of exponentially bounded distributions
(S)−ρ (H) space of all linear continuous operators on Sρ to H
S ξ, S Φ S-transform of a generalized random variable ξ or Φ
Sp (A) spectrum of A
supp ϕ support of ϕ
t time variable t ≥ 0
T rA trace of an operator A
u; u(x), x ∈ Rn ;
u(·); u(·; t); . . . functions (we usually denote an argument by the point
if the function has several arguments and it should be
pointed out which one changes)
{U (t), t ∈ [0, ∞)},
{S(t), t ∈ [0, τ )}, . . . families of operators
x space variable x ∈ Rn
hx, f i value of the functional f on the element x
hx, yi, (x, y) scalar product of x and y
X, Y solutions to stochastic equations
X , Y, Z, . . . Banach spaces
k · kX norm in a space X
wrt with respect to
WQ , W Q-Wiener, cylindrical Wiener processes, respectively
WQ , W Q-white noise, white noise, respectively
Ω,b
WM,a space of entire functions, whose growth is defined by
functions M and Ω and by parameters a and b
β(·) Brownian motion
δ Dirac delta-function
Λ(s), s ∈ Cn characteristic function of a differential system
Λω , ΛM
α, γ, ω regions in the complex plane, whose boundaries are
defined by parameters α, γ, ω and by function M
Symbol Description xix
ξk (·) Hermit functions

Φ, Ψ, . . . linear topological spaces
e Ψ,
Φ, e ... spaces of Fourier transforms of spaces Φ, Ψ, . . . , re-
spectively
Φ′ , Ψ ′ , . . . spaces dual to Φ,, Ψ, . . . , respectively
ρ(A) resolvent set of A
Θ ⋄ W, Φ ⋄ W Wick product of Θ, Φ ∈ (S)−ρ (LHS (H, H)) and W
Ω probability space
ω random variable ω ∈ Ω
(Ω, F , P ), (Ω, Ft , P ),
(S ′ , B(S ′ ), µ) probability triples
Taylor & Francis
Part I
Well-Posed and Ill-Posed

Abstract Cauchy
Problems: The Concept of
Regularization
Taylor & Francis
Chapter 1
Semi-group methods for
construction of exact, approximated,
and regularized solutions
In this chapter we explore the Cauchy problem written in the abstract form
with a closed linear operator A in a Banach space X :
u′ (t) = Au(t), t ∈ [0, τ ), τ ≤ ∞, u(0) = f. (1.0.1)
We use appropriate semi-group methods in dependence on properties of solu-

tion operators {U (t), t ∈ [0, τ )} generated by A. Here the time variable t takes
values on [0, τ ), τ ≤ ∞. This allows us to apply the techniques of global or
local semi-groups for constructing solutions on any segment [0, T ] with T < τ .
The MFPHY theorem gives necessary and sufficient conditions for well-
posedness of (1.0.1) in terms of behavior of solution operators and the resolvent
of A:
Theorem 1.0.1 (MFPHY theorem) Let A be a closed linear operator

densely defined on X . Then the following statements are equivalent:
(i) the problem (1.0.1) is uniformly well-posed on dom A for t ≥ 0;
(ii) A generates a C0 -semi-group of solution operators {U (t), t ≥ 0};
(iii) the resolvent of A satisfies the MFPHY condition (I.4).
Due to the exponential boundedness of C0 -semi-groups kU (t)k ≤ Ceωt ,

t ≥ 0, the Laplace transform can be applied to the operators U (t) to obtain
the resolvent of its generator:
Z ∞
R(λ) = L[U ](λ) = e−λt U (t) dt, Reλ > ω. (1.0.2)
0
The equality (1.0.2) illustrates the following profound connection between

a semi-group and the resolvent of its generator. An exponentially bounded
family of operators {U (t), t ≥ 0} satisfies the semi-group relation
U (t + s) = U (t)U (s), t, s ≥ 0,
if and only if its Laplace transform satisfies the resolvent identity
(µ − λ)R(λ)R(µ) = R(λ) − R(µ), Reλ, Reµ > ω.
3
4 1. Semi-group methods for construction of solutions
Moreover, the criterion for the Cauchy problem to be well-posed in the form
of estimates (I.4) is a result of (1.0.2).
The techniques of (local and generalized) Laplace transform can be used
in exploring the well-posedness of (1.0.1) and corresponding properties of the
resolvent in a more general case, namely, when the solutions of the Cauchy
problem are not exponentially bounded or exist only locally and generate
regularized semi-groups. According to the type of regularization of the abstract
Cauchy problem via a regularized semi-group, we distinguish the following
classes of ill-posed problems determined by the geometric properties of the
set of regular points of A together with the behavior of its resolvent:
(R1) Λω = {λ ∈ C : Reλ > ω, ω ∈ R} ⊆ ρ(A) and

k
d R(λ) Ck!
≤ , λ ∈ Λω , k ∈ N0 ;
dλk λn (Reλ − ω)k+1
(R2) Λln
n, ν, ω = {λ ∈ C : Reλ > nν ln |λ| + ω} ⊆ ρ(A) and
kR(λ)k ≤ C|λ|n , λ ∈ Λln

n, ν, ω ;
(R3) ΛM
α, γ, ω = {λ ∈ C : Reλ > αM (γ|λ|) + ω} ⊆ ρ(A) and
kR(λ)k ≤ CeωM(γ|λ|) , λ ∈ ΛM
α, γ, ω ,
where M is a certain positive nondecreasing function;

(R4) the regular points of A fill no interval of the type λ > ω in the right-
hand half-plane.
Note that (R1) coincides with MFPHY condition as n = 0. Contraction

of the set ρ(A) and the change of its resolvent behavior when we pass from
class (R1) to (R4) reflect strengthening of the ill-posedness of (1.0.1), which
is directly connected with the character of peculiarities of solution operators
of the problem.
In Section 1.1 we study strongly continuous with respect to t ≥ 0 semi-
groups (C0 -semi-groups) and strongly continuous with respect to t > 0 semi-
groups (semi-groups of classes C1 and A) and consider types of well-posedness
of the Cauchy problem related to these semi-groups. In Section 1.2 we explore
these questions for regularized semi-groups, namely, integrated, convoluted,
and R-semi-groups. In Section 1.3 we study connections of R-semi-groups
with regularizing operators.
1.1. The Cauchy problem and strongly continuous semi-groups 5
1.1 The Cauchy problem and strongly continuous semi-

groups of solution operators
We begin studying strongly continuous semi-groups with the C0 -semi-
groups and consider the uniform well-posedness of the abstract Cauchy prob-
lem related to their generators.
1.1.1 The Cauchy problem with generators of C0 -semi-

groups
As we mentioned above, uniformly well-posed problems are of great im-
portance in exploring the Cauchy problem. Fundamental results in the field
obtained with the help of the semi-group theory and Laplace transform
techniques are reflected in the MFPHY theorem. It connects uniform well-
posedness of the abstract Cauchy problem with a C0 -semi-group generated by
A as well as with the behavior of the resolvent of A.
Let us give the definition of uniform well-posedness.
Definition 1.1.1 The Cauchy problem (1.0.1) is called uniformly well-posed
on D ⊆ dom A if for any f ∈ D
(a) there exists a unique solution u ∈ C([0, ∞), dom A) ∩ C 1 ([0, ∞), X );
(b) the solution is stable with respect to change of the initial data and the
stability is uniform with respect to t ∈ [0, T ], T < ∞ :
sup ku(t)k ≤ CT kf k.
t∈[0,T ]
It follows from the definition that the solution of a well-posed problem

is defined on [0, ∞). Therefore, U (t), t ≥ 0, defined as solution operators of
such a Cauchy problem, U (t)f := u(t), f ∈ D, also depend on the parameter
t ∈ [0, ∞). If (1.0.1) is uniformly well-posed on dom A and the operator A
is densely defined, then the solution operators have the semi-group property.
This is indeed the case since for each f ∈ dom A and t, h ≥ 0 the elements
U (t + h)f and U (t)U (h)f are the solutions of (1.0.1) with the initial data
U (h)f at the moment t = 0. Since the solution is unique, they coincide:
U (t + h)f = U (t)U (h)f, t, h ≥ 0, f ∈ dom A. (1.1.3)
In a similar manner using the uniqueness property one can show that the
operators U (t) are linear for each t ≥ 0. Hence, under condition dom A = X
the equality (1.1.3) can be extended to the whole space X by continuity. The
stability of the Cauchy problem solutions implies boundness of the operators
obtained. Moreover, it follows from the uniform well-posedness of the prob-
lem that the solution operators actually form a semi-group of a special type,
namely, a C0 -semi-group.
Definition 1.1.2 A family of bounded linear operators {U (t), t ≥ 0} acting

in a Banach space X and satisfying the conditions
(U1) U (t + h) = U (t)U (h), t, h ≥ 0
(U2) U (0) = I
(U3) U (t)f is continuous with respect to t ≥ 0 for any f ∈ X
is called a semi-group of class C0 (shortened to C0 -semi-group).
An operator defined by
U ′ (0)f := lim h−1 (U (h) − I)f, (1.1.4)

h→0
with
dom U ′ (0) = {f ∈ X : lim h−1 (U (h) − I)f exists }, (1.1.5)
h→0
is called an (infinitesimal) generator of the family.
The properties of C0 -semi-groups and their generators have been thor-

oughly studied, and one can find numerous publications on the subject (see,
e.g., [9, 10, 29, 30, 56, 76, 79, 113]). Let us pick out fundamental properties
of these semi-groups. As we will see further, these properties are the basis for
setting the properties of more general semi-groups.
1. A C0 -semi-group is non-degenerate, i.e., U (t)f = 0 for each t > 0

implies f = 0.
This is indeed the case since if U (t)f = 0 for each t > 0 for a certain f ∈ X ,
then the properties (U2) and (U3) imply
f = U (0)f = lim U (t)f = 0.

t→0
2. The operators of a C0 -semi-group commute with the generator on its

domain. Operators forming a C0 -semi-group with the generator A are
the solution operators1 for (1.0.1).
The properties follow from (U1) and (1.1.4):
U (t)U ′ (0)f = U (t) lim h−1 (U (h) − I)f

h→0
−1
= lim h (U (h) − I)U (t)f = U ′ (0)U (t)f, f ∈ dom U ′ (0),
h→0
dU (t)
f = lim h−1 (U (t + h) − U (t))f = lim h−1 (U (h)U (t) − U (t))f
dt h→0 h→0
= lim h−1 (U (h) − I))U (t)f = AU (t)f, f ∈ dom A.
h→0
1 Sometimes the semi-group operators are called evolution operators; nevertheless, some
more general families than the solution operators may be called evolution operators as well.
For example, integrated, convoluted, and other semi-groups considered further are families
of evolution operators and not the solution ones.
3. The generator of a C0 -semi-group is a closed operator.
Let fn ∈ dom U ′ (0), fn → f and U ′ (0)fn → g. Then the continuity of semi-

group operators with respect to t together with property 2 implies
Z h Z h
dU (s)
h−1 (U (h) − I) fn = h−1 fn ds = h−1 U (s)U ′ (0)fn ds.
0 ds 0
Passing to the limit when n → ∞ gives

Z h
h−1 (U (h) − I) f = h−1 U (s)g ds.
0
The right-hand side of this equality has a limit equal to g as h → 0. Hence

f ∈ dom U ′ (0) and g = U ′ (0)f .
4. The generator of a C0 -semi-group is densely defined.
In order to prove it, consider the set
n Z b o
Xa,b := ua,b = U (s)f ds, f ∈ X , 0 ≤ a < b ,
a
and show that Xa,b is a subset of dom U ′ (0) and is dense in X .

For any ua,b ∈ Xa,b we have
Z b
−1 −1
h (U (h) − I)ua,b = h (U (h + s) − U (s))f ds
a
Z Z !
b−h b
−1
= h U (t)f dt − U (s)f ds
a−h a
−→
h→0
(U (b) − U (a)) f.
Therefore ua,b ∈ dom U ′ (0).

Now let us show that Xa,b is dense in X . Assume the contrary, namely,
Xa,b 6= X . Then the corollary of the Hahn–Banach theorem implies existence
of a nonzero functional F ∈ X ∗ equal to zero on the subspace Xa,b , i.e.,
Z b
F (ua,b ) = F (U (s)f ) ds = 0.
a
Hence, F (U (0)f ) = F (f ) = 0 for any f ∈ X . The obtained contradiction

proves the equality Xa,b = X . Hence dom U ′ (0) = X .
5. A C0 -semi-group is an exponentially bounded family of operators:
∃ C > 0, ω ∈ R : kU (t)k ≤ Ceωt , t ≥ 0.

To show this, write each t ≥ 0 as t = n + s with n ∈ N0 and 0 ≤ s < 1. Then

the semi-group property (U1) gives the equality U (t) = U n (1)U (s). Uniform
boundedness of kU (s)k with respect to 0 ≤ s < 1 follows from the uniform
boundedness principle and we have
kU (t)k ≤ CkU (1)kn = Cen ln kU(1)k ≤ Cet ln kU(1)k = Ceωt ,
where C = sup kU (s)k < ∞ and ω = ln kU (1)k.

0≤s<1
6. The Laplace transform of a C0 -semi-group of operators exists for each

λ from the half-plane Reλ > ω and coincides with the resolvent of the
generator:
e (λ) = (λI − U ′ (0))−1 = RU ′ (0) (λ),
U Reλ > ω. (1.1.6)
Strong continuity and exponential boundedness of a C0 -semi-group allow us

to apply the Laplace transform to it and yield boundedness of the Laplace
transform:
Z ∞
e e (λ)k ≤ C
U (λ)f = e−λt U (t)f dt, f ∈ X , kU , Reλ > ω.
0 Reλ −ω
Apply U ′ (0) to the integral for f ∈ dom U ′ (0). Since U ′ (0) is a closed operator,
it can be inserted under the integral sign. Further, applying property 2 and
integrating by parts, we obtain
Z ∞ Z ∞
′ −λt
U (0) e e−λt U ′ (0)U (t)f dt
U (t)f dt =
0 0
Z ∞ Z ∞
= e−λt U ′ (t)f dt = −f + λ e−λt U (t)f dt, f ∈ dom U ′ (0).
0 0
This equality can be extended to the whole space by continuity:

Z ∞
(λI − U ′ (0)) e−λt U (t)f dt = f, f ∈ X.
0
On the other hand, we have

Z ∞
e−λt U (t)(λI − U ′ (0))f dt = f, f ∈ dom U ′ (0).
0
These two equalities imply (1.1.6).

It turns out that a property inverse to the previous one is valid for the
operators of a C0 -semi-group.
7. The following theorem shows complete interconnection between the

semi-group property (U1) of an exponentially bounded family of op-
erators and the resolvent identity for its Laplace transform.
Theorem 1.1.1 [8, 79]. Let {U (t), t ≥ 0} be an exponentially bounded,

strongly continuous family of linear operators. Then the operator function
Z ∞
e (λ) =
U e−λt U (t) dt, Reλ > ω,
0
satisfies the resolvent identity

e e
U e (µ) = U (λ) − U (µ) ,
e (λ)U Reλ > Reµ > ω,
µ−λ
if and only if the operators of the family satisfy the semi-group relation (U1).
8. There exists a definition of a C0 -semi-group and its generator which is

equivalent to Definition 1.1.2.
The resolvent identity implies the following equality for any C0 -semi-group
{U (t), t ≥ 0}:
e (λ))−1 = µI − (U
λI − (U e (µ))−1 , Reλ, Reµ > ω.
This means that there exists an operator

e (λ))−1 ,
A := λI − (U e (λ),
dom A = ran U Reλ > ω, (1.1.7)
and it coincides with U ′ (0). Now on the basis of the proved properties of gen-
erators of C0 -semi-groups we can introduce one more (equivalent) definition
of a C0 -semi-group and its generator.
Definition 1.1.3 Let A be a closed linear operator in a Banach space X .

A strongly continuous and exponentially bounded family of linear operators
{U (t), t ≥ 0} acting in X and satisfying the equalities
Z t
A U (s)f ds = U (t)f − f, t ≥ 0, f ∈ X ,
0
U (t)Af = AU (t)f, t ≥ 0, f ∈ dom A,

is called a C0 -semi-group generated by A.
Extensions of this definition will be taken as definitions of different regularized

semi-groups and their generators in the next section.
9. Let A be the generator of a C0 -semi-group. Then the estimates

Ck!
(k)
R (λ) ≤ , Reλ > ω, k ∈ N, (1.1.8)
(Reλ − ω)k+1
follow from the equality (1.1.6). Due to the resolvent identity the esti-
mates can be written in the equivalent form (I.4).
Remark 1.1.1 The above proofs of properties 1–6 and the estimates (1.1.8)
for C0 -semi-groups constitute the proofs of implications (i)⇐⇒(ii)=⇒(iii) in
the MFPHY theorem. As for (iii)=⇒(ii), we refer the reader to [79], where
the main methods of constructing solution operators to the Cauchy problem
with A satisfying (1.1.8) are collected. Constructions based on the Yosida
approximations and the Widder–Post inversion formula are presented there.
In conclusion, before we pass to more general semi-groups of classes C1 and
A, we note one more important property of C0 -semi-groups, which remains
true for the semi-groups of class C1 and is the basis for the definition of semi-
groups of class A.
10. For the resolvent of the generator of a C0 -semi-group the following

equality holds:
lim λR(λ)f = f, f ∈ X, λ ∈ ρ(A) ∩ R. (1.1.9)

λ→∞
Let A be the generator of a C0 -semi-group and f ∈ dom A. It can be

represented in the form f = R(λ0 )y, y ∈ X . By the resolvent identity we have
R(λ)y R(λ0 )y
λR(λ)R(λ0 )y = λ −λ , λ, λ0 ∈ ρ(A).
λ0 − λ λ0 − λ
Hence, taking into account (I.4) as λ → ∞, we obtain (1.1.9) on dom A. Due
to the boundedness of kλR(λ)kL(X ) as λ → ∞ and the density of dom A, the
equality can be continued to the whole space X .
1.1.2 Semi-groups of classes C1 and A and of growth order

α. The Cauchy problem with generators of these semi-
groups
For the C0 -semi-groups considered in the previous subsection the strong
continuity at the point t = 0 is the fundamentally important property. It
follows from the properties of these semi-groups proved above that the strong
continuity at zero implies continuity at any point t ∈ (0, ∞). It also follows
that the semi-group operators are the solution operators for the uniformly
well-posed Cauchy problem (1.0.1). However, Cauchy problems with solutions
which are not continuous at zero include important differential problems and
often arise in applications along with the well-posed ones.
In the present subsection we consider the semi-groups related to such prob-
lems. Being strongly continuous as t > 0, they lose the property of strong
continuity at t = 0 and are defined with the help of weaker conditions than
C0 -semi-groups.
For the semi-groups of class C1 this is the condition of C-summability:
Z
1 η
lim C(η)f = f, f ∈ X , where C(η)f := U (s)f ds. (1.1.10)
η→0 η 0
For the semi-groups of class A this is the condition of A-summability:

Z ∞
lim λUe (λ)f = f, f ∈ X , where U e (λ)f = e−λt U (t)f dt. (1.1.11)
λ→∞ 0
For semi-groups of growth order α this is the condition on the rate of growth
with respect to t as t → 0.
Definition 1.1.4 A family of bounded linear operators {U (t), t > 0} in a

Banach space X satisfying the conditions
(U1′ ) U (t + h) = U (t)U (h), t, h ≥ 0
(U3′ ) the operator function U (·) is strongly continuous with respect to t > 0
is called a strongly continuous semi-group.
The operator U ′ (0) defined by (1.1.4)–(1.1.5) is called an infinitesimal
operator and the operator A := U ′ (0), if it exists, is called the generator of
the family.
The semi-groups of classes C1 and (0, A) contain some subclasses.
Definition 1.1.5 A strongly continuous semi-group {U (t), t > 0} is called

a semi-group of class (0, C1 ) (a semi-group of class (1, C1 ) ) if the condition
(1.1.10) holds and
Z 1 Z 1
kU (t)f k dt < ∞, f ∈X kU (t)k dt < ∞ . (1.1.12)
0 0
A semi-group is called a semi-group of class (0, A) (class (1, A) ) if the con-

ditions (1.1.11) and (1.1.12) hold.
The semi-groups of classes (0, C1 ) and (1, C1 ) form the class C1 and the
semi-groups of classes (0, A) and (1, A) form the class A.
As we will demonstrate below, generally, the infinitesimal operator is not

closed and the Laplace transform of a strongly continuous semi-group is not
the resolvent of the infinitesimal operator.
Let us consider the properties of the semi-groups introduced and compare
them with the properties of C0 -semi-groups.
1. Exponential estimates. Behavior of the resolvent.
When studying the properties of C0 -semi-groups we showed the important

relation (1.1.9) which serves as a basis for the definition of a semi-group of
class A. Furthermore, the relation (1.1.10), being the basis of the definition
of the semi-groups of class C1 , obviously holds true for a C0 -semi-group. We
will show that (1.1.9) holds under a weaker than (U3) condition of continuity
(1.1.10). Thus the following embeddings hold:
{semi-groups of class C0 } ⊂ {semi-groups of class C1 } ⊂

⊂ {semi-groups of class A}. (1.1.13)
Proposition 1.1.1 Let {U (t), t > 0} be a semi-group of class C1 . Then the

condition (1.1.11) holds.
Proof. Let us denote ω0 := limt→∞ t−1 ln kU (t)kL(X ). It is called a type of

the semi-group. It is shown in [43] that −∞ ≤ ω0 < ∞ and for any η > 0
kU (t)k ≤ M (ω, η)eωt , t ≥ η, ω > ω0 . (1.1.14)
Hence the Laplace transform U e (λ) is defined for Reλ > ω. Integrating by
parts the right-hand side of the equality (1.1.11), we obtain
Z ∞
e
λU (λ)f − f = λ 2
t e−λt (C(t)f − f ) dt.
0
The estimate
Z η
2
λ e t (C(t)f − f ) dt
−λt
≤ M 0<t<η
sup kC(t)f − f k, f ∈ X,
0
and the property of exponential boundedness (1.1.14) imply

Z ∞ Z t
λ2 e−λt U (s)f − sf ds λ→∞
−→ 0, f ∈ X,
η 0
which proves the property (1.1.11).

Thus the Laplace transform for semi-groups of classes C1 and A exists and
similarly to the case of class C0 , the limit relation (1.1.11) holds for it.
2. Properties of generators and infinitesimal operators.
We continue to compare the properties of the semi-groups introduced above

with the properties of C0 -semi-groups. We first make clear whether the impor-
tant equality of the Laplace transform of a semi-group holds for the resolvent
of its generator. Then we compare the properties of the generators.
It is shown in [43] (Theorem 11.5.1) that for an (exponentially bounded)
strongly continuous semi-group {U (t), t > 0} and for those f ∈ X that provide
convergence in (1.1.10) and (1.1.12), the equality
e (λ)f = f,
(λI − U ′ (0))U Reλ > ω, (1.1.15)
holds and for f ∈ dom U ′ (0) the equality

e (λ)(λI − U ′ (0))f = f,
U Reλ > ω, (1.1.16)
holds true. It follows that the Laplace transform of a C1 class semi-group is the
resolvent of the infinitesimal operator. Since the infinitesimal operator of such
a semi-group is closed, it coincides with its generator. As for the infinitesimal
operator of a semi-group of class A, it is not necessarily closed (see an example
in [97]).
Let us show that the infinitesimal operator U ′ (0) of a semi-group of class
C1 or of class A is densely defined and that for the domain of U ′ (0) the
following embedding holds X1 ⊂ dom U ′ (0), where
n Z b o [
X1 := ua, b = U (s)f ds, f ∈ X0 , 0 < a < b ⊂ X0 := U (t)(X ),
a t>0
as well as the equalities X1 = X0 , X0 = X .

The embedding and density of X1 in X0 can be proved by the same scheme
as property 4 of C0 -semi-groups, changing the set Xa,b by X1 and X by X0 .
The equality X0 = X follows from the Hahn–Banach theorem: if X0 6= X ,
then there exist f0 6∈ X0 and F ∈ X ∗ such that F (X0 ) = 0 and F (f0 ) 6= 0.
However, Z ∞
0=λ e−λt F (U (t)f0 ) dt h→0
−→ F (f ),
0
0
which contradicts F (f0 ) 6= 0.
It follows from the density of dom U ′ (0) in X and the equalities (1.1.15)–
(1.1.16) that the Laplace transform of a semi-group of class A is the resolvent
of its (densely defined) generator U ′ (0):
Z ∞
RU ′ (0) (λ) = e−λt U (t) dt, Reλ > ω. (1.1.17)
0
It follows from (1.1.17) and the proved properties of semi-groups of classes C1

and A that, similar to the case of a C0 -semi-group, the infinitesimal genera-
tor can be (equivalently) defined by the equality (1.1.7). However, we cannot
retain the equivalence of the definition to the one obtained similarly to Defi-
nition 1.1.3.
3. Connection with the Cauchy problem (1.0.1).
We formulate a result on the connection between a semi-group and the Cauchy
problem for the case of a semi-group of class A. The latter is the widest one
among all classes of strongly continuous semi-groups studied up to now.
Theorem 1.1.2 [43] Let {U (t), t > 0} be a semi-group of class A. Then for
any n ≥ 1
dn n n
′ n ′ (0) ′ (0)
U (t)f = (U (0)) U (t)f = U (t) U f, f ∈ dom U .
dtn
2
If f ∈ dom U ′ (0) , then lim U (t)f = f .
t→0
At the end of the subsection we define one more class of semi-groups,

which not only loses the property of strong continuity in zero, but even admits
singularities with power rate of growth.
Definition 1.1.6 Let α ≥ 0. A strongly continuous wrt t > 0 semi-group of

operators {U (t), t > 0} on a Banach space X satisfying the conditions:
S
(Uα 1) the set X0 = t>0 U (t)(X ) is dense in X
(Uα 2) the semi-group is non-degenerate
(Uα 3) the function ktα U (t)kL(X ) is bounded as t → +0
is called a semi-group of growth order α.
Comparing the semi-groups of growth order α with the semi-groups con-

sidered before, we must mention the following.
1. The property of a semi-group of growth order α to be non-degenerate

and the property of the set X0 to be dense, as a consequence of conditions
at point zero, hold true for all the classes of semi-groups considered
above, including that introduced in Definition 1.1.6.
2. The Laplace transform of a semi-group of growth order α, generally, is
not well defined, due to the power singularity at zero.
3. The classes of semi-groups C1 and A and the class of semi-groups of
growth order α are not ordered by inclusion. Nevertheless, since for
semi-groups of classes (1, C1 ) and (1, A) the function kU (t)k, t > 0,
does not have non-integrable singularities at t = 0, we can continue the
embeddings (1.1.13) as follows:
{semi-groups of class (1, C1 )} ⊂ {semi-groups of class (1, A)} ⊂
⊂ {semi-groups of order α}. (1.1.18)
1.2 The Cauchy problem with generators of regular-

ized semi-groups: integrated, convoluted, and R-
semi-groups
In Section 1.1 we considered the Cauchy problem (1.0.1) with a generator
of a strongly continuous semi-group of solution operators {U (t), t ≥ 0} and
1.2. The Cauchy problem with generators of regularized semi-groups 15
showed the properties of solutions to the problem. They have the form u(t) =
U (t)ξ, t ≥ 0, for such semi-groups. The problem is well-posed in the case of
C0 -semi-groups and can have singularities at zero in the case of other strongly
continuous semi-groups. The aim of the present section is to investigate the
Cauchy problem (1.0.1) with generators of regularized semi-groups, which
generally are not semi-groups of solution operators, just more general families
of bounded operators.
1.2.1 The Cauchy problem with generators of exponentially

bounded integrated semi-groups
We begin with the Cauchy problem (1.0.1) with A satisfying the condition
(R1) and show the type of well-posedness corresponding to such A, the “semi-
group” family corresponding to this type of well-posedness, and a way of
regularizing of this problem.
The estimates (R1) are a generalization of MFPHY conditions. They coin-
cide with estimates (I.4) for n = 0. As a consequence, the “semi-group” that
the operator A generates should be a generalization of a C0 -semi-group. The
families of operators introduced by Arendt and called integrated semi-groups
serve as such a generalization [8].
Definition 1.2.1 Let n ∈ N. A family of bounded linear operators

{Sn (t), t ≥ 0} in a Banach space X that satisfies the conditions
Z s
1
(Sn 1) (s − r)n−1 Sn (t + r) − (t + s − r)n−1 Sn (r) dr
(n − 1)! 0
= Sn (t)Sn (s), s, t ≥ 0, Sn (0) = 0
(Sn 2) Sn (·) is a strongly continuous wrt t ≥ 0 operator function
(Sn 3) there exist C > 0 and ω ∈ R such that kSn (t)k ≤ Ceωt , t ≥ 0
is called an exponentially bounded n-times integrated semi-group.
It is easy to see that the characteristic property (Sn 1) for the family just
introduced is the n-times integrated semi-group property (U1). This fact clari-
fies the name “integrated semi-group.” Namely, if there exists a C0 -semi-group
{U (t), t ≥ 0}, then Sn (·) is nothing but the n-tuple integral of U (·):
Z t Z t1 Z tn−1
Sn (t) = ... U (tn ) dtn . . . dt2 dt1 , t ≥ 0.
0 0 0
This explains why the C0 -semi-groups are often called 0 times integrated semi-
groups for reasons of similarity, although we cannot formally substitute n = 0
in the definition of n-times integrated semi-groups.
Due to exponential boundedness of integrated semi-groups, as a basis for
the definition of a generator for the family introduced, one can take the defini-
tion connected with the Laplace transform. In order to give such a definition
we formulate the following generalization of Theorem 1.1.1.
Proposition 1.2.1 [8, 79] Let {Sn (t), t ≥ 0} be a strongly continuous, ex-
ponentially bounded family of bounded linear operators and
Z ∞
r(λ) := λn e−λt Sn (t)dt, Reλ > ω. (1.2.1)
0
Then r(·) satisfies the resolvent identity if and only if Sn (t), t ≥ 0, satisfies
the relation (Sn 1).2
Proceeding from this relation for the family, we give the following definition
of its generator.
Definition 1.2.2 Let {Sn (t), t ≥ 0} be a non-degenerate n-times integrated

exponentially bounded semi-group and let operator r(λ), Reλ > ω, be defined
by (1.2.1). The operator A := λI − r(λ)−1 is called the generator of the semi-
group.
The generator introduced is obviously closed. In contrast to the case of a

C0 -semi-group, the generator defined in this fashion does not coincide with
an infinitesimal generator from Definition 1.1.2.
The following criterion can be obtained on the base of Proposition 1.2.1.
Theorem 1.2.1 Let n ∈ N0 , ω ≥ 0. A linear operator A is the generator of

a non-degenerate (n + 1)-times integrated exponentially bounded semi-group
{Sn+1 (t), t ≥ 0} satisfying the condition
lim sup h−1 kSn+1 (t + h) − Sn+1 (t)k ≤ Ceωt , t ≥ 0,

h→0
if and only if the resolvent of A satisfies (R1).
It is interesting that for n = 0 the theorem implies that existence of a 1-

times integrated semi-group is equivalent to the MFPHY conditions. At first
sight this result is weaker than that of the MFPHY theorem. The point is that
the generator of an integrated semi-group, unlike that of a C0 -semi-group, may
be a non-densely defined operator. Later we investigate the properties of n-
times integrated semi-groups and prove that a stronger result guaranteeing
for n = 0 the equivalence of assertions (ii) and (iii) of the MFPHY theorem
is valid if dom A = X .
Now in the next few theorems we summarize the main properties of inte-
grated exponentially bounded semi-groups. (Proofs appear in [79].)
2 A note about notations: in this section we denote an n-times integrated semi-group
by Sn , a K-convoluted one by SK , and sometimes an R-semi-group by SR . Further on,

particularly in Part II, if there is no danger of confusion, we use the notation for all these
semi-groups without a subscript, just S.
Theorem 1.2.2 Let A be the generator of a non-degenerate n-times inte-

grated exponentially bounded semi-group {Sn (t), t ≥ 0}, n ∈ N0 . Then
1) if f ∈ dom A, then Sn (t)f ∈ dom A and
Z t
tn
ASn (t)f = Sn (t)Af, Sn (s)Af ds = Sn (t)f − f, t ≥ 0; (1.2.2)
0 n!
Rt
2) if f ∈ dom A, then 0
Sn (s)f ds ∈ dom A and
Z t
tn
A Sn (s)f ds = Sn (t)f − f, t ≥ 0; (1.2.3)
0 n!
3) if f ∈ dom Ap , p = 1, 2, . . . , n, then
p−1
X tn−p+k
Sn(p) (t)f = Sn (t)Ap f + Ak f, t ≥ 0; (1.2.4)
(n − p + k)!
k=0
4) if f ∈ dom An+1 , then

d (n)
S (t)f = ASn(n) (t)f = Sn(n) Af, t ≥ 0. (1.2.5)
dt n
Theorem 1.2.3 Let A be a linear densely defined on X operator. Then A

satisfies (R1) if and only if A generates a non-degenerate n-times integrated
semi-group {Sn (t), t ≥ 0} such that
kSn (t)k ≤ Ceωt , t ≥ 0.
Based on the properties of n-times integrated semi-groups, we study the

connection of these families to the Cauchy problem.
Note that the equality (1.2.4) with p = 1 due to commutativity of a semi-
group with its generator on dom A takes the form
tn−1
Sn′ (t)f = ASn (t)f + f, t ≥ 0, f ∈ dom A.
(n − 1)!
This equality shows that v(t) := Sn (t)f for t ≥ 0 and f ∈ dom A is a solution
of the Cauchy problem
tn−1
v ′ (t) = Av(t) + f, t ≥ 0, f ∈ dom A, v(0) = 0. (1.2.6)
(n − 1)!
Thus we obtain that the operators of an n-times integrated semi-group are
solving operators for the Cauchy problem (1.2.6). The problem can be con-
sidered as a regularizing problem for (1.0.1) and n-tuple integration can be
considered as a way of regularization of the original ill-posed problem.
Property 4 of Theorem 1.2.2 shows the connection between the family of

operators and the original Cauchy problem (1.0.1). Let us introduce a well-
posedness of the Cauchy problem (1.0.1) corresponding to the case considered.
It is naturally weaker compared with the uniform well-posedness introduced
in the previous section.
Definition 1.2.3 The Cauchy problem (1.0.1) is called uniformly (n, ω)-
well-posed, if for each f ∈ dom An+1 and for each T > 0
(a) there exists the unique solution of the problem

u ∈ C [0, T ], dom A ∩ C 1 [0, T ], X ;
(b) there exist C > 0, ω ∈ R such that ku(t)k ≤ Ceωt kf kn , t ≥ 0,

where kf kn := kf k + kAf k + . . . + kAn f k.
The connection of a uniformly (n, ω)-well-posed Cauchy problem with in-

tegrated semi-groups is illustrated by the following theorem.
Theorem 1.2.4 Let A be a linear operator densely defined on X with a non-

empty resolvent set. Then the following assertions are equivalent:
(i) the Cauchy problem (1.0.1) is uniformly (n, ω)-well-posed;
(ii) A is the generator of a non-degenerate n-times integrated exponentially
bounded semi-group of operators {Sn (t), t ≥ 0}.
Proof. (i) =⇒ (ii). Let f ∈ dom An+1 . Then there exists the unique solution
u of (1.0.1) such that ku(t)k ≤ Ceωt kf kn , t ≥ 0. Hence, for each µ ∈ ρ(A),
the function w(t) = R(µ)u(t), t ≥ 0, is a solution of the Cauchy problem with
the initial value R(µ)f . The estimate kw(t)k ≤ C1 eωt kf kn−1 , t ≥ 0, is valid
for it. Denote Z t
v1 (t) = u(s) ds,
0
then
Z t Z t Z t
v1 (t) = R(µ)(µI − A) u(s) ds = µR(µ) u(s) ds − R(µ) Au(s) ds
0 0 0
Z t Z t
= µ w(s) ds − R(µ) (u(t) − u(0)) = µ w(s) ds + R(µ)f − w(t),
0 0
and kv1 (t)k ≤ C2 eωt kf kn−1 .

By induction we obtain that the n-times integrated solution of (1.0.1),
Z t
1
vn (t) = (t − s)n−1 u(s) ds, t ≥ 0,
0 (n − 1)!
is an exponentially bounded function: kvn (t)k ≤ Cn eωt kf k.

We define a family of linear bounded operators Sn (t) : dom An+1 → X for

t ≥ 0, putting Sn (t)f := vn (t), f ∈ dom An+1 .
We show that conditions dom A = X and ρ(A) 6= ∅ imply dom An+1 =
= X . Since the resolvent set of A is not empty, any f ∈ dom A can be rep-
resented as f = R(µ)g, g ∈ X , µ ∈ ρ(A). Due to the density of dom A in X ,
there exists a sequence fn ∈ dom A such that fn → g. Then
hn = R(µ)fn ∈ dom A2 and hn → R(µ)g = f,
which implies dom A2 = dom A = X . By repeating the procedure (n − 1)

times, we obtain the required equality dom An+1 = dom A = X .
Now the operators Sn (t), t ≥ 0, can be continuously extended to X . The
operator function Sn (·) obtained on X is exponentially bounded as t ≥ 0, is
continuous wrt t for every f ∈ dom An+1 , and therefore is strongly continuous.
It is easy to show that the operators
Z ∞
r(µ) = µn e−µt Sn (t) dt, Reµ > ω,
0
coincide with the resolvent R(µ) of A. Thus {Sn (t), t ≥ 0} is the n-times
integrated semi-group generated by A.
(ii) =⇒ (i). For each f ∈ dom An+1 in accordance with (1.2.4) we have
n−1
X k t k
Sn(n) (t)f n
= Sn (t)A f + A f, t ≥ 0.
k!
k=0
Denote
u(t) := Sn(n) (t)f, f ∈ dom An+1 , t ≥ 0.
Then u(0) = f and ku(t)k ≤ Ceωt kf kn . It follows from the property (1.2.5)
that u(t) ∈ dom A and
u′ (t) = Au(t), t ≥ 0.
Now we prove that the solution obtained is unique. Let v be one more
solution of (1.0.1) with v(0) = f ∈ dom An+1 . Then Rn (µ)v, µ ∈ ρ(A), is
a solution of (1.0.1) with the initial data Rn (µ)f ∈ dom An+1 . Moreover,
Rn (µ)v(t) ∈ dom An+1 for every t ≥ 0. Hence
d (n)
S (t − s)Rn (µ)v(s)
ds n
= −ASn(n) (t − s)Rn (µ)v(s) + Sn(n) (t − s)ARn (µ)v(s) = 0,
(n)
for 0 ≤ s ≤ t. Therefore, Sn (t − s)Rn (µ)v(s) as a function of s is constant on
the segment [0, t], in particular, it takes the same values as s = t and s = 0:
Sn(n) (0)Rn (µ)v(t) = Sn(n) (t)Rn (µ)v(0).

Commutativity of the semi-group operators with the resolvent of the generator

implies
Rn (µ)Sn(n) (0)v(t) = Rn (µ)Sn(n) (t)f, f ∈ dom An+1 , t ≥ 0,

(n) (n)
hence v = Sn f , i.e., any solution of (1.0.1) is equal to Sn f .
Remark 1.2.1 As follows from the proof of Theorem 1.2.4, if dom A 6= X ,

then the operators Sn (t), Sn (t)f := vn (t), t ≥ 0, are defined only on dom A and
Rt
the operators Sn+1 (t) := 0 Sn (s) ds can be extended to the whole space X and
form an (n + 1)-times integrated semi-group. That is why in the general case
of a non-densely defined A the (n, ω)-well-posedness of the problem implies
existence of only an (n + 1)-times integrated semi-group defined by A.
Summarizing the results obtained in Theorem 1.2.4, we formulate them as
the following theorem, an analog of the MFPHY theorem.
Theorem 1.2.5 Let A be a linear densely defined on X operator with a non-

empty resolvent set. Then the following assertions are equivalent:
(i) the Cauchy problem (1.0.1) is uniformly (n, ω)-well-posed;
(ii) A is the generator of an n-times integrated exponentially bounded
semi-group of operators {Sn (t), t ≥ 0};
(iii) the resolvent of A satisfies the condition (R1).
Under these equivalent conditions the solution of (1.0.1) has the form
u(t) = Sn(n) (t)f, f ∈ dom An+1 , t ≥ 0.
It is shown in [15, 16, 79] that the properties 1 and 2 of Theorem 1.2.2,
where 2 is true on X , are equivalent to the relation (Sn 1). Thus (1.2.2) on
dom A and (1.2.3) on X can serve as an equivalent definition of an n-times
integrated exponentially bounded semi-group generated by A, as well as of a
local integrated semi-group, which we study further. This definition generalizes
Definition 1.1.3 of a C0 -semi-group to the case of n > 0.
Definition 1.2.4 Let A be a linear closed operator on X and let n ∈ N.

A strongly continuous exponentially bounded with respect to t ≥ 0 family of
bounded linear operators {Sn (t), t ≥ 0} acting in X and satisfying the equa-
tions
Sn (t)Af = ASn (t)f, f ∈ dom A, t ≥ 0, (1.2.7)
Z t
tn
A Sn (s)f ds = Sn (t)f − f, f ∈ X , t ≥ 0, (1.2.8)
0 n!
is called an n-times integrated exponentially bounded semi-group of operators
generated by A and A is called the generator of the family. The semi-group
is called non-degenerate if Sn (t)f = 0 for every t > 0 implies f = 0.
1.2.2 The Cauchy problem with generators of local inte-

grated semi-groups
The aims of this subsection are to determine the well-posedness of the
Cauchy problem (1.0.1) with A satisfying the condition (R2), to find a “semi-
group” family that allows us to obtain solution operators of such a problem,
and to indicate the way of its regularization.
We show that further restriction of the set of regular points of A in the
condition (R2) (compared with C0 -semi-groups and exponentially bounded
integrated semi-groups) implies the property of the family to be local wrt t. In
addition, the power growth of the resolvent, similar to the case of exponentially
bounded integrated semi-groups, implies the family is integrated.
By analogy with Definition 1.2.4, we define a local integrated semi-group
simultaneously with its generator.
Definition 1.2.5 Let A be a linear closed operator in X , n ∈ N. A strongly

continuous with respect to t ∈ [0, τ ) family of linear bounded operators
{Sn (t), t ∈ [0, τ )} that satisfies Equations (1.2.7) and (1.2.8) for t ∈ [0, τ )
is called an n-times integrated semi-group generated by A and A is called the
generator of the family; the semi-group is called local if τ < ∞ .
To construct a semi-group family generated by A whose resolvent satisfies

(R2), we neutralize the resolvent growth by multiplying it by λ−(n+1) and
take the inverse Laplace transform of the product λ−(n+1) R(λ), λ ∈ Λln
n, ν, ω .
We show that a local (n + 1)-times integrated semi-group is thus obtained.
Theorem 1.2.6 Let the resolvent of A satisfy the condition (R2). Then A
1
generates a local (n + 1)-times integrated semi-group on [0, τ ) for τ = nν .
Proof. Consider the inverse Laplace transform of the operator-function

λ−(n+1) R(λ), λ ∈ Λlnn, ν, ω :
Z
1
Sn (t) := eλt n+1 R(λ) dλ, Γ = ∂Λln
n, ν, ω1 , ω1 > ω.
Γ λ
Then, due to the estimate for R, we have

Z
etReλ
kSn (t)kL(X ) ≤ C |dλ|.
Γ |λ|
Further, on the curve Γ = {λ ∈ C : Reλ = nν ln |λ| + ω1 }, we have
etReλ ω1
= e(t− nν )Reλ+ nν ,
1
λ ∈ Γ.
|λ|
1
Hence, for each t < nν =: τ , the operator Sn (t) is bounded. We show that it
satisfies the equality (1.2.8) from Definition 1.2.5. For each f ∈ X we obtain:
Z t Z tZ
eλs
A Sn (s)f ds = n+1
(A ± λI)R(λ)f dλ ds
0 0 Γ λ
Z tZ Z tZ
eλs eλs
= n+1
λR(λ)f dλ ds − n+1
f dλ ds
0 Γ λ 0 Γ λ
Z
1 tn+1
= Sn (t)f − n+1
R(λ)f dλ − f.
Γ λ (n + 1)!
Since on the contour Γ we have

1 C ω1 −Reλ

λn+1 R(λ) ≤ |λ| = Ce ,
nν
the integral over Γ in the right-hand side is equal to zero for each f ∈ X and
we obtain (1.2.8). Equation (1.2.7) can be derived in a similar manner using
the equality R(λ)(λI − A)f = f , f ∈ dom A.
For local integrated semi-groups, in contrast to exponentially bounded
ones, the inverse result holds up to the value of the parameter n.
Theorem 1.2.7 [77] Let a linear closed operator A generate a local n-times
integrated semi-group {Sn (t), t ∈ [0, τ )}, n ∈ N. Then, for every T ∈ (0, τ ),
there exists ω ∈ R such that
n n o
Λln
n, 1/T, ω = λ ∈ C : Reλ > ln |λ| + ω ⊆ ρ(A),
T
and the resolvent of A satisfies (R2) in this region.
Now let us see what type of regularization for the original Cauchy problem
(1.0.1) is connected with the integrated semi-groups. Differentiating (1.2.8) on
dom A, we obtain that Sn (t)f provides a solution to the Cauchy problem for
the inhomogeneous equation
tn−1
Sn′ (t)f = ASn (t)f + f, f ∈ dom A, t ∈ [0, τ ), Sn (0)f = 0.
(n − 1)!
This implies that the regularization of the Cauchy problem (1.0.1) with the
generator of an n-times integrated semi-group is again due to n-times integra-
tion of (1.0.1).
To show the connection between integrated semi-groups and well-
posedness of the Cauchy problem (1.0.1), we introduce the following definition
of n-well-posedness.
Definition 1.2.6 The Cauchy problem (1.0.1) is called n-well-posed, if, for
each f ∈ dom An+1 ,
(a) there exists the unique solution of the problem

u ∈ C [0, τ ), dom A ∩ C 1 [0, τ ), X ;
(b) for each T ∈ [0, τ ) there exists CT > 0 such that
sup ku(t)k ≤ CT kf kn , (1.2.9)

t∈[0,T ]
where kf kn = kf k + kAf k + . . . + kAn f k.
The following theorem gives an important characteristic of a solution of

the n-well-posed Cauchy problem.
Theorem 1.2.8 If for each f ∈ dom An+1 there exists the unique solution
6 ∅, then the solution satisfies the
of the Cauchy problem (1.0.1) and ρ(A) =
stability condition (1.2.9).
Proof. The proof is based on the Banach closed graph theorem applied to the
spaces
[dom An+1 ] = {f ∈ dom An+1 , kf kn+1} and [dom A] = {f ∈ dom A, kf k1 }.
It is easy to check that both spaces introduced are complete. Consider the
operator
U : [dom An+1 ] → C ([0, T ], [dom A]) ,
which is defined everywhere on [dom An+1 ]:
U (t)f = u(t), f ∈ [dom An+1 ], t ∈ [0, T ].
Let us show that it is closed. Let fj → f in [dom An+1 ] and uj (t) → v in

C ([0, T ], [dom A]). Then we get for each t ∈ [0, T ] the convergence in X :
Z t
u′j (t) = Auj (t) → Av(t) and uj (t) − fj → v(t) − f = Av(s) ds,
0
hence, v ′ (t) = Av(t), v(0) = f . By the Banach theorem, the operator U is

continuous, i.e.,
sup ku(t)k1 ≤ CT kf kn+1 .
t∈[0,T ]
Hence, due to the existence of a regular point for A, the n-stability estimate
sup ku(t)k ≤ CT kf kn
t∈[0,T ]
holds.
On the base of this result and the properties of integrated semi-groups we
have
Theorem 1.2.9 If A is the generator of a local n-times integrated semi-

group {Sn (t), t ∈ [0, τ )}, then the Cauchy problem (1.0.1) is n-well-posed.
Under the condition ρ(A) 6= ∅ the reverse result holds true.
Theorem 1.2.10 Let ρ(A) 6= ∅. If the Cauchy problem (1.0.1) is n-well-

posed, then in the case dom A = X the operator A generates a local n-times
integrated semi-group on X ; in the general case A generates an (n + 1)-times
integrated semi-group.
Proof. By the condition, for each f ∈ dom An+1 there exists a unique solution
of the Cauchy problem (1.0.1), i.e., the solution operators
U (t) : dom An+1 → X , t ∈ [0, τ ),
are well defined, satisfy the equation
U ′ (t)f = AU (t)f, f ∈ dom An+1 , t ∈ [0, τ ), (1.2.10)
and satisfy the stability condition
sup kU (t)f k ≤ CT kf kn, f ∈ dom An+1 .

t∈[0,T ]⊂[0,τ )
The solution operators commute with the resolvent of A on the set

dom An+1 . Indeed, for each f ∈ dom An+1 the function u = U R(λ)f is a
solution of the Cauchy problem (1.0.1) with the initial data R(λ)f . On the
other side the function v = R(λ)U f is also a solution of (1.0.1) with the initial
data R(λ)f . It follows from the uniqueness of a solution of the problem that
the solutions are equal and the commutativity
U (t)R(λ)f = R(λ)U (t)f, f ∈ dom An+1 , t ∈ [0, τ ),
holds. Let us apply the resolvent to both parts of Equation (1.2.10):
R(λ)U ′ (t)f = (λI − A)−1 (A − λI)U (t)f + λR(λ)U (t)f,
where f ∈ dom An+1 and t ∈ [0, τ ). Then
R(λ)U ′ (t)f = λR(λ)U (t)f − U (t)f, f ∈ dom An+1 , t ∈ [0, τ ).
By commutativity of the resolvent with the solution operators we obtain
U (t)f = λU (t)R(λ)f − U ′ (t)R(λ)f, t ∈ [0, τ ).
Here the right-hand side is well defined for each R(λ)f ∈ dom An+1 , hence
for each f ∈ dom An . Thus we can extend operators U (t) to dom An and
denote the extension by the same symbol. From (1.2.10) we obtain the solution
operators in another form:
Z t
U (t)f = A U (s)f ds − f, t ∈ [0, τ ).
0
Due to the closedness of A, the equality also can be extended to domAn .

Let us introduce the operators
Z t
S1 (t)f := U (s)f ds
0
Z t
= λ U (s)R(λ)f ds − U (t)R(λ)f + R(λ)f (1.2.11)
0
Z t
= A S1 (s)f ds − tf, f ∈ dom An , t ∈ [0, τ ). (1.2.12)
0
It is evident that the operators introduced satisfy the equation
S1 ′ (t)f = AS1 (t)f − f, f ∈ dom An , t ∈ [0, τ ).
Applying the resolvent of A to it and acting by analogy with the previous case
we obtain the equality
S1 (t)f = λS1 (t)R(λ)f − S1′ (t)R(λ)f − R(λ)f, t ∈ [0, τ ),
which allows us to continue the operators S1 (t) and the equality (1.2.12) to
dom An−1 .
From (1.2.11) we obtain the estimate
kS1 (t)f k ≤ C1 kR(λ)f kn ≤ C1′ kf kn−1 , f ∈ dom An , t ∈ [0, τ ),
and integrating sequentially we obtain the operators

Z t Z t
tn
Sn (t)f := Sn−1 (s)f ds = A Sn (s)f ds − f, f ∈ dom A, t ∈ [0, τ ),
0 0 n!
and their representation in the form
tn−1
Sn (t)f = λSn (t)R(λ)f − Sn′ (t)R(λ)f − R(λ)f, t ∈ [0, τ ).
(n − 1)!
It allows us to continue these operators to the whole X . Thus, we have built

a family of operators satisfying the equation
Z t
tn
Sn (t)f = A Sn (s)f ds − f, f ∈ X , t ∈ [0, τ ),
0 n!
and the estimates
kSn (t)f k ≤ Cn kR(λ)f k1 ≤ Ĉn kf k, f ∈ dom A, t ∈ [0, τ ). (1.2.13)
If now dom A = X , then (1.2.13) can be continued to the whole X . Hence,

the family obtained is a family of bounded operators.
If dom A 6= X , then integrating once more we obtain a family of operators

satisfying the equation
Z t
tn+1
Sn+1 (t)f = A Sn+1 (s)f ds − f, f ∈ X , t ∈ [0, τ ),
0 (n + 1)!
with the corresponding estimates (1.2.13) for Sn+1 (t)f . Boundedness and the
property of strong continuity with respect to t follow from here.
1.2.3 The Cauchy problem with generators of convoluted

semi-groups
Here we investigate the Cauchy problem (1.0.1) with A satisfying the con-
dition (R3):
kR(λ)k ≤ CeωM(γ|λ|) , λ ∈ ΛM
α, γ, ω = {λ ∈ C : Reλ > αM (γ|λ|) + ω},
where M (t), t ≥ 0, is a positive function increasing as t → ∞ and its growth

rate does not exceed tp , p < 1.
The aim of the subsection is to indicate the “semi-group” family generated
by A and to find a way to regularize the problem (1.0.1) with such an operator.
In order to obtain the regularized family of operators, we neutralize the
growth of the resolvent of A by multiplying it by an appropriate function
e and then apply the inverse Laplace transform to the product R(λ)K(λ),
K, e
M
λ ∈ Λα, γ, ω . We will show that in this case a K-convoluted semi-group appears,
namely, with K = L−1 [K]. e
By analogy with the definition of integrated semi-groups we define a K-
convoluted semi-group simultaneously with its generator via corresponding
equations.
Definition 1.2.7 [16, 15] Let A be a linear closed operator on a Banach

space X . Let K be a function continuous on [0, τ ), τ ≤ ∞. A strongly
continuous with respect to t ∈ [0, τ ) family of bounded linear operators
{SK (t), t ∈ [0, τ )} on X satisfying the conditions
SK (t)Af = ASK (t)f, f ∈ dom A, t ∈ [0, τ ), (1.2.14)

Z t Z t
A SK (s)f ds = SK (t)f − K(s)f ds, f ∈ X , t ∈ [0, τ ), (1.2.15)
0 0
is called a K-convoluted semi-group of operators generated by A, and A is
called the generator of the family.
Equations (1.2.14) and (1.2.15) imply the existence of a derivative for

{SK (t), t ∈ [0, τ )} on the domain of the generator and the next representation
for it: ′
SK (t)f = ASK (t)f + K(t)f, f ∈ dom A, t ∈ [0, τ ).
This means that SK (t)f is the solution of the inhomogeneous Cauchy problem:
v ′ (t) = Av(t) + K(t)f, t ∈ [0, τ ), v(0) = 0. (1.2.16)
If u is a solution of (1.0.1) with initial data f ∈ dom A, then its convolution

v = K ∗ u is a solution of (1.2.16):
Z Z t
d d t
(K ∗ u)(t) = K(s)u(t − s) ds = K(t)u(0) + K(s)u′ (t − s) ds
dt dt 0 0
= K(t)f + A(K ∗ u)(t), t ∈ [0, τ ), (K ∗ u)(0) = 0.
This fact explains the name of the family: if {U (t), t ≥ 0} is a C0 -semi-

group with the generator A, then its convolution with the function K(t), t ≥ 0,
as was just shown, forms a K-convoluted semi-group. In particular, if
tn−1
K(t) = , t ≥ 0, (1.2.17)
(n − 1)!
the K-convoluted semi-group is an n-times integrated semi-group.
The semi-group property of a K-convoluted semi-group has the following
form [16]:
Z t+s
SK (t)SK (s) = K(t + s − r)SK (r) dr
s
Z t+s Z s
= K(t + s − r)SK (r) dr − K(t + s − r)SK (r) dr
0 0
for t, s, t + s ∈ [0, τ ). It is not difficult to show that for K having the form
(1.2.17) the above equality coincides with the property (Sn 1) of an n-times
In the following two theorems, which are extensions of Theorems 1.2.6 and
1.2.9, we establish a connection between the behavior of the resolvent of A
and the existence of a K-convoluted semi-group with the generator A.
Theorem 1.2.11 Let M (t), t ≥ 0, be a positive function increasing as

t → ∞ with the growth rate not exceeding tp , p < 1, and let (R3) hold.
Then A generates
a local K-convoluted semi-group {SK (t), t ∈ [0, τ )} with
τ = α1 κγ − β . The Laplace transform of the corresponding K satisfies the
condition

e
|K(λ)| = O e−M(κ|λ|) as |λ| → ∞ for κ > βγ.
Proof. Let us consider “nearly the inverse” Laplace transform

Z
SK (t) := e
eλt K(λ)R(λ) dλ, t ≥ 0, (1.2.18)
Γ
e
of the operator-function KR, where
Γ = {λ ∈ C : Reλ = αM (γ|λ|) + ω1 } ⊂ Λα, γ, ω , ω1 > ω.
According to assumptions of the theorem we have

Z
kSK (t)k ≤ C1 etReλ+βM(γ|λ|)−M(κ|λ|) |dλ|.
Γ
On the contour Γ we have

M (κ|λ|) = M γ · κλ
γ
= (Re κλ − ω1 )/α = ( κ Reλ − ω1 )/α.
γ γ
Hence, for the integrand we obtain

β
etReλ+βM(γ|λ|)−M(κ|λ|) = C2 e(t+ α − αγ )Reλ ,
κ
λ ∈ Γ.

Therefore, SK (t) is defined for every t < γκ − β α1 =: τ .
Now we show that the operators SK (t), t ∈ [0, τ ), satisfy (1.2.15). For any
f ∈ X we obtain
Z t Z tZ
A SK (s)f ds = (A ± λI) e
eλs R(λ)K(λ)f dλds
0 0 Γ
Z tZ Z tZ
= λ e
eλs R(λ)K(λ)f dλds − e
eλs K(λ)f dλds
0 Γ 0 Γ
Z Z t Z t
= e
R(λ)K(λ)λ eλs f dsdλ − K(s)f ds
Γ 0 0
Z Z t
= SK (t)f − e
R(λ)K(λ)f dλ − K(s)f ds.
Γ 0
For λ ∈ Γ we have
≤ C3 eβM(γ|λ|)−M(κ|λ|) = C4 e α (β− γ )Reλ ,

1 κ
e
kK(λ)R(λ)k
where κ > βγ. Hence, the integral along Γ in the right-hand side is equal to
zero for any f ∈ X and we obtain
Z t Z t
A SK (s)f ds = SK (t)f − K(s)f ds, f ∈ X.
0 0
A reader can easily check the condition (1.2.14) using the equality
R(λ)(λI − A)f = f , f ∈ dom A, λ ∈ ρ(A).
The following converse result is true.
Theorem 1.2.12 Let linear closed operator A generate a K-convoluted

semi-group {SK (t), t ∈ [0, τ )} on X , where K is an exponentially bounded
function: |K(t)| ≤ Ceθt , t ≥ 0, θ ∈ R. Let its Laplace transform satisfy the

condition
e
K(λ) = O e−M(κ|λ|) as |λ| → ∞,
where the function M (t), t ≥ 0, is positive and increasing as t → ∞ not faster

than tp , p < 1. Then, for any T ∈ (0, τ ) there exists ω ∈ R such that (R3)
holds with α = 1/T and γ = κ:

kR(λ)k ≤ CeM(κ|λ|) , λ ∈ ΛM 1
1/T, κ, ω = λ ∈ C : Reλ > T M (κ|λ|) + ω .
Proof. Take λ ∈ C and consider the integral

Z T
e−λs SK (s) ds, T ∈ (0, τ ).
0
Let us introduce an operator RT (λ) via the local Laplace transform of the
family {SK (t), t ∈ [0, τ )}, namely, by
Z T
e −1 (λ)
RT (λ) := K e−λs SK (s) ds, T ∈ (0, τ ).
0
We show that the operator is a “nearly resolvent” of A, i.e.,
R(λ) = RT (λ)(I − BT (λ)),
for all λ from a certain region ΛM1/T, κ, ω defined by kBT (λ)kL(X ) ≤ δ < 1.
It follows from (1.2.15) that for any f ∈ X
Z T
SK (s)f ds ∈ dom A.
0
Hence we can apply (λI − A) to RT (λ):

" Z Z #
T T
(λI − A)RT (λ) = Ke (λ) λ
−1
e−λs SK (s) ds − A e −λs
SK (s) ds .
0 0
Using (1.2.15) for the first term in the right-hand side and integrating the
second one by parts we obtain
" Z Z s Z T #
T
(λI − A)RT (λ) = Ke (λ) λ
−1
e −λs
K(ξ) dξ ds − e −λT
A SK (s) ds .
0 0 0
Now applying (1.2.15) to the second term and integrating the first one by
parts we obtain
"Z #
T
(λI − A)RT (λ) = Ke −1 (λ) e−λs K(s) ds − e−λT SK (T ) .
0
Let θ > 0. Then, for Reλ ≥ θ1 > θ we have

Z ∞
e −1
(λI − A)RT (λ) = I − K (λ) e −λT
SK (T ) + e −λs
K(s) ds =: I − BT (λ).
T
Let us estimate the operator BT (λ) for such λ. We have

Z ∞
e −1
kBT (λ)k ≤ |K (λ)| e −T Reλ
kSK (T )k + e −sReλ
|K(s)| ds
T
Z ∞
≤ C1 |Ke −1 (λ)| e−T Reλ + eθs−θ1 s ds
T
e (λ)|e
−1 T (θ−Reλ) 1
≤ C1 |K 1+ ≤ C2 eM(κ|λ|)−(Reλ−θ)T .
θ1 − θ
Now we find λ providing the inequality C2 eM(κ|λ|)−T (Reλ−θ) ≤ δ < 1. It is
valid if
M (κ|λ|) − T (Reλ − θ) ≤ ln(δ/C2 ),
or, equivalently,
M (κ|λ|) − ln(δ/C2 ) M (κ|λ|)
Reλ ≥ + θ =: + ω. (1.2.19)
T T
It follows from the condition imposed on M that this set is not empty. Thus
for each λ satisfying (1.2.19) the estimate kBT (λ)kL(X ) ≤ δ < 1 holds. Hence
(λ))−1 . It follows from here that
there exists (I − BT n o the resolvent R(λ) exists
for λ ∈ Λ1/T, κ, ω = λ ∈ C : Reλ ≥ M(κ|λ|)
T + ω and satisfies the estimate
Z
T 1
e −1 −λs
kR(λ)k ≤ |K (λ)| e SK (s) ds ≤ CeM(κ|λ|) .
0 1−δ
We conclude this section with a note on uniqueness of solutions to

the Cauchy problem (1.0.1). A few types of well-posedness (uniform well-
posedness, (n, ω)-, and n-well-posedness) of the problem were established via
semi-group techniques dependent on the resolvent behavior (R1)–(R3). The
proof of uniqueness of the solution in each of these cases is based on the
properties of the solution operators and is applicable for A with a non-empty
resolvent set. There exists a general proof of uniqueness of the solution of the
abstract Cauchy problem bypassing semi-group methods and connected with
the Laplace transform instead. Namely, the following theorem holds true.
Theorem 1.2.13 [63] If there exists such ω ∈ R that
ln kR(λ)k
{λ ∈ C : Reλ > ω} ⊆ ρ(A) and limλ→+∞ < ∞,
λ
then the Cauchy problem (1.0.1) on [0, ∞) cannot have more than one solution
in the Banach space X .
If, in addition, the limit is equal to zero, then the local Cauchy problem
cannot have more than one solution.
If A does not have the resolvent, then the uniqueness of the solution in a
Banach space can be proved by R-semi-group methods, which follow in the
next subsection.
1.2.4 The Cauchy problem with generators of R-semi-

groups. Regularized semi-groups
In the previous subsections we considered the Cauchy problem with the
operator A being the generator of a semi-group of one of the classes C0 , C1 , or
A or of a convoluted semi-group, in particular, an integrated one. Properties
of these semi-groups were determined by the geometry of the set of regular
points of the generator and by the estimates of its resolvent.
Now we consider the families of operators with the generators which
can have no resolvent anywhere in the right half-plane. These are R-semi-
groups introduced in [20, 25]. R-semi-groups, similar to convoluted and unlike
strongly continuous ones, can be defined both on the whole semi-axis [0, ∞)
and locally. Further, following [27, 78, 79, 110], we formulate results on the
properties of local R-semi-groups and on their connection with the Cauchy
problem. We do not give detailed proofs here since many of them are concep-
tually closed and generalize the well-known “semi-group” proofs used in the
previous subsections.
Let R ∈ L(X ) be an injective operator with a dense ran R in X .
Definition 1.2.8 A family of bounded linear operators {S(t), t ∈ [0, τ )}, τ ≤

∞, on a Banach space X satisfying the conditions
(SR 1) S(t + s)R = S(t)S(s), s, t, s + t ∈ [0, τ ), S(0) = R
(SR 2) the operator-function S(·) is strongly continuous wrt t on [0, τ )

is called an R-semi-group.
An R-semi-group is called exponentially bounded if kS(t)k ≤ Ceωt , t ≥ 0,
for some C > 0, ω ∈ R, and is called local if τ < ∞.
In the case R = I the characteristic property (SR 1) of R-semi-groups

coincides with the semi-group property (U1), which can be continued to all
t, s ≥ 0. Thus an I-semi-group is a C0 -semi-group.
As the basis for the definition of the generator of the family we take the
definition of the infinitesimal generator. In the case of an R-semi-group there
are a few such definitions.
Definition 1.2.9 Let {S(t), t ∈ [0, τ )} be an R-semi-group. The operators

G and Z defined by equalities
R−1 S(t) − I S(t) − R

Gf := lim f, Zf := R−1 lim f,
t→0 t t→0 t
with the domains dom G, dom Z consisting of those f , for which the cor-
responding limits exist, are called infinitesimal generators of the family
{S(t), t ∈ [0, τ )}.
In [79] it is shown that these infinitesimal generators do not coincide in

the general case. The inclusion Z ⊂ G holds for them.
The operator G is called the (complete infinitesimal) generator of the fam-
ily {S(t), t ∈ [0, τ )}. It is easy to check that the operator G has a closure;
therefore the definition of the complete infinitesimal generator is correct.
If {S(t), t ≥ 0} is an I-semi-group with the generator A, then, as we saw in
Section 1.1, its Laplace transform coincides with the resolvent of A. In the case
we now consider, first, if a semi-group is local, only the local Laplace transform
can be defined, and, second, even for an exponentially bounded R-semi-group
it is not necessarily equal to the resolvent of the generator. Nevertheless, in a
certain sense that we will explain below, it plays the role of the resolvent.
Let us introduce the local Laplace transform of a family {S(t), t ∈ [0, τ )}
by
Z t
Rt (λ)f := e−λξ S(ξ)f dξ, t ∈ [0, τ ), λ ∈ R, f ∈ X . (1.2.20)
0
The main properties of R-semi-groups and of the operator-function Rt (·) can

be formulated as the following theorem.
Theorem 1.2.14 Let A be the complete infinitesimal generator of an R-

semi-group {S(t), t ∈ [0, τ )} and the operator Rt (λ) be defined by the equality
(1.2.20). Then
1) the operator G is densely defined in X ;
2) for any f ∈ dom A, t ∈ [0, τ )
S(t)x ∈ dom A and AS(t)f = S(t)Af ;
3) for any f ∈ dom A, t ∈ [0, τ )
ARt (λ)f = Rt (λ)Af ;
4) for any f ∈ X , t ∈ [0, τ )
Rt (λ)f ∈ dom A and (λI − A)Rt (λ)f = Rf − e−tλ S(t)f ;
5) for any f ∈ X , t ∈ [0, τ )
Rt (λ)Rt (µ)f = Rt (µ)Rt (λ)f ;

6) for any t ∈ [0, τ ) the operator-function Rt (·) is differentiable with respect

to λ on R and there exists a constant Ct > 0 such that

λn dn−1
λ > 0, n ∈ N.
(n − 1)! dλn−1 t ≤ Ct ,
R (λ) (1.2.21)
The proof of the theorem generalizes the proofs of the corresponding prop-
erties of C0 -semi-groups and integrated ones.
Proceeding from properties 3–6 we introduce the following definition.
Definition 1.2.10 Let A be a closed linear operator acting in X and let

ω ∈ R. A family of bounded linear operators {Rt (λ), λ > ω}, t ∈ [0, τ ), is
called the asymptotical R-resolvent of A if
(a) for each f ∈ X , t ∈ [0, τ ) the function Rt (λ)f , λ > ω, is infinitely

differentiable with respect to λ and
Rt (λ)Rt (µ)f = Rt (µ)Rt (λ)f ;
(b) for any f ∈ X , t ∈ [0, τ )
Rt (λ)f ∈ dom A and (λI − A)Rt (λ)f = Rf + Bt (λ)f,
where the function Bt (λ)f , λ > ω, is infinitely differentiable with respect

to λ and there exists Ct > 0 such that
n−1
d
n−1 −tλ
f ∈ X , λ > ω, n ∈ N;
dλn−1 Bt (λ)f ≤ Ct t e kf k,
(c) for any f ∈ dom A, t ∈ [0, τ ), ARt (λ)f = Rt (λ)Af .
Similar to the case of C0 -semi-groups, integrated, and convoluted semi-

groups, conditions for the existence of an R-semi-group with the generator A
can be formulated in terms of the behavior of the asymptotical R-resolvent.
Theorem 1.2.15 A linear closed operator A acting in a Banach space X is

the complete infinitesimal generator of an R-semi-group {S(t), t ∈ [0, τ )} if
and only if it satisfies the conditions
1) dom A is dense in X and
A|R(dom A) = A; (1.2.22)
2) for each t ∈ [0, τ ) there exists the asymptotical R-resolvent Rt (λ) of the
operator A and for n/λ ∈ [0, t], λ > ω, n ∈ N, the estimates (1.2.21)
hold true.
Now we show how R-semi-groups are connected with the Cauchy problem
(1.0.1).
Definition 1.2.11 The problem (1.0.1) is called R-well-posed on [0, τ ) if for

any f ∈ R (dom A) there exists the unique solution u with ku(t)k ≤ Ct kR−1 f k,
where Ct is bounded on each compact interval in [0, τ ).
We can formulate the main result on well-posedness of (1.0.1) in the fol-

lowing form.
Theorem 1.2.16 Let A be a densely defined linear closed operator acting

in X . Let it commute with R on its domain and satisfy (1.2.22). Then A
generates an R-semi-group if and only if the problem (1.0.1) is R-well-posed
on [0, τ ).
Moreover, the solution of (1.0.1) has the form
u(t) = R−1 S(t)f, f ∈ R (dom A) , t ∈ [0, τ ).
The following theorem shows the connections between integrated semi-

groups and R-semi-groups.
Theorem 1.2.17 Let A be a closed densely defined linear operator acting in

X . Let ρ(A) =
6 ∅. Then the following conditions are equivalent:
(i) A generates an n-times integrated semi-group {Sn (t), t ∈ [0, τ )};
(ii) A generates an R-semi-group {S(t), t ∈ [0, τ )} with R = Rn (λ0 ),
λ0 ∈ ρ(A).
Proof. The proof is constructive. The R-semi-group is built from the n-times
integrated one and vice versa.
The R-semi-group is obtained from the integrated one by
dn Sn (t) n
S(t)f := R (λ0 )f, f ∈ X, t ∈ [0, τ ). (1.2.23)
dtn
The definition is correct since the element f1 = Rn (λ0 )f belongs to dom An
and the function Sn (t)f1 , t ∈ [0, τ ), is n-times continuously differentiable with
respect to t (Theorem 1.2.9).
The converse construction is given by
Z t Z t1 Z tn−1
Sn (t)f = (λ0 I − A)n ... S(tn )f dtn . . . dt2 dt1 , f ∈ X.
0 0 0

As follows from (1.2.23), the R-semi-group is the regularization by R =
Rn (λ0 ) of the solution operators
U (t) = dn Sn (t)/dtn , t ∈ [0, τ ),

of the Cauchy problem (1.0.1). Moreover, in the case of A generating an n-

times integrated semi-group the regularization can be obtained by n-times
integration of the solution operators since the primitives of the nth order of
the family of solution operators can be extended from the set dom An to the
whole space X (Theorem 1.2.10).
Generally, this is not the case. If A is the generator of an R-semi-group,
the resolvent does not generally exist, only the R-resolvent does. That is why
regularization of solution operators is generally performed by R not necessarily
equal to Rn (λ0 ). Consider as an example the semi-groups of growth order α.
These semi-groups have non-integrable singularities if α ≥ 1. The solution
operators of the Cauchy problem with A being the generator of such a semi-
group generally can be regularized neither via integration nor by a certain
power of the resolvent R(λ0 ). Nevertheless, as proved in [88], the generator
of a semi-group of growth order α is the generator of a certain R-semi-group,
namely, the R-semi-group with R = (cI − A)−(n+1) , which is not generally
the resolvent of A.
Theorem 1.2.18 Let A be the generator of a semi-group {U (t), t > 0} of

growth order α and let c > ω0 . Then A is the generator of an R-semi-group
with R defined by
Z
1 ∞ n −ct
Rf = t e U (t)f dt = (cI − A)−(n+1) , f ∈ X,
n! 0
where n is the integer part of α and ω0 is the exponential type of the semi-
group.
Summing up the assertions of Theorem 1.2.17 and Theorem 1.2.18 con-

cerning the connections of the integrated semi-groups and the semi-groups of
growth order α with R-semi-groups, we can say, that, in contrast to the rela-
tions (1.1.13) and (1.1.18) between the different classes of strongly continuous
semi-groups in terms of embeddings, here we have relations which connect the
semi-groups in terms of their generators, namely,
{class of generators of n-times integrated semi-groups} ⊂

⊂ {class of generators of R-semi-groups}.
Now we introduce regularized semi-groups. They serve as a generalization

of integrated semi-groups, convoluted semi-groups, and R-semi-groups.
Definition 1.2.12 Let A be a closed linear operator, R(t), t ∈ [0, τ ), τ ≤ ∞,

be a continuous operator function with values in L(X ) satisfying the conditions
R(t)R(s)f = R(s)R(t)f, f ∈ X , t, s ∈ [0, τ ),

AR(t)f = R(t)Af, f ∈ dom A, t ∈ [0, τ ).
A strongly continuous with respect to t ∈ [0, τ ) family of bounded linear oper-

ators {S(t), t ∈ [0, τ )} acting in X and satisfying the conditions
S(s)Af = AS(t)f, t ∈ [0, τ ), f ∈ dom A,

Z t Z t
A S(s)f ds = S(t)f − R(s)f ds, t ∈ [0, τ ), f ∈ X,
0 0
is called a regularized (R-regularized) semi-group of operators generated by A.

The operator A is called the generator of the family.
If the operator function R(t), t ∈ [0, τ ), is equal to the unit operator

multiplied by a certain (smooth enough) function K: R(·) = K(·)I, then the
tn−1
semi-group {S(t), t ∈ [0, τ )} is K-convoluted. In particular, if R(t) = (n−1)! I,
the semi-group is n-times integrated.
If we put the operator function R(·) equal to the delta-function multiplied
by R(t) ≡ R (in this case the equalities with R(·) must be understood in the
sense of distributions), then S(·) is an R-semi-group.
The relations between the given classes of semi-groups can be written in
the form of embeddings:
{integrated semi-groups} ⊂ {convoluted semi-groups} ⊂

⊂ {regularized semi-groups},
{R-semi-groups} ⊂ {regularized semi-groups}.
1.3 R-semi-groups and regularizing operators in the

construction of approximated solutions to ill-posed
problems
In this subsection we apply the regularizing methods developed in the
theory of ill-posed problems to solving the Cauchy problem
u′ (t) = Au(t), t ∈ [0, T ], u(0) = f. (1.3.1)
Using these methods we construct regularization which yields approximate

solutions.
Let A be a closed linear operator in a Banach space X . Suppose, as is
conventional in the theory of ill-posed problems, that from a priori information
it is known that a solution of (1.3.1) exists for certain initial data f , but the
initial data is given with an error δ > 0, i.e., instead of f we have fδ and
kf − fδ k ≤ δ. The error δ is called the initial data error. (This is typical for
the most real-life situations where one knows not the exact initial data, but
1.3. R-semi-groups for construction of regularizing operators 37
only approximations. The error is usually caused by inaccuracy of measuring

devices.)
In this setting of the problem one has to build a regularizing operator
for the problem, i.e., an operator which assigns an approximate solution to a
given fδ in such a way that the approximate solutions converge to the exact
one when the error in the initial data tends to zero.
Definition 1.3.1 An operator Rε (t) : X → X is called a regularizing oper-
ator for (1.3.1) if the following conditions hold:
(a) for any ε > 0 and 0 ≤ t ≤ T the operator Rε (t) is bounded and
Rε f ∈ C([0, T ], X ) for each f ∈ X ;
(b) there exists a function ε = ε(δ) (ε(δ) δ→0

−→ 0) such that
kRε(δ) (t)fδ − u(t)k δ→0

−→ 0, t ∈ [0, T ].
The parameter ε is called a regularizing parameter for (1.3.1).

Like most of the ill-posed problems, the ill-posed Cauchy problem (1.3.1)
can be considered as a problem of calculating the values of the unbounded
operator
u(t) = U (t)f, t ∈ [0, T ],
which, under the condition of uniqueness of the solution of the problem, can
be written in the form of the operator equation of the first kind
F u = v, F : W → V, (1.3.2)
where the operator F −1 is unbounded. To do this one has to take W =

C([0, T ], X ), V = X , F = U −1 .
The main methods of regularization for equations of the first kind are vari-
ational methods (see, e.g., [47, 48, 112]. They are the Ivanov quasi-solutions
method, the residual method, and the Tichonov method. As an approximate
solution of (1.3.2) with a given vδ (kvδ − vkV ≤ δ) one takes the solution of
one of the following variational problems:
• for the Ivanov quasi-solutions method:
uε = arg inf{ kF u − vδ kV : kLukZ ≤ ε}
• for the residual method:
uδ = arg inf { kLukZ : kF u − vδ kV ≤ δ}
• for the Tichonov regularization method:
ur = arg inf{ kF u − vδ kV + rkLukZ , r > 0}

with a stabilizing operator L : W → Z.

All the above mentioned methods allow us to define regularizing operators
of (1.3.2)
Rε vδ := uε(δ) (Rδ vδ := uδ , Rr vδ := ur(δ) )
−→ 0
so that ε = ε(δ) δ→0 −→ 0)
(r = r(δ) δ→0 and
kRε(δ) vδ − ukV (kRδ vδ − ukV , kRr(δ) vδ − ukV ) → 0 as δ → 0.
Further, we show a connection between the existence of a family of regular-

izing operators and an R-semi-group depending on a regularizing parameter.
This allows us to construct approximate solutions via a family of R-semi-
groups depending on a regularizing parameter [66, 79, 85].
Theorem 1.3.1 Suppose that the operator −A generates a C0 -semi-group

on a Banach space X . Then the following statements are equivalent:
(i) A generates a local Rε -semi-group {Sε (t), t ∈ [0, τ )} with Rε convergent
to the identity operator on dom A as ε → 0;
(ii) for each T < τ , there exists a family of linear regularizing operators
{Rε (t), 0 < t ≤ T } for the problem (1.3.1). They are invertible and commute
with A.
Proof. (ii) =⇒ (i). The assumption that −A generates a C0 -semi-group

{U−A (t), t ≥ 0} implies that the Cauchy problem
u′ (t) = −Au(t), t ∈ [0, T ], u(0) = f, (1.3.3)
and the equivalent one, u′ (t) = Au(t), t ∈ [0, T ], u(T ) = f, are uniformly
well-posed, while the problem (1.3.1) is generally not.
Let us denote by U (t), t ∈ [0, T ], the solution operators of (1.3.1) defined
by U (t)f := u(t), t ∈ [0, T ]. They are unbounded as solution operators of an
ill-posed problem. Since (1.3.3) is well-posed, the semi-group {U−A (t), t ≥ 0}
is non-degenerate: ker U−A (t) = {0}. Therefore, there exist the inverse to the
operators U−A (t), and the equality
−1
[U−A (t)] = U (t)
holds. Commutativity of regularizing operators Rε (t) with A implies commu-

tativity of Rε (t) with U−A (t) for t ∈ [0, T ]. We define
Sε (t) := Rε (T )U−A (T − t) = Rε (T )U (t)U−A (t)U−A (T − t)

= Rε (T )U (t)U−A (T ), t ≤ T < τ,
and
Rε = Sε (0) = Rε (T )U−A (T ).
We claim that Sε (·) satisfies relations (R1)–(R2) of Definition 1.2.8. The equal-
ity
Sε (t + s)Rε = Sε (t)Sε (s), t, s, t + s ∈ [0, T ],
is a consequence of commutativity of Rε (T ) with U−A (t) and the semi-group

property of the family U−A (t):
Sε (t + s)Rε = Rε (T )U−A (T − t − s)Rε (T )U−A (T )

= Rε (T )U−A (T − t)Rε (T )U−A (T − s) = Sε (t)Sε (s).
For any T < τ the operator Rε (T ) is defined on the whole X and is bounded.
Moreover, the operators U−A (T − t) are strongly continuous with respect to
t (T − t ≥ 0). Therefore, the functions Sε (t)f = Rε (T )U−A (T − t)f are
continuous with respect to t ∈ [0, τ ) for all f ∈ X . Thus, the operator family
{Sε (t), t ∈ [0, τ )} is a local Rε -semi-group.
Let us show that Rε is convergent to the identity operator as ε → 0. For
f ∈ dom A we have
kRε f − f k = kRε (T )U−A (T )f − U (T )U−A (T )f k

= kRε (T )y − U (T )yk, (1.3.4)
where y = U−A (T )f is the solution of (1.3.3) with t = T corresponding to

the initial value f . The equality (1.3.4) and condition (b) of Definition 1.3.1
imply
kRε f − f k ε→0
−→ 0, f ∈ dom A.
Now we verify that for the complete infinitesimal generator G and for the
infinitesimal generator Z of the obtained Rε -semi-group (see Definition 1.2.9)
the inclusions G ⊂ A ⊂ Z hold. These inclusions and the inclusion Z ⊂ G,
which is always true for the generators introduced, imply A = G.
By the definition of a complete infinitesimal generator we have

Gf = lim t−1 Rε−1 Sε (t)f − f = lim t−1 [U (t)f − f ] = U ′ (0)f = AU (0) = Af,
t→0 t→0
for f ∈ dom G; therefore, dom G ⊆ dom A and A|dom G = G. This and closed-
ness of A imply G ⊂ A.
Let us show that dom A ⊆ dom Z and Z|dom A = A. For f ∈ dom A we
have
Rε Af = ARε f = ARε (T )U−A (T )f = Rε (T )AU−A (T )f

= Rε (T ) lim t−1 [U−A (T − t) − U−A (T )] f
t→0
= lim t−1 [Sε (t)f − Rε f ] = Rε Zf.
t→0
Thus, f ∈ dom Z and Af = Zf for f ∈ dom A. Therefore, A ⊂ Z and

A = Z = G.
(i) =⇒ (ii). Suppose that A is the generator of a local Rε -semi-group
{Sε (t), t ∈ [0, τ )} with Rε convergent to the identity operator on dom A as
ε → 0. We show that Rε (t) := Sε (t), 0 < t < τ , is a regularizing operator of
(1.3.1), i.e., the conditions (a) and (b) of Definition 1.3.1 hold.
According to the assumption, the linear operator Rε (t) is defined on the

whole X and is bounded; therefore, it is continuous. Suppose that for f ∈
dom A there exists a solution u of (1.3.1). For a fixed t ∈ [0, T ], T < τ ,
consider the error
kRε (t)f − u(t)k = kSε (t)Rε−1 Rε f − u(t)k.
Since Rε−1 commutes with Sε (t) on the range of Rε we have
Sε (t)Rε−1 Rε f = Rε−1 Sε (t)Rε f.
By Theorem 1.2.16,
Sn (t) = Rε (t)f = Rε−1 Sε (t)Rε f = Rε−1 Sε (t)y, t ∈ [0, τ ),
where y = Rε f ∈ Rε (dom A), is the unique solution of the Cauchy problem

(1.3.1) with the generator of an Rε -semi-group and initial value y:
v ′ (t) = Av(t), 0 < t ≤ T, v(0) = y.
On the other hand, Rε u is also a solution of (1.3.1) with the initial condition
Rε u(0) = Rε f = y, hence Rε (t)f = Sε (t)f = Rε u(t). Thus, if there exists a
solution u for the initial value f , then
kRε (t)f − u(t)k = kRε u(t) − u(t)k ε→0

−→ 0, 0 ≤ t ≤ T,
that is, Rε (t) is a regularizing operator of (1.3.1).

The condition that the operator −A generates a C0 -semi-group is ful-
filled for strongly ill-posed problems such as the Cauchy problem for the
time-reversed heat equation. The most well-known examples of regular-
izing operators for such problems are the operators constructed by the
quasi-reversion method and by the auxiliary bounded conditions (ABC)
method [47, 62, 66, 79]. The results on regularization of ill-posed Cauchy
problems by these methods with A belonging to quite a wide class of (R2) are
presented in the following theorems.
Theorem 1.3.2 [47, 66] Let A be a densely defined linear operator whose
spectrum belongs to the region
n πo
Λ1 = λ ∈ C : |arg λ| < β < .
4
Let the estimate of the resolvent of A,
kR(λ)k ≤ C(1 + |λ|)−1 ,
hold for arbitrary λ ∈

/ Λ1 and some C > 0. Then the operator
Z
1 2
Rε (t)fδ = uε,δ (t) = UAε (t)fδ = − e(λ−ελ )t R(λ)fδ dλ,
2πi ∂Λ1
constructed via the quasi-reversion method, i.e., as the solution operator of

the Cauchy problem
u′ε,δ (t) = (A − εA2 )uε,δ (t) =: Aε uε,δ (t), 0 < t ≤ T, uε,δ (0) = fδ ,
is a regularizing operator of the ill-posed problem (1.3.1). Here {UAε (t), t ≥ 0}

is a C0 -semi-group with the generator Aε .
Theorem 1.3.3 [47, 66] Let A be a densely defined linear operator whose
spectrum belongs to the half-strip
n π o
Λ2 = λ ∈ C : |Imλ| < α < , Reλ > ω, ω ∈ R ,
T
and the resolvent of A is bounded for λ ∈
/ Λ2 . Then the operator
Z
b 1 eλt
bε,δ (t) = −
Rε (t)fδ = u R(λ)fδ dλ, fδ ∈ X, t < T,
2πi ∂Λ2 1 + εeλ(T )
constructed via the ABC method, i.e., as the solution operator of the boundary
problem
b′ε,δ (t) = Ab
u uε,δ (t), 0 < t < T,
u
bε,δ (0) + εb
uε,δ (T ) = fδ , ε > 0,
is a regularizing operator of the ill-posed problem (1.3.1).
Taylor & Francis
Chapter 2
Distribution methods for
construction of generalized solutions
to ill-posed Cauchy problems
This chapter is devoted to generalized solutions for the abstract Cauchy prob-
lem
u′ (t) = Au(t), t ∈ [0, ∞), u(0) = f, (2.0.1)
where A is a closed linear operator with dom A in a Banach space X , in
particular, for the problem with differential operators

∂u(x; t) ∂
=A i u(x; t), t ∈ [0, T ], u(x; 0) = f (x). (2.0.2)
∂t ∂x
We explore solutions to (2.0.1) in dependence on the set of regular points

and the behavior of the resolvent of A from classes (R1)–(R4). The classes were
introduced to characterize different types of regularized semigroups generated
by A.
Types of regularized semigroups generated by A (i∂/∂x) are defined by
solution operators etA(σ) to the Fourier transformed Cauchy problem
∂e
u(σ; t)
= A(σ)e
u(σ; t), t ∈ [0, T ], e(σ; 0) = fe(σ),
u σ ∈ Rn ,
∂t
and we explore solutions to (2.0.2) in dependence on the growth rate of etA(·) .
In Section 2.1 we give the statement of (2.0.1) and construct generalized
solutions in spaces of abstract distributions. Here the behavior of the resolvent
under conditions (R1)–(R2) determines the choice of the spaces. We show that
the Cauchy problem with A generating integrated semigroups is well-posed in
spaces of distributions.
In Section 2.2 we construct generalized solutions to (2.0.1) in spaces of ab-
stract ultra-distributions. Here the behavior of the resolvent under conditions
(R3) determines the choice of the spaces. The Cauchy problem with A generat-
ing convoluted semigroups is well-posed in these spaces of ultra-distributions.
As for the class (R4) related to R-semigroups, we pay special attention to
(2.0.2). In Section 2.3 we obtain a generalized solution to (2.0.2) using the
generalized Fourier transform techniques in Gelfand–Shilov spaces:
u(x; t) = Gt (x) ∗ f (x), x ∈ Rn .
43
44 2. Distribution methods

Here the generalized (wrt x) Green function Gt (x) = F −1 etA(σ) (x) is de-
fined in a Gelfand–Shilov space, which depends on the growth rate of etA(·) .1
2.1 Solutions in spaces of abstract distributions

The section is devoted to generalized solutions for the Cauchy problem
(2.0.1) with A generating integrated semigroups, exponentially bounded and
local ones. As shown in Section 1.2, the resolvent of such an operator A satisfies
conditions (R1) and (R2), respectively.
2.1.1 Statement of the generalized Cauchy problem. Ab-

stract distribution spaces
We begin with definitions of abstract distribution spaces, where the gen-
eralized solutions to (2.0.1) can be found, and well-posedness of the problem
in these spaces.
A space of abstract distributions Φ′ (X ) is the space of distributions on a
test function space Φ taking their values in a Banach space X . This means
that Φ′ (X ) is the space of operators L(Φ, X ). Convergence in Φ′ (X ) is the uni-
form convergence on bounded subsets of Φ. These spaces are generalizations
of C-valued distribution spaces Φ′ = L(Φ, C) introduced in Section 3.3 for
various spaces of test functions Φ. For example, L(D, C) = D′ is the Schwartz
distribution space, L(S, C) = S ′ is the Schwartz slowly growing distribution
space, L(Sα , C) = Sα′ is the Gelfand–Shilov exponentially growing distribution
space, and so on.
Similar to the scalar case, the support of an abstract distribution u ∈ Φ′ (X )
is a minimal compact set G ⊂ C such that u|C\G = 0. The last equality is
understood in the sense of distributions:
hϕ, ui = 0 for all ϕ ∈ Φ with supp ϕ ⊂ R\G.
According to notation accepted in the theory of distributions, we denote the

subspace of distributions with supports in [0, ∞) by Φ′0 (X ) or Φ′+ (X ).
In order to state the problem we have to define the concept of convolu-
tion for abstract distributions. Similar to the scalar case, we first define the
convolution of a distribution v0 ∈ Φ′ (X ) with a test function ϕ ∈ Φ by
(v0 ∗ϕ)(t) := hϕ(t + τ ), v0 (τ )i. (2.1.1)
If the function obtained possesses the properties of a test function with val-
1 If we write a generalized function as a function of a variable, we mean that it is a
distribution applied to test functions depending on this variable.

2.1. Solutions in spaces of abstract distributions 45
ues in the Banach space X , then, according to scalar case terminology, the
distribution v0 is called a convolutor transforming Φ into Φ(X ).
Now let us define the convolution of two abstract distributions in the fol-
lowing particular case. Let X , Y, Z be Banach spaces and suppose that there
exists a multiplication operation
g·f : Y × X → Z, f ∈ X , g ∈ Y.
For example, if X = L(E1 , E2 ) and Y = L(E2 , E3 ), then, in order to multiply

the elements of these spaces, one should apply operators successively; the
resultant operator is an element of Z = L(E1 , E3 ). Another example is X =
E1 and Y = L(E1 , E2 ). Then multiplication of the elements of these spaces
occurs through applying an operator to an element. It results in an element
of Z = E2 .
If v0 ∈ Φ′ (Y) is a convolutor in Φ, then we can define a convolution of
u ∈ Φ′ (X ) with v0 as follows:
hϕ, v0 ∗ ui := hv0 ∗ϕ, ui, ϕ ∈ Φ, (2.1.2)
v0 ∗ u : Φ′ (Y) × Φ′ (X ) → Φ′ (Z),
where v0 ∗ϕ is obtained by (2.1.1). The mapping given by (2.1.2) is bounded
and bilinear. In particular, the convolution of v0 ⊗ g with u ⊗ f ,2 where f ∈ X ,
g ∈ Y, and v0 , u ∈ Φ′ , is defined by
(v0 ⊗ g) ∗ (u ⊗ f ) = (v0 ∗ u) ⊗ (g · f ). (2.1.3)
Note that one can find different definitions of convolutions of abstract

distributions in [30, 49, 79]. They are based on structure theorems in spaces of
distributions D′ , S ′ , and Sω′ . (See details in Sections 3.3, 3.4.) If, for example,
′ ′
v0 ∈ D0 (Y), u ∈ D0 (X ), the structure theorem implies the existence of natural
numbers m, p and continuous functions g0 : R → Y and g : R → X equal to
zero for t < 0 and satisfying
(p)
hϕ, v0 i = hϕ, g0 i, hϕ, ui = hϕ, g (m) i.
Then the convolution of u with v0 is defined by
hϕ, v0 ∗ ui := hϕ, (g0 ∗ g)(m+p) i, ϕ ∈ D,

′
and belongs to D0 (Z). This definition does not depend on the choice of
m, p, g0 , and g.
Now we are ready to state the Cauchy problem in a space of abstract
distributions. As usually, the idea of the definition in the case of distributions
comes from a formula obtained for classical functions.
2 For any scalar-valued generalized function u ∈ Φ′ and f ∈ X we define the abstract
distribution u ⊗ f ∈ Φ′ (X ) by hϕ, v ⊗ f i := hϕ, vif, ϕ ∈ Φ.

Suppose the Cauchy problem (2.0.1) is uniformly well-posed. In this case

A is closed and densely defined in X . Multiply the equation by a test function
ϕ ∈ Φ and integrate both sides from 0 to ∞:
Z ∞ Z ∞ Z ∞
Au(t)ϕ(t) dt = u′ (t)ϕ(t) dt = −f ϕ(0) − u(t)ϕ′ (t) dt.
0 0 0
Since a solution u of a uniformly well-posed problem (2.0.1) is determined by

the C0 -semi-group of bounded operators generated by A,
u(t) = U (t)f, t ≥ 0, f ∈ dom A,
by virtue of the closedness of A we obtain

Z ∞ Z ∞
A U (t)f ϕ(t) dt = −f ϕ(0) − U (t)f ϕ′ (t) dt, f ∈ dom A. (2.1.4)
0 0
The right-hand side of (2.1.4) is well defined for all f ∈ dom A = X . Further-
more, it continuously depends on f ∈ X . Since A is closed, for any f ∈ X
the integral in the left-hand side belongs to dom A. Thus the equality (2.1.4)
holds on the whole space X . In addition, if we keep the notation u(t) = U (t)f
on the whole X , then (2.1.4) takes the form
Z ∞ Z ∞
A u(t)ϕ(t) dt = −f ϕ(0) − u(t)ϕ′ (t) dt, f ∈ X. (2.1.5)
0 0
Here we consider u(·) as a distribution in Φ′ (X ) and it is natural to agree that

any solution of (2.0.1) equals zero for t < 0. Therefore supp u ⊂ [0, ∞); thus
u ∈ Φ′0 (X ). Hence we can rewrite (2.1.5) in the following form:
hϕ, u′ i = −hϕ′ , ui = Ahϕ, ui + hϕ, δif, f ∈ X, ϕ ∈ Φ, (2.1.6)
where δ is the Dirac delta-function considered as an element of Φ′0 here. Let

us introduce an operator-valued distribution
P := δ ′ ⊗ I − δ ⊗ A, where hϕ, δ ′ ⊗ I − δ ⊗ Ai := hϕ, δ ′ iI − hϕ, δiA.
Denote by [dom A] the space dom A endowed with the graph-norm of A:
kf kA = kf k + kAf k.
It is a Banach space and the operator A : [dom A] → X is bounded: A ∈

L([dom A], X ) and P ∈ Φ′0 (L([dom A], X )).
The Cauchy problem (2.0.1) and Equation (2.1.6), which is equivalent to
(2.0.1) in the sense of distributions, take the following form in Φ′0 (X ):
P ∗ u = δ ⊗ f, f ∈ X. (2.1.7)
Recall that δ ∗ u = u and δ ′ ∗ u = u′ for u ∈ Φ′0 (X ).

Definition 2.1.1 An element u ∈ Φ′0 (X ) satisfying (2.1.7) is called a gen-

eralized solution of the (generalized) Cauchy problem (2.0.1).
Definition 2.1.2 The problem (2.1.7) is called well-posed or, in other words,
the generalized Cauchy problem (2.0.1) is called well-posed in a space Φ′0 (X )
if for each f ∈ X there exists a unique solution of (2.1.7) stable in Φ′0 (X ),
i.e., for any sequence fn converging to zero in X , the corresponding sequence
un converges to zero in Φ′0 (X ).
The aim of the present section is to reveal the conditions that provide the
generalized well-posedness of (2.0.1) in a certain Φ′0 (X ) and to obtain its gen-
eralized solution. The main tool applied is the generalized Laplace transform
(see Section 3.4).
Applying the generalized Laplace transform to (2.1.7) in a space Φ′0 (X )
and using the property of the Laplace transform of a derivative,
L [du(t)/dt] (λ) = λLu(λ) − f,
we obtain
(λI − A)Lu(λ) = f, f ∈ X.
If the resolvent of A exists, we apply it to both sides of this equation and
obtain
Lu(λ) = R(λ)f, f ∈ X , λ ∈ ρ(A).
It follows that the generalized solution u of (2.0.1) must be equal to the
(generalized) inverse Laplace transform of the resolvent:
u = L−1 [R(λ)f ] , f ∈ X.
In order to obtain a generalized solution by this method, one should select

such a space Φ of test functions that the generalized inverse Laplace transform
of the resolvent exists in the abstract conjugate space Φ′ (X ).
Thus the resolvent behavior determines the choice of the test function
space. For the case when R satisfies (R1), we consider the Cauchy problem
(2.0.1) in spaces of abstract exponentially bounded distributions Sω′ (X ) and
for the case (R2) we use the space of abstract distributions D′ (X ). The Cauchy
problem with operators satisfying (R3) will be considered in the next section
in spaces of abstract ultra-distributions.
In both cases (R1) and (R2) we first show that the existence of a unique
solution to (2.1.7) and the corresponding behavior of the resolvent of A are
equivalent to the existence of a generalized operator family U solving the
equations
U ∗ P = δ ⊗ I[dom A] , P ∗ U = δ ⊗ IX , (2.1.8)
in the corresponding space. Second, we show that the solution of (2.1.8) exists
if and only if (2.0.1) is well-posed in the generalized sense.
2.1.2 Generalized solutions to the Cauchy problem with gen-

erators of integrated semigroups
We begin with the case of the Cauchy problem (2.0.1) with the generator
of an exponentially bounded integrated semi-group and the resolvent of A
satisfying (R1). We consider the problem in the space of abstract exponen-
tially bounded distributions Sω′ (X ) and show that (R1) is the necessary and
sufficient condition for generalized well-posedness of (2.0.1) in this space.
The space Sω′ (X ) is the space of X -valued distributions f satisfying the
condition {e−ωt }f (t) ∈ S ′ (X ),3 where {e−ωt } is a smoothed exponential func-
tion, namely, an infinitely differentiable function
−ωt
e , t ≥ 0,
{e−ωt } = (2.1.9)
0, t ≤ c < 0.
According to Theorem 1.2.5, the problem (2.0.1) is (n, ω)-well-posed if and

only if the resolvent of A satisfies conditions (R1), which is in turn equivalent
to the existence of an exponentially bounded n-times integrated semi-group
of operators generated by A. The connection between the generalized well-
posedness of such a problem and the estimates of the resolvent of A based on
the connection with integrated semigroups is given in the next theorem.
Theorem 2.1.1 Let A be a linear operator in a Banach space X densely

defined and with a nonempty set of regular points. The following assertions
are equivalent:
(i) the Cauchy problem (2.0.1) is well-posed in the space of exponentially
bounded distributions Sω′ (X );
(ii) there exists an operator-valued distribution U ∈ Sω′ (L(X )) with sup-
port in [0, ∞) solving (2.1.8);
(iii) (R1) holds true for the resolvent of A.
Proof. (i)=⇒(ii). Define for every ϕ ∈ S a linear operator hϕ, {e−ωt }U i acting
in X by
hϕ, {e−ωt }U if := hϕ, {e−ωt }ui, f ∈ X,
where u ∈ Sω′ (X ) is the solution of the well-posed problem (2.1.7) and {e−ωt }
is defined by (2.1.9).
We show that U ∈ Sω′ (L(X )), i.e.,
1) {e−ωt }U is a linear operator from S to L(X ),
2) for any sequence ϕn ∈ S convergent to zero in S it holds that
khϕn , {e−ωt }U ikL(X ) → 0,
i.e., hϕn , {e−ωt }U if → 0 in X uniformly with respect to f from any bounded

set in X .
3 Recall that if we write a distribution u ∈ Φ′ as u(t), we mean u is applied to test
functions ϕ ∈ Φ of the variable t.

The linearity of U follows from that of the solution. The stability of the
solution implies
khϕ, {e−ωt }U ifn k = khϕ, {e−ωt }un ik → 0 as kfn k → 0
uniformly with respect to ϕ from any bounded set in S. Thus, for each ϕ ∈ S,
we have hϕ, {e−ωt }U i ∈ L(X ).
Consider a bounded set {f : kf k ≤ C} in X . It generates the set B =
{U f : kf k ≤ C} ⊂ Sω′ (X ), which is bounded in Sω′ (X ) due to the stability of
the solution: for each ϕ ∈ S it holds that
sup khϕ, {e−ωt }U if k = sup khϕ, {e−ωt }uik < ∞.

Uf ∈B kf k≤C
Then, by the structure theorem for elements from S ′ (X ), there exists m ∈ N,

independent of elements of B, and for every U f ∈ B there exists a continuous
primitive g : R → X such that
hϕ, {e−ωt }U f i = hϕ, g (m) i, ϕ ∈ S.
Moreover, all the primitives have the same power of growth: |g(t)| ≤ C|t|r as
|t| → ∞. Hence,
khϕ, {e−ωt }U if k = khϕ, g (m) ik

= kh(−1)m ϕ(m) , gik ≤ C|t|r sup |ϕ(m) (t)|, ϕ ∈ S.
t∈R
In accordance with the definition of convergence in S, this estimate implies
khϕn , {e−ωt }U if k → 0 as ϕn → 0 in S.
Since supp u ⊂ [0, ∞), the support of the operator-valued distribution belongs
to [0, ∞) as well. It only remains to prove that U satisfies Equations (2.1.8)
in Sω′ (L(X )). Using the notation ϕω := {e−ωt }ϕ, it is sufficient to prove
hϕω , P ∗ U i = hϕω , δ ⊗ IX i, hϕω , U ∗ Pi = hϕω , δ ⊗ I[dom A] i.
By (2.1.2) and (2.1.3), for any f ∈ X we obtain
hϕω , P ∗ U if = hP∗ϕω , U if = h(δ ′ ⊗ I[dom A] − δ ⊗ A)∗ϕω , U if
= hϕω , U ′ if − hϕω , AU if = hϕω , (U ′ − AU )f i.
For any U ∈ Sω′ (L(X )) and f ∈ X we have U ′ f = (U f )′ . Therefore,
hϕω , P ∗ U if = hϕω , (U f )′ − AU f i = hϕω , u′ − Aui

= hϕω , P ∗ ui = hϕω , δ ⊗ f i = hϕω , δ ⊗ IX if.
This completes the proof of the first equality in (2.1.8).

Let us prove the second equality. We have
hϕω , P ∗ (U ′ f )i = hϕω , P ∗ (U f )′ i = hϕω , P ∗ u′ i = IX hϕω , u′′ i − Ahϕω , u′ i
= −IX hϕ′ω , u′ i + Ahϕ′ω , ui = −hϕ′ω , (δ ′ ⊗ IX − A) ∗ ui.
It follows that
hϕω , P ∗ (U ′ f )i = −hϕ′ω , P ∗ ui = −hϕ′ω , δ ⊗ f i = hϕω , δ ′ ⊗ f i, f ∈ X.
Thus we have the equality P ∗ (U ′ f ) = δ ′ ⊗ f, f ∈ X . In a similar manner we

have
(P ∗ U )Af = δ ⊗ Af, P ∗ (δ ⊗ f ) = δ ′ ⊗ f − δ ⊗ Af, f ∈ [dom A].
Then, for any f ∈ [dom A],
P ∗ (U ′ f − U Af − δ ⊗ f ) = 0
and by the uniqueness of the solution we obtain
U ′ − U A = δ ⊗ I[dom A] .
Further,
hϕω , U ∗ Pi = hU ∗ ϕω , δ ′ ⊗ I[dom A] i − hU ∗ ϕω , δ ⊗ Ai
= hϕω , U ′ i − hϕω , U Ai = hϕω , U ′ − U Ai
and the two last equations provide U ∗ P = δ ⊗ I[dom A] , which proves the
assertion.
(ii)=⇒(i). For f ∈ X consider the distribution u := U f . By the first
equation in (2.1.8) we have
hϕ, {e−ωt }ui ∈ [dom A], ϕ ∈ S,
and by the second one we conclude that the distribution {e−ωt }u is a solution
of (2.1.7):
P ∗ {e−ωt }u = P ∗ {e−ωt }U f = δ ⊗ f.
The associativity of convolution and the first equality in (2.1.8) imply the
uniqueness of the solution. To prove the stability of the solution, we show that
un → 0 in Sω′ (X ) (i.e., uniformly with respect to ϕ on a bounded set in S) as
fn → 0 in X .
Let B be a bounded set in S. Then, for any q, k ∈ N0 , there exists a constant
Ck,q independent of the elements of B, such that the following inequality holds:
|tk ϕ(q) (t)| ≤ Ck,q , t ∈ R, ϕ ∈ B.

For any ϕ ∈ B the operator hϕ, Uω := {e−ωt }U i belongs to L(X ); therefore,
khϕ, {e−ωt }un ik = khϕ, Uω ifn k ≤ khϕ, Uω ikL(X ) · kfn k.
Using the structure theorem for S(L(X ) we obtain
hϕ, Uω i = hϕ, g (m) i, ϕ ∈ S.
Therefore, for every ϕ ∈ B,
khϕ, Uω ikL(X ) = kh(−1)(m) ϕ(m) , gikL(X ) ≤ Cr, m .
Hence,
khϕ, {e−ωt }un ik ≤ Cr, m kfn k → 0 as fn → 0.
(ii) =⇒ (iii). Let U ∈ Sω′ (L(X ))
be a solution of Equations (2.1.8). Apply-
ing to them the generalized Laplace transform, we obtain
(λI − A)LU (λ) = I[dom A] , LU (λ)(λI − A) = IX , Reλ > ω. (2.1.10)
These equalities imply that the half-plane ℜλ > ω lies in the resolvent set of A
and (λI − A)−1 = LU (λ). In order to prove (R1) let us construct a continuous
primitive of the family U and show its connection with the resolvent of A.
The primitive obtained turns out to be the exponentially bounded integrated
semi-group generated by A.
Since Uω ∈ S ′ (L(X )) and the space S is the intersection of spaces S p with
the norms
kϕkp = sup sup |xk ϕ(q) (t)|, p ∈ N,
k,q≤p t∈R
the distribution Uω belongs to the space which is dual to some S p . Hence,
khϕ, Uω ikL(X ) ≤ Ckϕkp , ϕ ∈ S, (2.1.11)
and, by the density of S in S p , one can extend Uω to S p .

Let us consider the functions
p
0, s ≤ −1, t /p!, t ≥ 0,
χ(s) = χ(·) ∈ C ∞ (R), ηp (t) =
1, s ≥ 0, 0, t < 0.
The product χ(s)ηp (t − s) considered as a function of s belongs to S p . Now

introduce the function
hχ(s)ηp (t − s), U i := heωs χ(s)ηp (t − s), Uω i =: Sp+2 (t)
and prove that Sp+2 is a (p+2)-times integrated semigroup. It is easy to verify

that the mapping
t → eωs χ(s)ηp (t − s) : R → Sp
is continuous; therefore, Sp+2 (·) is continuous in L(X ). Since supp U ⊆ [0, ∞)

and supp eωs χ(s)ηp (t−s) ⊆ [−1, t], we have Sp+2 (t) = 0 for t ≤ 0. In addition,
(2.1.11) implies
kSp+2 (t)kL(X ) = kheωs χ(s)ηp (t − s), Uω ikL(X ) ≤ C ′ eω1 t ,
for ω1 > ω and t ≥ 0. Let us show that U is the generalized derivative of

Sp+2 (·) of order p + 2. For an arbitrary ϕ ∈ S we have
Z ∞
(p+2)
hϕ, Sp+2 i = h(−1)p+2 ϕ(p+2) , Sn i = (−1)p+2 ϕ(p+2) (t)Sn (t) dt
0
Z ∞
p+2 (p+2)
= χ(s)(−1) ϕ (t)ηp (t − s) dt, U (s)
0
= h χ(s) ϕ(s), U i = hϕ, U i.
(p+2)
Thus we have Sp+2 = U . Together with (2.1.10) it implies
Z ∞
(λI − A)−1 = λp+2 e−λt Sp+2 (t) dt, Reλ > ω1 .
0
Therefore, (R1) takes place:

k k Z ∞
d (λI − A)−1
= d LSp+2 (λ) ≤ e−tReλ tk kSp+2 (t)k dt
dλk λp+2 dλk
0
Z ∞
C ′ k!
≤ C′ tk et(ω1 −Reλ) dt =
0 (Reλ − ω1 )k+1
for Reλ > ω1 , k = 0, 1, ....
(iii) =⇒ (ii). The estimate (R1) with k = 0 provides that there exists the
classical inverse Laplace transform of the analytical in the half-plane ℜλ ≥ ω1
function λ−p−4 R(λ):
Z ω1 +i∞
1
g(t) = eλt λ−p−4 R(λ) dλ.
2πi ω1 −i∞
According to the abstract Cauchy theorem, g(t) = 0 for t ≤ 0 and g(·) is

exponentially bounded for t ≥ 0:
Z ω1 +i∞
1
kg(t)kL(X ) ≤ eReλt |λ|−p−4 kR(λ)k · |dλ| ≤ Ceω1 t .
2π ω1 −i∞
Therefore, its Laplace transform exists and
Lg (p+4) (λ) = λp+4 Lg(λ) = λp+4 λ−p−4 R(λ) = R(λ).
Thus, we have proved that the distribution U = g (p+4) ∈ Sω′ (L(X )) satisfies
the equality
LU (λ) = R(λ).
By the properties of the Laplace transform, we conclude that the U ob-

tained is the unique solution to
L(P ∗ U )(λ) = (λI − A)R(λ) = IX , L(U ∗ P)(λ) = R(λ)(λI − A) = I[dom A] .

Now consider the Cauchy problem in the Schwartz space of abstract dis-
tributions D′ (X ). Let the resolvent of A satisfy (R2), i.e.,
kR(λ)k ≤ C|λ|n , λ ∈ Λln

n, ν, ω = {λ ∈ C : Reλ > nν ln |λ| + ω},
for some n ∈ N, ν > 0, C > 0, ω ∈ R.

It was mentioned above that the generalized solution of (2.0.1) can be
obtained as the generalized inverse Laplace transform of the resolvent:
Z b+i∞
1
hϕ, L−1 Ri = R(λ)Lϕ(−λ) dλ, ϕ ∈ Φ,
2πi b−i∞
where the choice of Φ is determined by the properties of the resolvent. If (R2)

holds, we can obtain the generalized inverse transform of the resolvent by
integrating the product R(λ)Lϕ(−λ) over a contour
Γ = ∂Λln
n, ν, ω1 = {λ ∈ C : Reλ = nν ln |λ| + ω1 }, ω1 > ω.
To define such a transform, it is sufficient to choose test functions ϕ in such

a way that the Laplace transform Lϕ neutralizes the resolvent growth on Γ.
Therefore, it is sufficient for Lϕ to decrease on Γ faster than any power of
1/|λ|. It turns out that ϕ from D are suitable here.
The next three theorems are in a sense analogs of Theorem 2.1.1 to the
case of test functions ϕ ∈ D ⊂ Sω .
Theorem 2.1.2 If the resolvent of A satisfies (R2), then there exists an

operator-valued distribution U ∈ D0′ (L(X )) solving (2.1.8).
Theorem 2.1.3 Let A be a closed linear operator in a Banach space X .

Then the following statements are equivalent:
(i) the Cauchy problem (2.0.1) is well-posed in the space of distributions
D0′ (X );
(ii) there exists a generalized family of operators U ∈ D0′ (L(X )) solving
Equations (2.1.8).
Theorem 2.1.4 If there exists an operator-valued distribution U ∈

D0′ (L(X )) solving Equations (2.1.8), then the resolvent of A satisfies the con-
dition (R2).
The proofs of these theorems are carried out in the same manner as the proof
of Theorem 2.1.1. They are even less complicated compared with the case of
solutions from Sω′ (X ) because here the solution operator distribution U should
be applied to test functions from D without multiplication by an exponent
(see, e.g., [77]).
In addition, we give below the proof for the case of test functions from
D{Mq } , which are the functions from D with additional conditions on the
growth of ϕ(k) .
2.2 Solutions in spaces of abstract ultra-distributions

In this section for the case (R3) we show that the existence of a unique
solution to (2.1.7) and the corresponding behavior of the resolvent of A are
equivalent to the existence of a generalized operator family U solving Equa-
tions (2.1.8):
U ∗ P = δ ⊗ I[dom A] , P ∗ U = δ ⊗ IX ,
in the space of ultra-distributions. The solution of (2.1.8) exists if and only if
(2.0.1) is well-posed in the generalized sense.
Now let the resolvent of A satisfy the condition (R3), i.e.,
kR(λ)k ≤ CeβM(γ|λ|) , λ ∈ ΛM
α, γ, ω := {λ ∈ C : Reλ > αM (γ|λ|) + ω},
where γ > 0, β > 0, C > 0, ω ∈ R, and M is an associated function with a

certain sequence {Mq } :
xq M0
M (x) := sup ln , x > 0, (2.2.1)
q∈N0 Mq
or equivalently
Mq
e−M(x) = inf , x > 0.
q∈N0 M0 xq
We consider the generalized well-posedness of (2.0.1) with the operator A
satisfying (R3) on the space of ultra-differentiable test functions Φ=D{Mq } ,
which is defined by the choice of the sequence {Mq }. We show that (2.0.1) is
′
{M }, B
well-posed in the abstract dual space Da q (X ), where the parameter B
is defined by parameters a, α, β. (See definitions and properties of the spaces
in Section 3.3.)
As we shall see below in the course of studying generalized well-posedness,
the definition of M in (2.2.1) is consistent with the definition of M in the
theory of K-convoluted semigroups and the generalized solutions obtained
are closely related to K-regularized solutions.
{M }, B
It is known that the Fourier transform of a test function ϕ ∈ Da q
decreases as e−M(B a |λ|) , λ ∈ C (Section 3.4). We show that the Laplace
2.2. Solutions in spaces of ultra-distributions 55
{M }, B
transform of a test function ϕ ∈ Da q behaves the same. As a consequence,
we obtain the solution operators to (2.1.7) as the generalized inverse Laplace
′
{M }, B
transform of the resolvent of A in the abstract dual space Da q (L(X )).
Thus we consider the generalized inverse Laplace transform of the resol-
vent:
Z
−1 1
hϕ, L Ri = R(λ)Lϕ(−λ) dλ, ϕ ∈ Da{Mq }, B ,
2πi Γ
Γ = ∂ΛM
α, γ, ω1 . (2.2.2)
We show that under the condition (R3) it defines an operator
hϕ, U i := hϕ, L−1 Ri,
{M }, B
which is bounded in X for each ϕ ∈ Da q . The U obtained is a family of
generalized solution operators to (2.0.1).
Comparing this generalized solution with the solution regularized by means
of convolution, i.e., with the K-convoluted semigroup, one can see that the
e in (1.2.18) is played here by the test functions Lϕ for ϕ ∈ Da{Mq }, B .
role of K
Theorem 2.2.1 If the resolvent of A satisfies (R3), then, for any a > 0 and
′
{M }, B
some B = B(a, α, β), there exists U ∈ Da q (L(X )) solving (2.1.8).
Proof. We prove that the equality (2.2.2) defines a bounded operator on X

by the formula
hϕ, U i := hϕ, L−1 Ri, ϕ ∈ Da{Mq }, B .
Let us take a > 0. To begin with, we estimate the behavior of the Laplace
{M }, B
transform of a test function ϕ ∈ Da q :
Z +∞
Lϕ(−λ) = eλt ϕ(t) dt. (2.2.3)
0
{M }, B
The supports of functions of Da q lie in the segment [−a, a]. Integrating
q times by parts, we obtain the estimate
Z Z
(−1)q a λt (q) kϕ(q) kC[−a,a] a Reλ t

|Lϕ(−λ)| = q
e ϕ (t) dt ≤ e dt.
λ 0 |λ|q 0
{Mq }, B
By the definition of the space Da , the inequality (3.3.14)
(q)
kϕ kC[−a,a] ≤ kϕkm Mq (B + 1/m)q ,
holds for every m ∈ N. If m is fixed, multiplying the numerator and the
denominator by γ q , we obtain
Mq γ q (B + 1/m)q a Reλ Mq B1q a Reλ
|Lϕ(−λ)| ≤ Ckϕkm e = Ckϕk m e
M0 |γλ|q M0 |γλ|q
for arbitrary q ∈ N0 and B1 := γ(B + 1/m). Now we can pass to the infimum
with respect to all q ∈ N0 , which, in accordance with the definition of the
associated function (2.2.1), is equal to
Mq B1q
inf = e−M(|γλ|/B1 ) .
q∈N0 M0 |γλ|q
As a result we obtain the estimate
|Lϕ(−λ)| ≤ Ckϕkm ea Reλ−M(|γλ|/B1 ) , λ ∈ C, ϕ ∈ Da{Mq }, B .
On the contour Γ it takes the form

1
a− αB Reλ+ω1 /α
|Lϕ(−λ)| ≤ Ckϕkm e 1 , λ ∈ Γ.
Now we estimate the integral (2.2.2):

Z Z
1
R(λ)Lϕ(−λ) dλ ≤ 1 kR(λ)k|Lϕ(−λ)| · |dλ|.
2πi 2π
Γ Γ
The condition (R3) implies the following estimate of the resolvent on Γ:
kR(λ)kL(X ) ≤ Ceβ(Reλ−ω1 )/α , λ ∈ Γ.
Hence,
Z Z
1 1
βα+a− αB

Reλ

R(λ)Lϕ(−λ) dλ ≤ e ω1 (1−β)/α
C1 kϕkm e 1 |dλ|.
2πi
Γ Γ
For given β, α, and arbitrary a > 0 one can choose B1 in such a way that
β/α + a − 1/αB1 < 0, which provides convergence of the integral in the right-
hand side. As a result, we have the estimate
Z
1
R(λ)Lϕ(−λ) dλ ≤ C2 kϕkm , (2.2.4)
2πi
Γ
which proves that the generalized inverse Laplace transform of the resolvent
satisfying the condition (R3) defines a bounded on X operator hϕ, U i for every
{M }, B
ϕ ∈ Da q . Here B in chosen in the following way. From the inequality
β/α + a − α/B1 < 0 we find B1 and for the chosen and fixed m ∈ N we define
B = B1 /γ − 1/m.
′
{M }, B
Besides, (2.2.4) demonstrates that U = L−1 R ∈ Da q (L(X )), and
by (2.2.3), it follows that hϕ, U i = 0 for ϕ with supports in (−∞, 0]. Hence,
supp U lies in the non-negative semi-axis.4
4 This fact, in contrast to the case of D0′ , we do not reflect in notations of ultra-distribution

{M }, B ′
spaces Da q because of many indexes present here.
2.2. Solutions in spaces of ultra-distributions 57
The proof of equations (2.1.8) is done similarly to their proof in the spaces
of distributions.
′
{M }, B
Now we connect the equalities (2.1.8) in Da q (X ) with the gener-
alized well-posedness of (2.0.1) in this space.
Theorem 2.2.2 Let A be a closed linear operator in a Banach space X .

Then the following statements are equivalent:
(i) the Cauchy problem (1.0.1) is well-posed in the space of ultra-
′
{M }, B
distributions Da q (X );
′
{M }, B
(ii) there exists a generalized family of operators U ∈ Da q (L(X ))
solving (2.1.8).
{Mq }, B
Proof. (i)=⇒(ii). For every ϕ ∈ Da we define
hϕ, U if := hϕ, ui, f ∈ X,

′
{M }, B
where u ∈ Da q (X ) is the solution of a well-posed problem (2.1.7).
Stability of the solution implies
khϕ, U ifn k = khϕ, un ik → 0 as kfn k → 0

{M }, B
uniformly with respect to ϕ in every bounded set in Da q . Therefore,
{M }, B
hϕ, U i ∈ L(X ) for any ϕ ∈ Da q .
′
{M }, B
It follows from the definition of U that U f ∈ Da q (X ) for any
′
{M }, B
f ∈ X . We show that U ∈ Da q (L(X )) with supp U ⊂ [0, ∞), and
{Mq }, B {Mq }, B
that for any sequence ϕn ∈ Da convergent to zero in Da , it holds
that khϕn , U ik → 0.
Consider the set
′
B = {U f : kf k ≤ C} ⊂ Da{Mq }, B (X ).

{M }, B ′
According to the structure theorems, the set B is bounded in Da q (X )
if and only if for any compact set Υ there exist measures uk = uk ∈ C ′ (Υ, X )
satisfying the estimate
kuk kC ′ (Υ,X ) ≤ CB k /Mk (2.2.5)
for any element U f of B and such that

∞
X
Uf = dk uk /dtk .
k=0
Therefore, for each sequence ϕn → 0 and each U f ∈ B, we have

X∞ X ∞
k k (k)
khϕn , U if k = hϕn , D uk i = h(−1) ϕn , uk i

k=0 k=0
∞
X
≤ kuk kC ′ (Υ,X ) kϕ(k)
n kC([−a,a]) .
k=0
Multiplying the numerator and the denominator by an arbitrary number hk

and taking into account (2.2.5), we obtain
∞
X 1 k (k) ∞
X
B k (h + m ) kϕn kC([−a;a])
khϕn , U if k ≤ C1 ≤ C1 hk B k kϕn km
M k hk
k=0 k=0
for each m ∈ N, where kϕkm is defined by (3.3.14):
|ϕ(q) (x)|
kϕkm = sup sup 1 q
.
q∈N0 |x|≤a B+m Mq
Now, setting h = 1/2B, we obtain
khϕn , U if k ≤ 2C1 kϕn km ϕ−→

→0
0, U f ∈ B.
n
This means that hϕn , U i is convergent to zero in L(X ).

One can verify that U satisfies (2.1.8) in the same way as done in the case
of distributions. ′
{M }, B
(ii)=⇒(i). For f ∈ X we consider the element u := U f ∈ Da q (X ).
The first equation in (2.1.8) implies that u is a solution of the problem (2.1.7).
To prove the stability of the solution introduced we show that un → 0 in
′
{M }, B {Mq }, B
Da q (X ) if fn → 0 in X . Again for a bounded set B in Da the
operator hϕ, U i is linear and bounded; therefore,
khϕ, un ik = khϕ, U ifn k ≤ khϕ, U ikL(X ) · kfn k
and there exists m0 ∈N such that U isan element of the space which is dual
{M }, B
to the normed space Da q , k · km0 . Hence,
khϕ, U ikL(X ) ≤ Ckϕkm0 , ϕ ∈ Da{Mq }, B .
Then we have
khϕ, un ik ≤ Ckϕkm0 kfn k = C1 kfn k, ϕ ∈ B,
for all the functions ϕ ∈ B, which proves convergence of khϕ, un ik to zero

uniformly with respect to ϕ ∈ B.
2.3. Differential systems in Gelfand–Shilov spaces 59
Prove that the solution is unique. Suppose v is another solution of (2.1.7);

then we have
′
U ∗ P ∗ v = U ∗ (δ ⊗ f ) = U f = u ∈ Da{Mq }, B (X )
and the second equation in (2.1.8) implies

u = U ∗ P ∗ v = (δ ⊗ I[dom A] ) ∗ v = v.
The inverse to the result of Theorem 2.2.1 is valid [77].

In Part II the results on regularized and generalized (wrt t and wrt x)
solutions to (2.0.1) will be used for construction of corresponding solutions to
stochastic Cauchy problems. In addition, a few more results on generalized
solutions will be available immediately for stochastic problems with A gener-
ating R-semigroups, without preliminary results for the corresponding deter-
ministic ones. Among the problems with the generators of R-semigroups the
important place take the problems with differential operators A = A (i∂/∂x),
whose generalized well-posedness we begin to study in the next section.
2.3 Solutions to the Cauchy problem for differential sys-

tems in Gelfand–Shilov spaces
The present section is devoted to study of the special case, important for
applications, of the abstract Cauchy problem (2.0.1) with A = A (i∂/∂x),5
i.e., the Cauchy problem for the system of differential equations (2.0.2):

∂u(x; t) ∂
= A i u(x; t), t ∈ [0, T ], x ∈ Rn , (2.3.1)
∂t ∂x
u(x; 0) = f (x). (2.3.2)
We obtain generalized solutions u = (u1 , . . . , um ) to the problem in spaces of
distributions Φ′ for initial data f from some other spaces of distributions Ψ′ ,
which are chosen according to the properties of the operator A (i∂/∂x), in
particular for f from L2m (Rn ) := L2 (Rn ) × . . . × L2 (Rn ).
These generalized solutions are obtained via the generalized Fourier trans-
form techniques developed for the systems which are Petrovsky correct, condi-
tionally correct, and incorrect according to the Gelfand–Shilov classification.
These results will be used in Part II in construction of generalized solutions to
stochastic Cauchy problems with A = A (i∂/∂x) proved to be the generator
of an R-semi-group in H = L2m (Rn ).
5 In this section (and in some sections later) we use the designation A (i∂/∂x) for the dif-
ferential operator in order to distinguish the operator symbol from designations of constants
A, B customary in the theory of Gelfand–Shilov generalized functions used here.
2.3.1 The Gelfand–Shilov classification for the Cauchy prob-

lem with differential operators
We consider the Cauchy problem (2.3.1)–(2.3.2), where A (i∂/∂x) is a
matrix operator:
m
∂ ∂
A i = Aj k i , x = (x1 , . . . , xn ) ∈ Rn ,
∂x ∂x j, k=1
∂

Aj k i ∂x are linear differential operators of orders not exceeding p > 0, and
X α
∂ ∂
Aj k i = Cαj,k i , Cαj,k ∈ R, |α| = α1 + · · · + αn ≤ p.
∂x ∂x
For every x ∈ Rn , a solution of (2.3.1)–(2.3.2) is an m-dimensional vector:
u(x; t) = (u1 (x; t), . . . , um (x; t)) ∈ Rm , t ∈ [0, T ].
We begin with some notations and preliminary information on opera-

tors connected with the systems of differential equations on linear topological
spaces.6
Let Φ be the direct product of linear topological spaces Φk , k = 1, m, i.e.,
Φ = Φ1 × . . . × Φm with ordinary operations of addition and multiplication
by a scalar. This implies that the elements ϕ ∈ Φ are m-dimensional vector-
functions: ϕ(x) = (ϕ1 (x), . . . , ϕm (x)) ∈ Cm , x ∈ Rn , with the elements ϕk
belonging to linear scalar topological spaces Φk .
Linear continuous functionals on Φ are defined as vector-valued distribu-
tions f = (f1 , . . . , fm ) ∈ Φ′ with fk ∈ Φ′k , k = 1, m. A functional f acts on a
test function ϕ ∈ Φ as follows:
hϕ, f i = hϕ1 , f1 i + . . . + hϕm , fm i ,
where hϕk , fk i denotes the result of applying a scalar distribution fk ∈ Φ′k to

a scalar test function ϕk ∈ Φk . Multiplication of a distribution by a scalar is
defined as follows:
hϕ, λf i = λ hϕ, f i , λ ∈ C, f ∈ Φ′ , ϕ ∈ Φ.
Now we construct generalized (wrt x) solutions of the Cauchy problem

(2.3.1)–(2.3.2) in spaces of distributions Φ′ for f ∈ Ψ′ which are defined
by the properties of A (i∂/∂x). In contrast to generalized (wrt t) solutions
constructed in the previous section by use of the generalized Laplace trans-
form defined for distributions with supports in [0, ∞), here we use the Fourier
transform techniques in the spaces of test functions ϕ(x), x ∈ Rn , in particular
ϕ(x), x ∈ R [36, 37, 77] (see also Sections 3.3–3.4).
6 For readers, convenience, some useful information on specific topological spaces used as
test function spaces and operators in the spaces is presented in Section 3.3.
Let Φe be a space formed by classical Fourier transforms of functions from Φ

and let fΦ′ denote the space of generalized Fourier transforms of distributions
′
from Φ . The consideration is restricted to the common case of spaces Φ of
test functions
in′ which there exists a one-to-one correspondence between Φ
e
and Φ and Φ e =f Φ′ .
The definition of the generalized Fourier transform of f ∈ Ψ′ denoted by
F [f ], fe, or F f ∈ Ψ
f′ is given by
e F f i := (2π)n hF −1 [ψ],
hψ, e f i, ψe = F ψ ∈ Ψ,
e ψ ∈ Ψ.
It is based on the Parseval equality for the Fourier transform in L2 (Rn ), where
it has the form of equality for scalar products:
hF ϕ, F f i = (2π)n hϕ, f i, f, ϕ ∈ L2 (Rn ).
Let us apply the generalized Fourier transform to the problem (2.3.1)–

f′
(2.3.2) in the spaces Ψ′ and Φ′ and consider solutions to the dual one in Ψ
f
and Φ :′
∂eu(·; t)
hϕ,
e i = hϕ,
e A(·)e u(·; t)i = hA∗ (·)ϕ,
e ue(·; t)i, t ∈ [0, T ],
∂t (2.3.3)
eu
hψ, e fe(·)i,
e(·; 0)i = hψ, e
e ∈ Φ,
ϕ ψe ∈ Ψ.
e
Here the matrix function A(s), s = σ+iτ , defines an operator of multiplication

by the matrix {Ajk (s)}m
j,k=1 , which has polynomials of powers not exceeding
p as its elements and
A∗ (s) = {Akj (s)}m e→Φ

e e′ → Φ
e ′ ).
j,k=1 : Φ (Φ (2.3.4)
Taking into consideration the isomorphism of Φ and Φ e and the isomor-

′ f ′
phism of Φ and Φ , which are carried out by the direct and inverse Fourier
transforms, we go from exploring (2.3.1)–(2.3.2) on Ψ′ , Φ′ to the study of the
f′ , f
Fourier transformed (2.3.3) on Ψ Φ′ with the solution having the form
e(s; t) = etA(s) fe(s),

u t ∈ [0, T ], s = σ + iτ ∈ Cn .
It follows that
h i
u(x; t) = F −1 etA(·) fe(·) (x) = (Gt ∗ f )(x), t ∈ [0, T ], x ∈ Rn , (2.3.5)
where the Green function is defined by

h i
Gt (x) := F −1 etA(·) (x), t ∈ [0, T ], x ∈ Rn . 7
7 Recall that if we write a distribution f as f (s), it means that the distribution is applied
to test functions of variable s. The same applies to the equalities for distributions of type
(2.3.5) written without applying to test functions.
The existence and stability of solutions to (2.3.3) in f Φ′ for fe ∈ Ψf′ hold for
f ′ f ′
those Ψ , Φ , where the solution operators e tA(s)
are bounded as multiplication
∗
operators acting from Ψ f′ to fΦ′ and hence etA (s) , where A∗ (s) is defined by
(2.3.4), are bounded as multiplication operators acting from Φ e to Ψ.
e In this
tA(s) e ′ e ′ tA∗ (s)
case e is called a multiplier from Ψ to Φ and e is a multiplier
from Φ e to Ψ. e The estimates of etA(s) for s = σ + iτ ∈ Cn and especially
for s = σ determine the choice of these spaces. The corresponding solution
u(· ; t) = F −1 [etA(s) fe(s)](·) ∈ Φ′ to the problem (2.3.1)–(2.3.2) exists and is
stable wrt f ∈ Ψ′ .
For etA(s) the following obvious estimates take place:
∞
X tk X ∞ k
t
tA(s) k
e = A (s) ≤ kA(s)kkm
m k! k!
k=0 m k=0
X∞ k
t p
≤ (mC)k |s|kp = emCt|s| .
k!
k=0
The estimates imply that the components of the matrix etA(s) are analytical
functions of s ∈ Cn whose growth orders do not exceed p.
In order to make the estimates more accurate we introduce λ1 (s), . . . ,
λm (s), the roots of the characteristic equation
det (λI − A(s)) = 0, s ∈ Cn ,
which are called characteristic roots of the system (2.3.1). The way the char-
acteristic roots are constructed implies that they are polynomials of powers
not exceeding p. Let
Λ(s) = max Reλk (s), s ∈ Cn .

1≤k≤m
The following significant theorem holds true.

Theorem 2.3.1 [36] For any m × m matrix A(s), s ∈ Cn , with the compo-
nents that are polynomials of powers not exceeding p, the following estimate
holds:

etΛ(s) ≤ etA(s) ≤ C(1 + |s|)p(m−1) etΛ(s) , t ≥ 0, s ∈ Cn . (2.3.6)
m
This theorem implies the following estimate of etA(·) in terms of the re-
duced order p0 :

tA(s) p0
e ≤ C(1 + |s|)p(m−1) eb0 t|s| , b0 ∈ R, t ≥ 0, s ∈ Cn . (2.3.7)
m
A number p0 defined by p0 = inf {ρ : |Λ(s)| ≤ Cρ (1 + |s|)ρ , s ∈ Cn } is called

the exact power growth order of Λ(·) and the reduced order of the system
(2.3.1). It follows from the definition that p0 ≤ p and that the conjugate
system has the same reduced order as the initial system.
The behavior of Λ(·) for real values of the variable underlies distinguishing
of the following classes of systems (2.3.1) in the Gelfand–Shilov classification
[36].
Definition 2.3.1 The system (2.3.1) is called

Petrovsky correct if there exists such a constant C > 0 that
Λ(σ) ≤ C, σ ∈ Rn , (2.3.8)
in particular, the important subclasses of Petrovsky correct systems are:

parabolic systems for which there exist such constants C > 0, h > 0,
C1 > 0 that
Λ(σ) ≤ −C|σ|h + C1 , σ ∈ Rn ;
hyperbolic systems for which p0 ≤ 1, i.e.,
Λ(s) ≤ C1 |s| + C2 , s ∈ Cn ,
and the property (2.3.8) holds;

conditionally correct if there exist such constants C > 0, 0 < h < 1,
C1 > 0 that
Λ(σ) ≤ C|σ|h + C1 , σ ∈ Rn ; (2.3.9)
incorrect if the function Λ(·) grows for real s = σ in the same way as for
the complex ones:
Λ(σ) ≤ C|σ|p0 + C1 , σ ∈ Rn .
Further, following to [36, 77], we first prove the general theorem on the
well-posedness of the Cauchy problem (2.3.3) in spaces Ψ f′ , f
Φ′ (i.e., the theorem
stating that for each fe(·) ∈ Ψ f′ there exists the unique solution u f′
e(·; t) ∈ Φ
e
which is stable wrt f ) and as a consequence we obtain the result on the well-
posedness of the Cauchy problem (2.3.1)–(2.3.2) in the spaces Ψ′ , Φ′ . Then we
introduce more precise results on well-posedness for each type of system in the
Gelfand–Shilov classification. In the study of our main object, the stochastic
problems in Part II, we will use a simpler version of these results for the case
of fe ∈ L2m (R) and hence f ∈ L2m (R).
As mentioned above, the choice of the spaces Ψ f′ , f
Φ′ is based on the esti-
tA(·) tA∗ (·)
mates of e . It follows from (2.3.4) that ke km has the same estimates
as ketA(·) km . To obtain solutions for different estimates corresponding to dif-
ferent classes of A, we will use the conjugate spaces to Sαβ , WM Ω
as well as their
subspaces
Ω,b β,B
WM,a , Sα,A , ...
The spaces are considered in detail in Section 3.3. Test functions from the
spaces decrease exponentially at infinity and the corresponding spaces of

distributions are called distributions of exponential growth. (Actually, these
spaces are used as Ψ′ k and Φ′ k , i.e., coordinate spaces of Ψ′ and Φ′ , but we
do not stress it in notation to avoid overloading.)
Before the estimation of ketA(·) km , we recall some spaces of test func-
tions used as Ψ, Φ: WM and W Ω . Comparing with the well-known spaces of
functions with compact supports D and rapidly decreasing functions S, the
spaces WM (as well as Sα and Sαβ used later) allow us to trace more subtle
exponential decay at infinity.
Let µ and ω be increasing continuous functions on [0, ∞) under conditions
µ(0) = ω(0) = 0 and lim µ(ξ) = lim ω(ξ) = ∞. Let
ξ→∞ ξ→∞
Z x Z x
M (x) := µ(ξ)dξ, Ω(x) := ω(ξ)dξ, x ≥ 0,
0 0
M (−x) := M (x), Ω(−x) := Ω(x).
The space WM consists of all infinitely differentiable functions ϕ satisfying
the condition
|ϕ(q) (x)| ≤ Cq e−M(ax) , x ∈ R,
with some constants Cq = Cq (ϕ), a = a(ϕ). Since M (x) increases as |x| → ∞
faster than any linear function, the functions from WM decrease at infinity
faster than any exponent of type e−a|x|.8 The space W Ω consists of all func-
tions ϕ(z) of the variable z = x + iy ∈ C satisfying the inequality
|z k ϕ(z)| ≤ Ck eΩ(by) , z = x + iy ∈ C,
with some constants Ck = Ck (ϕ), b = b(ϕ). There exists the relation between
spaces WM and W gΩ : they coincide if M and Ω(·) are dual by Young functions.
Ω Ω,b β,B
(In more detail these spaces, as well as WM , WM,a , Sαβ , Sα,A , and some
other spaces of test functions and their dual are presented in Section 3.3.)
Below we formulate the promised results on the well-posedness of the
Cauchy problem limited to the case p0 > 1. (For the case of 0 < p0 ≤ 1,
see, e.g., [36, 37, 77].)
2.3.2 Generalized well-posedness of the Cauchy problem in

Gelfand–Shilov spaces
Theorem 2.3.2 Let the reduced order of the system (2.3.1) be p0 > 1 and
let the matrix exponent etA(·) satisfy (2.3.7). Consider a > 0, b > 0, and
∗
θ < a. Then for each t ∈ [0, T ] the matrix exponent etA (·) defines a bounded
p0
multiplication operator from WM,aΩ,b Ω,b+θ
to WM,a−θ , where M (x) = Ω(x) = |x|p0 ,
x ∈ R, and T = T (p0 ; q; θ).
8 Note that M in the notations of W
M has different growth as x → ∞ comparing with
M in (2.2.1). For simplicity, further on we will mainly work with the case of n = 1, i.e.,
x ∈ R.
Proof. We begin by noting that for q > 0, p0 > 1 and for an arbitrary θ > 0
there exists such T > 0 that
1 p0 −p0
qT < θ 2 . (2.3.10)
p0
This is indeed the case since for each a > 0 and x > 1 there always exists 0 <
x p
C < ax that implies the inequality Cx < ax . In other words, (qT )p0 < (θ/2) 0
for p0 > 1. Therefore, (2.3.10) implies the existence of a constant C1 > 0 such
that (2.3.7) results in

tA(s) p0 1 p0 −p0
θ 2 |s|p0
e ≤ C(1 + |s|)p(m−1) eqT |s| ≤ C1 e p0 .
m
Applying the estimate of binomial coefficients
|s|p0 = |σ + iτ |p0 = (σ 2 + τ 2 )p0 /2 ≤ (|σ|p0 + |τ |p0 )2p0 ,
we obtain ∗ (θ|σ|)p0 p0
tA (s) + (θ|τp|)
e = etA(s) ≤ C1 e p0 0 . (2.3.11)
m m
p0
Let us take M (x) = Ω(x) = |x|p0 , x ∈ R, and consider the space WM,a
Ω,b
consisting of entire functions ψ satisfying the condition
|ψ(σ + iτ )|m ≤ Ce−M(āσ)+Ω(b̄τ ) ,
for all ā < a, b̄ > b. According to (3.3.19), each entire function f satisfying
|f (σ + iτ )|m ≤ CeM(a1 σ)+Ω(b1 τ )

Ω,b Ω,b+b1
defines a bounded multiplication operator acting from WM,a to WM,a−a 1
for
∗
tA (s) n
a1 < a and b1 > 0. Thus the matrix e , s ∈ C , satisfying
∗
tA (s)
e ≤ C1 eM(θσ)+Ω(θτ ) ,
m
Ω,b Ω,b+θ
defines a bounded multiplication operator acting from WM,a to WM,a−θ for
all b > 0 and 0 < θ < a.
Now it is easy to complete the proof. Let us take an arbitrary a > 0
and choose 0 < θ < a. For the chosen θ and p0 > 1, q > 0 given, we can
find T = T (p0 ; q; θ) in such a way that the inequalities (2.3.10) and (2.3.11)
∗
hold. Hence etA (s) defines a bounded multiplication operator acting from
e = W Ω,b to Ψ
Φ e = W Ω,b+θ for all t ∈ [0, T ].
M,a M,a−θ
As a consequence, we obtain the existence of solution operators for (2.3.3)

′ ′ ′ ′
from Ψe = W Ω,b+θ to Φ e = W Ω,b .
M,a−θ M,a
Taking into account the fact that the uniqueness of the solution to the
Cauchy problem with operator A∗ (·) holds in the spaces obtained [36], we see
that Theorem 2.3.2 implies well-posedness of the Cauchy problem with A∗ (·)
e = W Ω,b to Ψ
from Φ e = W Ω,b+θ . It follows the generalized well-posedness of
M,a M,a−θ
Ω,b+θ ′ Ω,b ′
(2.3.3) from (WM,a−θ ) to (WM,a ).
Now we point out such spaces Φ′ , Ψ′ that there exists a generalized solution
u(· ; t) ∈ Φ′ of the Cauchy problem (2.3.1)–(2.3.2) for f (·) ∈ Ψ′ .
In order to define these spaces we apply the generalized Fourier trans-
form to the problem. Then the problem (2.3.1)–(2.3.2) turns into the problem
(2.3.3). The operator of multiplication by a matrix exponent etA(·) solves this
problem. It means that the solution of (2.3.3) has the form u e(·; t) = etA(·) fe(·)
and exists in spaces Φ e,Ψ
′ e such that e
′ tA(·)
defines a bounded multiplication
operator from Ψ e ′ or, equivalently, etA∗ (·) defines a bounded multiplica-
e ′ to Φ
tion operator from Φ e to Ψ;e the generalized solution of the Cauchy problem
(2.3.1)–(2.3.2) has the form (2.3.5):
u(· ; t) = (Gt ∗ f )(·), t ∈ [0, T ], Gt (·) = F −1 [etA(s) ](·). (2.3.12)
Thus the problem of constructing a solution to the problem (2.3.1)–(2.3.2)

e ′, Φ
turns into the problem of choosing a pair of spaces Ψ e ′ , where etA(·) defines
a bounded multiplication operator. Namely, the following theorem holds.
Theorem 2.3.3 Suppose the function etA(·) defines a bounded multiplication

operator acting on Ψ f′ to f
Φ′ . Then for any f ∈ Ψ′ the distribution (2.3.12)
is the generalized solution of (2.3.1)–(2.3.2) belonging to Φ′ . In addition, if
fn → 0 in Ψ′ , then the corresponding sequence of solutions un (· ; t) → 0 in Φ′
for any t ∈ [0, T ].
It follows from Theorem 2.3.2 that the spaces Ψ and Φ can be taken such
that Φe = W Ω,b and Ψ e = W Ω,b+θ . (For spaces dual to W Ω, β wrt the Fourier
M,a M,a−θ M,a
transform see below and Section 3.4).
Now we present more special results for Petrovsky correct, conditionally
correct, and incorrect systems.
For Petrovsky correct systems, according to (2.3.6) and (2.3.8), the
following estimate holds:

tA(σ)
e ≤ C(1 + |σ|)h , t ≥ 0, σ ∈ Rn , (2.3.13)
m
where h is the minimal natural number l, providing the inequality

tA(σ)
e ≤ C(1 + |σ|)l , t ≥ 0, σ ∈ Rn , i.e., h ≤ p(m − 1).
m
If an entire function satisfies (2.3.7) for each s ∈ Cn , then, according to

Theorem 3.4.6, the estimate (2.3.13) can be extended to a certain neighbor-
hood of real values s = σ. Namely, there exists a region
Hµ = {s = σ + iτ : |τ | ≤ c(1 + |σ|)µ } , 1 − p0 ≤ µ ≤ 1, c = c(b1 , h),

where
tA(s)
e ≤ C(1 + |σ|)h , t ≥ 0, s ∈ Hµ . (2.3.14)
m
Suppose that p0 > 1; then µ determining Hµ can be either positive or negative.
a. If 0 < µ ≤ 1, then, by Theorem 3.4.8, the inequalities (2.3.7) and (2.3.14)
imply that the matrix exponent satisfies the inequality

tA(s) p0 /µ
e ≤ C(1 + |σ|)h ebt|τ | , t ≥ 0, s = σ + iτ, b = b(b1 , h, c).
m
Hence, for each t ∈ [0, T ], we have

tA(s) p0 /µ
e ≤ C(1 + |σ|)h ebT |τ | , s = σ + iτ.
m
Applying the substitute

µ/p0
ρp0 /µ bT p0
bT = ⇐⇒ ρ= ,
p0 /µ µ
we obtain

tA(s) (ρ|τ |)p0 /µ µρp0 /µ
e ≤ C(1+|σ|)h exp , t ∈ [0, T ], T = , s = σ+iτ.
m p0 /µ bp0
|τ |p0 /µ
Introducing Ω(τ ) = p0 /µ , τ ∈ Rn , we turn the latter inequality into

tA(s)
e ≤ C(1 + |σ|)h eΩ(ρτ ) , t ∈ [0, T ], s = σ + iτ. (2.3.15)
m
Let us take an arbitrary β = (β1 , . . . , βn ) with βj > 0 and consider the

spaces W Ω, β , W Ω, β+ρ where ρ = (ρ1 , . . . , ρn ), ρj > 0. From (2.3.15) it follows
∗
that etA (·) defines a bounded multiplication operator (multiplier) acting from
′ ′
W Ω, β to W Ω, β+ρ and, respectively, etA(·) from W Ω, β+ρ to W Ω, β .
The space W f Ω, β is equal to WM, 1/β , where M is the Young dual to Ω.
|τ |p0 /µ
For the introduced function Ω(τ ) = p0 /µ , τ ∈ Rn
|x|p1 1 1
M (x) = , x ∈ Rn , where + = 1.
p1 p1 p0 /µ
Therefore, Gt (·) in (2.3.12) defines a continuous convolution operator (convo-

′ ′
lutor) acting from WM, 1/(β+ρ) to WM, 1/β . According to Theorem 2.3.3,
′
this implies that for each f ∈ WM, 1/(β+ρ) there exists a generalized solu-
′
tion u(·, t) ∈ WM, 1/β of (2.3.1)–(2.3.2) in the case of a Petrovsky correct
system and p0 > 1.
Since the elements of the space S ′ are known as distributions of slow growth
and the elements of D′ are known as distributions of arbitrary growth, the
′ ′
elements of (WM ) (and of its subspaces (WM, a ) ) are called the distributions
p1
of exponential growth. Given the function M (x) = |x|p1 , x ∈ Rn , we obtain
u(·; t) in spaces of distributions of exponential growth of order p1 = p0p−µ 0
.
b. Now consider the case of 1 − p0 ≤ µ ≤ 0. According to Theorem 3.4.11,
the condition (2.3.14) on Hµ for µ ≤ 0 implies that the estimates
q
∂
tA(σ) h−µ|q|
t ≥ 0, q = (q1 , . . . , qn ), qj ∈ N,
∂σ e ≤ Cq (1 + |σ|) ,
m
hold for real values of s = σ. According to the condition (3.3.18), this inequal-
ity shows that etA(·) generates a bounded multiplication operator on S and
hence on S ′ . This means that Gt (·) is a convolutor on S ′ .
According to Theorem 2.3.3, for each f ∈ S ′ there exists a generalized so-
lution u(·, t) ∈ S ′ of (2.3.1)–(2.3.2) defined by (2.3.12). Hence the generalized
solution of the Cauchy problem (2.3.1)–(2.3.2) is a distribution of slow growth
in the case of a Petrovsky correct system and 1 − p0 ≤ µ ≤ 0.
For conditionally correct systems, according to (2.3.6) and (2.3.9), the
following estimate holds:

tA(σ) h
e ≤ Cea0 t|σ| , a0 > 0, t ≥ 0, σ ∈ Rn , 0 < h < 1, (2.3.16)
m
for the real values of s = σ. According to Theorem 3.4.5, under the condition
(2.3.7) the estimate (2.3.16) can be extended to a certain neighborhood of the
real values of s = σ. Namely, for each a1 > a0 there exists a region
Hµ = {s = σ + iτ : |τ | ≤ c(1 + |σ|)µ } , 1 − (p0 − h) ≤ µ ≤ 1,
with c = c(b1 ; a0 ; a1 ), where

tA(s) h
e ≤ Cea1 t|σ| , t ≥ 0, a1 > a0 , s ∈ Hµ . (2.3.17)
m
Due to h < 1 ≤ p0 , the number µ determining Hµ may turn out to be either

positive or negative.
a. If 0 < µ ≤ 1, then, according to Theorem 3.4.7, the inequalities (2.3.7)
and (2.3.17) imply that the matrix exponent satisfies the condition

tA(s) h p0 /µ
e ≤ Cea1 t|σ| +bt|τ | , t ≥ 0, s = σ + iτ, b = b(b1 ; a1 ; c).
m
Hence, supposing t ∈ [0, T ] for all a1 T = η, bT = ρ, we obtain

tA(s) h p0 /µ h p0 /µ
e ≤ Cea1 T |σ| +bT |τ | = eη|σ| +ρ|τ | , s = σ + iτ.
m
Since h ≤ p0 /µ, in this case Theorem 3.4.9 provides the following estimates
for the derivatives on the real axis:
q
∂ |q| |q|(1− pµ ) a2 |σ|h
tA(σ)
∂σ e ≤ CB0 |q| 0 e , a2 > a1 .
m
Suppose α = 1/h, β = 1 − µ/p0 . Let us take arbitrary B > 0 and a > a2 .

∗
Then the inequality (3.3.17) is true. The estimates obtained imply that etA (·)
β, B β, B+B0
defines a multiplier from Sα, A to Sα, A1 with
A = (h e a)−1/h , A1 = (h e (a − a2 ))−1/h
′ ′
β, B+B0 β, B
and etA(·) defines a multiplier from Sα, A1 to Sα, A . Therefore,
′
α, A1
Gt (·) defines a continuous convolution operator acting from Sβ, B+B0 to
′
α, A
Sβ, B .
′
α, A1
It follows from Theorem 2.3.3 that for each f ∈ Sβ, B+B0 there exists
′
α, A
a generalized solution u(· ; t) ∈ Sβ, B defined by (2.3.12). Therefore, in the
case of conditionally correct systems and 0 < µ ≤ 1 the generalized solution of
the Cauchy problem (2.3.1)–(2.3.2) is a distribution increasing exponentially
with order p1 = p0p−µ 0
for p0 > µ and with arbitrary order for p0 = µ.
b. Let us now consider the case of 1 − p0 ≤ µ ≤ 0.
Due to Theorem 3.4.10, it follows from (2.3.17), which holds true on Hµ
with µ ≤ 0, that there exists such B0 = B0 (a1 ; µ) that for the real values of
s = σ the following estimates hold:
q
∂ |q| |q|(1− µ h
tA(σ) h ) ea2 t|σ| ,
∂σ e ≤ CB0 |q| t ≥ 0, a2 > a1 .
m
Hence, supposing a2 T = ρ, we obtain
q
∂ |q| |q|(1− µ h
tA(σ) h ) eρ|σ| , σ ∈ Rn ,
∂σ e ≤ CB0 |q| t ∈ [0, T ],
m
1
for all t ∈ [0, T ]. Let us take a > ρ and B > 0. Suppose A = (h e a) 1/h and
α = 1/h, β = (1−µ)/h. Then, according to (3.3.17), this inequality shows that

∗ β,B
the exponent etA (·) generates a bounded multiplication operator from Sα,
A′
β,B+B0 1/h tA∗ (·) β,B+B0
to Sα, A1 with A1 = (1/h e (a − ρ)) and hence e from Sα, A1
′ ′
β,B α, A1
to Sα, A . It follows that Gt (·) is a convolutor acting from S β,B+B0 to
′
α, A
Sβ,B .
′
α, A1
It follows from Theorem 2.3.3 that for each f ∈ Sβ, B+B0 there exists
′
α, A
a generalized solution u(· ; t) ∈ Sβ, B defined by (2.3.12). Therefore, in
this case the generalized solution of the Cauchy problem (2.3.1)–(2.3.2) is a
distribution increasing exponentially with order 1/β = h/(h − µ).
An incorrect system satisfies (2.3.7) in the whole complex plane; there-
fore, denoting a = (b1 T )1/p0 , we obtain

tA(s) p0 p0
e ≤ Ceb1 T |s| = Ce(a|s|) , s ∈ Cn , (2.3.18)
m
for t ∈ [0, T ]. Such etA(·) generates a functional in D′ , hence its generalized

inverse Fourier transform Gt (·) ∈ Z ′ . In addition, for incorrect systems we
can use the general results obtained in Theorems 2.3.2–2.3.3 and consider the
generalized inverse Fourier transform Gt (·) as a convolutor acting from Ψ′ to
Φ′ , where Φe = W Ω,b and Ψ e = W Ω,b+θ with M (x) = Ω(x) = |x|p0 /p0 , x ∈ R.
M,a M,a−θ
The spaces constructed for Petrovsky correct, conditionally correct, and
incorrect systems, as in the general case of the systems, provide uniqueness of
a solution to the Cauchy problem (2.3.1)–(2.3.2) [36]. Therefore, the results
obtained are the results on the generalized well-posedness of (2.3.1)–(2.3.2) in
corresponding spaces Φ′ , Ψ′ .
Now we can prove results on the well-posedness of the Cauchy problem
(2.3.3) for the important special case Ψ f′ = L2m (R) := L2 (R) × . . . × L2 (R)
and hence on the well-posedness of the Cauchy problem (2.3.1)–(2.3.2) for the
case Ψ′ = L2m (R).9
Theorem 2.3.4 Let the matrix-function etA(·) satisfy the estimate (2.3.7).
Then, for a Petrovsky correct system etA(·) defines a multiplier from Ψ e′ =
2 e ′ ′
Lm (R) to Φ = Sm . For a conditionally correct system it defines a multiplier
from Ψ e ′ = L2m (R) to Φ e ′ = (Sα,A )′ with α = 1 , and 1 h > a0 , where
m h heA
the constants a0 , h are from the estimate (2.3.16). For an incorrect system
it defines a multiplier from Ψ e ′ = (Sα,A )′ with α = 1 ,
e ′ = L2 (R) to Φ
m m p0
1
p
p0 e A 0 > b 1 , where b ,
1 0p are from (2.3.18).
∗
Proof. For a Petrovsky correct system etA(·) and etA (·) satisfy the estimate
∗
tA(σ)
e = etA (σ) ≤ C(1 + |σ|)h , t ≥ 0, σ ∈ R.
m m
∗
e ∈ Sm := S × ... × S we have etA
It follows that for ϕ (·)
e ∈ Sm and for
ϕ
e 2
f ∈ Lm (R) we have
∗
hϕ(·),
e e(·, t)i = hetA
u (σ)
ϕ(σ),
e fe(σ)i.
Hence, the generalized solution to (2.3.3) ue(·, t) = etA(·) fe(·) ∈ Φ

e = Sm
′
for
any t ∈ [0, T ].
∗
For a conditionally correct system the operator-matrixes etA(·) and etA (·)
satisfy the estimate (2.3.16):
∗
tA(σ) h
e = etA (σ) ≤ Cea0 t|σ| , h < 1, a0 > 0, t ≥ 0, σ ∈ R.
m m
e = (Sα,A ) with specially chosen α

We show that in this case one can take Φ m
9 Note that in contrast to the notations above, where we did not stress that all the spaces
of test and generalized functions are actually spaces of vector-functions, we will further
denote by L2m (R) (Sm , . . . ) the space of all vector-functions f : t 7→ (f1 (t), . . . , fm (t)),
where fi ∈ L2 (R) (fi ∈ S(R), . . . ). We will use the results in these notations for stochastic
equations in Part II.
and A. By the definition of (Sα,A ) (α ≥ 0, A > 0), the space consists of all
infinitely differentiable functions ϕ
e satisfying the inequalities
|xk ϕ(x)|
e ≤ Cε (ϕ)(A
e + ε)k k kα , k ∈ N0 , x ∈ R,
for any ε > 0. Equivalently, by the structure theorem, it consists of all func-
tions satisfying the inequalities
1/α α
|ϕ(x)|
e e −(a−ρ)|x|
≤ Cρ (ϕ)e , x ∈ R, a= ,
e A1/α
for any ρ > 0.
As shown above, while studying conditionally correctαsystems, for ϕ e ∈
tA∗ (·)
Sα,A we have e e ∈ (Sα,A1 ), where A1 = e (a−a0 ) . Hence, for fe ∈
ϕ α
L2m (R) ⊂ (Sα,A1 )′m the generalized solution ue(·, t) = etA(·) fe(·) ∈ (Sα,A )′m ,
where α = 1/h and A is taken such that a = h e1Ah > a0 .
The similar proof is true for incorrect systems. Here we deal with Φ e′ =
′ 1 1
(Sα,A )m , where α = p0 and p0 e Ap0 > b1 , the constants b1 , p0 are from the
estimate (2.3.18).
As a consequence of these results we obtain results on the well-posedness
of (2.3.1)–(2.3.2) for initial data from L2m (R).
Theorem 2.3.5 Suppose the matrix-function etA(·) satisfies the estimate

(2.3.7). Then, for a Petrovsky correct system, a unique stable solution of
(2.3.1)–(2.3.2) with f ∈ L2m (R) exists and belongs to Φ′ = Sm ′
; for a
′ α,A
′
conditionally correct system, u(·, t) ∈ Φ = S m
with α = 1/h and
1
heA h > a 0 , where the constants a 0 , h are from (2.3.16); for an incorrect
′

α,A ′ 1
system, u(·, t) ∈ Φ = S m
with α = 1/p0 , p0 e Ap0 > b1 , where b1 , p0 are
from (2.3.18).
It is important to note that the spaces obtained in Theorems 2.3.4–2.3.5,

by taking into account the behavior of etA(·) only on the real axis, turned out
to be ordered wrt the behavior of etA(·) on R, while the more subtle results
taking into account the behavior of etA(·) in different regions of a complex
plane do not.
2.3.3 Regularization of solutions in a broad sense

In conclusion of Chapters 1 and 2, let us sum up the methods and ap-
proaches used in the study of solutions to the problems (I.2) and (I.3). We
show that, generally, all of the methods are based on constructing regularized
solutions. Regularization is understood here in a broad sense. This means
constructing corrected (smoothed) solutions, which generally are not approx-
imated solutions. (Approximate solutions are those constructed by virtue of
regularizing operators.)
Let us discuss the ideas of regularization used in solving the Cauchy prob-
lem for homogeneous equations in more detail. The abstract Laplace and
Fourier transforms play an important role in constructing solutions to the
Cauchy problems (I.2) and (I.3). Application of the Laplace transform to
(I.2) turns it into the equation
(λI − A)e
u(λ) = f, λ ∈ ρ(A).
As a result the solution operators U (t), t ≥ 0, of the problem become equal to

the inverse Laplace transform of R(λ) = (λI − A)−1 , the resolvent of A:
u(t) = U (t)f = L−1 [R(·)f ](t), t ≥ 0. (2.3.19)
The solution operators generally are not defined on the whole X . We show that
the regularization used within semi-group methods, namely, in construction
of K-convoluted (in the particular case, integrated) semigroups {SK (t), t ∈
e
[0, τ )}, is performed by multiplying the resolvent in (2.3.19) by a function K.
This function allows us to obtain the regularized solution:
e
uK (t) = SK (t)f = L−1 [KR](t)f = (U ∗ K)(t)f, t ∈ [0, τ ), f ∈ X . (2.3.20)
In the case of R-semigroups {SR (t), t ∈ [0, τ )} the regularization is performed

by smoothing (λI − A)−1 f by the operator R :

uR = SR (t)f = L−1 (λI − A)−1 Rf (t), t ∈ [0, τ ), f ∈ X , (2.3.21)
where (λI − A)−1 usually is not the resolvent in the case of R-semigroups.
The methods of abstract distributions provide the regularization by ap-
plying (unbounded) solution operators to test functions ϕ, which allows con-
structing a generalized solution to (I.2) as the generalized inverse Laplace
transform:

hϕ, ui = hϕ, U f i = ϕ, L−1 [Rf ] := ϕ(−λ),
e R(λ)f , f ∈ X,
where ϕ ∈ D in the case of integrated semigroups and ϕ ∈ D{Mq } in the case

of K-convoluted semigroups. Here, instead of the decreasing function K e in
(2.3.20), test functions ϕ play the role of “regularizing factors”.
In solving the problem (I.3) by the Fourier transform method, the regu-
larization is absolutely analogous to the regularization (2.3.20) and (2.3.21).
Here there are also two possible variants of regularization. The first one is
multiplication of etA(σ) , σ ∈ Rn , the solution operators to (2.3.3), by a certain
regularizing function K(σ). This gives rise to an R-semi-group with R defined
as
Rf (x) = (F −1 [K] ∗ f )(x), x ∈ Rn .
Such R-semi-groups are constructed and used for solving stochastic problems
in Section 5.1. The second variant is applying etA(·) to test functions ϕ(·)
e in
the construction of generalized solutions. In this case again a space of test
functions is chosen according to the growth rate of etA(σ) as σ → ∞ in such

a way that etA(·) defines a bounded multiplication operator in the space.
While studying stochastic problems in Part II we will see that the same
ideas work in the regularization of Wiener processes and solutions by a trace
class operator Q as well as in the construction of generalized solutions to
stochastic problems in different spaces of distributions.
Taylor & Francis
Chapter 3
Examples. Supplements
3.1 Examples of regularized semi-groups and their gen-

erators
Example 3.1.1 of an operator which depends on a parameter γ and gener-
ates a C0 -semi-group, an integrated semi-group, a semi-group of growth order
α, or an R-semi-group in dependence on the value of γ.
Let X = Lp (R) × Lp (R), 1 ≤ p < ∞, be the space of vector-functions

f (·) = (f1 (·), f2 (·)) with the norm kf k = kf1 kp + kf2kp . Consider the operator
A of multiplication by the matrix

−h 0
, (3.1.1)
−g −h
where
h(x) = 1 + x2 , g(x) = x2γ , x ∈ R, γ ≥ 0,
p
with dom A = {f ∈ X : hf1 , gf1 + hf2 ∈ L (R)} .
Note that this matrix can be obtained as the Fourier transform of a class
of differential systems depending on a parameter, in particular, fractional dif-
ferential systems (see Example 3.2.4).
We construct the operator-function
t2 A2 tn An
U (t) = eAt = I + tA + + ...+ + ..., t ≥ 0,
2! n!
formally. The corresponding matrix-function calculated by components has
the form
2 1 0
e−t(1+x ) , t ≥ 0, x ∈ R.
−tx2γ 1
Let us investigate whether the operators obtained are bounded. To do this
we calculate the norm of U (t):
n 2 2
o
kU (t)kL(X ) = max max e−t(1+x ) ; max t|x|2γ e−t(1+x ) .
x∈R x∈R
75
76 3. Examples. Supplements
The maximum value of the first function is evidently

p achieved at x = 0. The
extreme points of the second function are ± γt , t > 0. Hence, we obtain

kU (t)k = max e−t ; γ γ t1−γ e−t−γ . (3.1.2)
For the norms of the operators with γ = 0, we have

−t
e , 0 ≤ t ≤ 1,
kU (t)k = max e−t , te−t =
te−t , t > 1.
If γ = 1, we obtain

kU (t)k = max e−t ; e−t−1 = e−t , t ≥ 0.
6 1,
In order to find the maximum of two functions in (3.1.2) with γ > 0, γ =
we solve the inequality
γ
γ 1−γ −γ 1−γ e
γ t e <1 ⇐⇒ t < . (3.1.3)
γ
γ/1−γ
e
If we denote tγ := γ , then the solutions of (3.1.3) have the form
t < tγ , for 0 < γ < 1, t > tγ , for γ > 1.
Therefore, if 0 < γ < 1 and t ≤ tγ , then the first argument is maximal, and if
t > tγ , then the second one is maximal. For γ > 1, it is vice versa.
To sum up, we have obtained, in the case of 0 < γ < 1,
−t
−t γ 1−γ −t−γ e , 0 ≤ t ≤ tγ ,
kU (t)k = max e ; γ t e =
γ γ t1−γ e−t−γ , t > tγ ,
and in the case of γ > 1, we have

 −t
 e γ ,1−γ −t−γ t = 0,
kU (t)k = max e−t ; γ γ t1−γ e−t−γ = γ t e , 0 < t ≤ tγ ,
 −t
e , t > tγ .
(3.1.4)
This means that, if 0 ≤ γ ≤ 1, then the operators U (t) are bounded on the
whole semi-axis t ≥ 0: the norm of U (t) is equal to e−t for every 0 ≤ γ ≤ 1
and for sufficiently small t; for t → ∞, the norm of U (t) is equal to e−t in the
case of γ = 1, to te−t in the case of γ = 0, and to t1−γ e−t−γ in the case of
0 < γ < 1; therefore, it is bounded.
Thus, if 0 ≤ γ ≤ 1, we have obtained a family of linear bounded operators.
1
In the case of γ > 1 the norms of U (t) increase proportionally to tγ−1
as t → 0. Hence the family of operators {U (t), t ≥ 0} is unbounded in a
neighborhood of t = 0 for such γ.
1. Let us show that for 0 ≤ γ ≤ 1 the constructed family {U (t), t ≥ 0} of
bounded operators forms a C0 -semi-group.
3.1. Examples of regularized semi-groups 77
The semi-group property follows from the corresponding equality for ma-
trices:

−t(1+x2 ) 1 0 −τ (1+x2 ) 1 0
e e =
−tx2γ 1 −τ x2γ 1

−(t+τ )(1+x2 ) 1 0
=e .
−(t + τ )x2γ 1
The strong continuity of the family can be easily checked directly. We investi-
gate the existence and behavior of the resolvent of A as well as its derivatives.
We have

dk −1 (−1)k k! λ+h 0
(λI − A) = , k ∈ N0 ,
dλk (λ + h)k+2 −(k + 1)g λ + h
To check the conditions of the MFPHY theorem we estimate the norm of these
derivatives for arbitrary f ∈ X :

1 dk
· −1 −k−1
k! dλk (λI − A) f ≤ (λ + h) f1 p

+ (k + 1)(λ + h)−k−2 gf1 p + (λ + h)−k−1 f2 p .
If λ > 0 and i = 1, 2, we obtain the following estimates for the first and the
last terms:
Z ∞ 1/p
|fi (x)|p 1
(λ + h)−k−1 fi = dx ≤ k+1 kfi kp . (3.1.5)
p |λ + 1 + x2 |(k+1)p λ
−∞
Let us estimate the second term:

Z ∞ 1/p
(k + 1)p |x|2pγ
(k + 1)(λ + h)−k−2 gf1 = · |f 1 (x)| p
dx
p 2 (k+2)p
−∞ |λ + 1 + x |
Z ∞ 1/p
(k + 1)p |x|2pγ p
= · · |f 1 (x)| dx
−∞ |λ + 1 + x2 |(k+1)p |λ + 1 + x2 |p
Z ∞ !1/p
1 (k + 1)p |x|2pγ
= ·
1+x2 (k+1)p |λ + 1 + x2 |p
· |f1 (x)|p dx .
|λ|k+1 −∞ |1 + λ |
Note that
k+1 λ
1+x2 k+1
≤ , x ∈ R, λ > 0. (3.1.6)
(1 + λ )
1 + x2
This is indeed the case since the inequality
ny ≤ 1 + ny ≤ (1 + y)n , y > −1, n ∈ N,

is easy to prove by the Taylor expansion of the right-hand side. The change
2
of n by k + 1 and y by 1+x
|λ| yields (3.1.6). Then, for λ > 0, we have

(k + 1)(λ + h)−k−2 gf1
p
Z ∞ 1/p
1 λp |x|2pγ p
≤ k+1 ·
2 p (λ + 1 + x2 )p
· |f1 (x)| dx
λ −∞ (1 + x )
Z ∞ !1/p
1 λp |x|2pγ p
= k+1 2 p
· 2 p
· |f1 (x)| dx . (3.1.7)
λ −∞ (1 + x ) λp 1 + 1+xλ
Further, for every x ∈ R, the estimates
|x|2γ 1
≤ 1, as γ ∈ [0, 1], 1+x2
≤ 1, as λ > 0,
1 + x2 1+ λ
hold true. Therefore,

Z ∞ 1/p
1 1
(k + 1)(λ + h)−k−2 gf1 ≤ p
|f1 (x)| dx = kf1 kp .
p λk+1 λk+1
−∞
Finally, we obtain

1 dk 1 1 1
· − −1
k! dλk (λI A) f ≤ λk+1 kf1 kp + λk+1 kf1 kp + λk+1 kf2 kp
2
≤ k+1 kf k, k ∈ N ∪ {0},
λ
for λ > 0 and 0 ≤ γ ≤ 1. This estimate implies that for 0 ≤ γ ≤ 1 the operator
(λI − A)−1 is the resolvent of A and satisfies the MFPHY condition.
Thus, for 0 ≤ γ ≤ 1, the family of operators {U (t), t ≥ 0} forms the
C0 -semi-group.
2. Now let us consider the values γ > 1. In this case, as seen from the
estimates obtained the MFPHY condition is not true for (λI − A)−1 . How-
ever, this operator is bounded for 1 < γ ≤ 2. Indeed, the estimate (3.1.5) is
independent on γ. The estimate (3.1.7) also does not depend on γ and in the
case of k = 0 we have
Z ∞ 1/p
λp |x|2pγ
(λ + h)−2 gf1 ≤ 1 · · |f 1 (x)| p
dx .
p λ 2 p (λ + 1 + x2 )p
−∞ (1 + x )
(3.1.8)
The function under the integral sign with γ ≤ 2 satisfies the estimates
|x|γ |x|γ
≤ 1, ≤ 1, as λ > 0,
1 + x2 (λ + 1 + x2 )p
for each x ∈ R; therefore,

Z ∞ 1/p

(λ + h)−2 gf1 ≤ |f1 (x)| dx p
= kf1 kp .
p
−∞
Thus we obtain the estimate

(λI − A)−1 f ≤ 1 kf1 kp + kf1 kp + 1 kf2 kp ≤ 2kf k, λ > 0, 1 < γ ≤ 2.
λ λ
Let us emphasize that the condition (3.1.8) implies the operator (λI − A)−1
to be unbounded for γ > 2; therefore, the resolvent of A exists for γ ≤ 2 only.
As noted in the case of γ > 1, the relation (3.1.4) implies that the family
{U (t), t ≥ 0} has a peculiarity of the kind
kU (t)k = O(t1−γ ) as t → 0. (3.1.9)
If, in addition, γ < 2, then the peculiarity is integrable. We show that in the
case of 1 < γ < 2 the operator A generates a one-time integrated semi-group.
Consider a family of primitives of {U (t), t ≥ 0}, i.e.,
Z t
1 1 − e−ht 0
S1 (t) = U (s) ds = , t ≥ 0.
0 h tge−ht − (1 − e−ht )g/h 1 − e−ht
These operators are bounded:
Z t Z tγ Z t
kS1 (t)k ≤ kU (s)k ds ≤ γ γ s1−γ e−s−γ ds + e−s ds
0 0 tγ
Z tγ
= γ γ e−ξ−γ s1−γ ds + e−tγ − e−t
0
2−γ
t
γ −γ γ
≤ γ e + e−tγ − e−t ≤ C.
2−γ
The same reason implies that the family constructed is exponentially bounded
(with ω = 0). Further, the operators S1 (t), t ≥ 0, being primitives of the
family {U (t), t ≥ 0} that possesses the semi-group property, satisfy the con-
dition (Sn 1) of Definition 1.2.1 with n = 1. Finally, it is easy to see that the
operator-function S1 (·) is strongly continuous wrt t ≥ 0. Therefore, the family
{S1 (t), t ≥ 0} with 1 < γ < 2 satisfies all conditions of Definition 1.2.1 of an
We show that A is the generator of this semi-group. Indeed, the matrix
!−1
1 f
λ+h − (λ+h) 2 −h 0
λI − 1 =
0 λ+h
−g −h
corresponds to the operator

Z ∞ −1
λI − R(λ)−1 = λI − λe−λt S1 (t) dt .
0
Hence, in accordance with Definition 1.2.2, A is the generator of the con-

structed family.
3. Let us show that for the case γ > 1 the relation (3.1.9) implies
S the values
ktα U (t)k are bounded as t → 0 for any α ≥ γ − 1. The set X0 := t>0 U (t)(X )
is dense in X due to the property of any operator U (t) with t > 0 to map a
set dense in X into a dense set. In addition, it follows from the construction of
operators U (t), t ≥ 0, that this family is non-degenerate: if U (t)f = 0 for each
t ≥ 0, then f = 0. Therefore, the conditions of Definition 1.1.6 of a semi-group
of growth order α hold and for each γ > 1 the operator family {U (t), t ≥ 0}
forms a semi-group of growth order α ≥ γ − 1.
Then, according to Theorem 1.2.18, the operator A generates an R-semi-
group with R = (λI−A)−n , n = [α]+1. Note that here the operator (λI−A)−n
is an nth power of the resolvent only in the case of γ ≤ 2. For another γ, as
we have shown above, the resolvent does not exist and only the operator
(λI − A)−n is bounded.
Example 3.1.2 of a global one-time integrated semi-group which is not ex-
ponentially bounded.
Let X = l2 . Consider the operator A of multiplication by a sequence
a = (a1 , a2 , . . . , am , . . .) defined as follows:
Af := (a1 f1 , a2 f2 , . . . , am fm , . . .),
where p
am = m + i e2m2 − m2 , m ∈ N,
with dom A = {f ∈ X : Af ∈ X } .
Consider the operators U (t), t ≥ 0, formally defined as operators of mul-
tiplication by the sequence
eAt = (ea1 t , ea2 t , . . . , eam t , . . .).
They are not bounded as t > 0 since the sequence |eam t | = emt is unbounded.
However, they possess the semi-group property on their domain (this is a
consequence of the corresponding property for the real-valued exponents),
Rt
and operators S1 (t) := 0 U (s) ds of multiplication by the vector
a1 t
e − 1 e a2 t − 1 e am t − 1
, ,..., ,...
a1 a2 am
are bounded for all t ≥ 0. Indeed,
a t
e m − 1 mt
kS1 (t)k = sup ≤ sup e 2 + sup 1 2 .
m am m e
m
m e
m
1
Here supm em2
= e−1 . As for the second term, for an even number t the
mt
supremum of eem2 is reached as m = 2t :
emt 2 2 2
sup = et /2−t /4 = et /4 , t = 2k,
m e m2
2 2
in the general case t ≥ 0 the estimate supm emt /em ≤ et /4 holds. Thus
the operator S1 (t) is bounded for every fixed t ≥ 0 and the behavior of the
operator function S1 (t) as t → ∞ is determined by the relationship
t2
kS1 (t)k = O e 4 .
It follows that the family of operators {S1 (t), t ≥ 0} does not possess the
property of exponential boundedness. This means that there are no such C > 0
and ω ∈ R that
kS1 (t)k ≤ Ceωt , t ≥ 0.
Nevertheless, this family satisfies the characteristic property of integrated
semi-groups (Sn 1) with n = 1 as a primitive of the family {U (t), t ≥ 0}
which possesses the semi-group property. In addition, the defined family
{S1 (t), t ≥ 0} is strongly continuous wrt t as t ≥ 0:
∞ am (t+τ )
X 2
e − eam t
kS1 (t + τ )f − S1 (t)f k2 = 2
am · |fm |
m=1
k
X a (t+τ ) 2 ∞
X a (t+τ ) 2
e m − eam t e m − eam t
2 2
= am · |fm | + am · |fm | .
m=1 m=k+1
The second term in the sum obtained can be made sufficiently small with
∞ am (t+τ ) 2
P e
fixed t ≥ 0 and τ from a bounded subset of R since am · |fm |2
m=1
P∞ am t 2
e
and am · |fm |2 converge, due to the choice of k ∈ N. Then, with fixed
m=1
k ∈ N, one can make the first term sufficiently small as τ → 0 since this is a
finite sum.
Thus, in this example we have shown that the defined family of operators
{S1 (t), t ≥ 0} forms a one-time integrated semi-group which is not exponen-
tially bounded.
Example 3.1.3 [110] of an n-times local integrated semi-group which cannot

be extended to the semi-axis t ≥ 0.
Let X = l2 and T > 0. Consider the operator A of multiplication by the

sequence a = (a1 , a2 , . . . , am , . . .) defined as follows:
Af := (a1 f1 , a2 f2 , . . . , am fm , . . .),
where r
m e2m m2
am = +i − , m ∈ N,
T m2 T2
with domA = {f ∈ l2 : Af ∈ l2 } .
As in Example 3.1.2, the operators U (t), t ≥ 0, defined formally as opera-

tors of multiplication by the sequence
eAt = (ea1 t , ea2 t , . . . , eam t , . . .),
are not bounded as t > 0. However, similar to the previous example, the op-
erator family {U (t), t ≥ 0} possesses the semi-group property on its domain.
Let us construct {Sn (t), t ≥ 0} as a primitive of order n of the family
{U (t), t ≥ 0} by components. Then the family obtained satisfies the charac-
teristic property (Sn 1) of integrated semi-groups as a primitive of the family
that possesses the semi-group property. Besides, if the operators Sn (t) are
proven to be bounded for t from a certain set, then by arguments of the pre-
vious example one can show that this family is strongly continuous wrt to t
on the set.
Let bm (t) be an mth component of the vector corresponding to the operator
Sn (t). Then it equals the n-tuple integral of eam s on [0, t], i.e.,
n
e am t X tn−k
bm (t) = − . (3.1.10)
anm (n − k)! · akm
k=1
Calculating the module of the first term,

a t
e m e mt T
n m( Tt −n)
n
an = emn · m = m e , (3.1.11)
m
we obtain that for t < nT this value tends to zero as m → ∞, and for t ≥ nT
it is unbounded as m → ∞. The estimates of the rest of the terms in (3.1.10),

tn−k mk mk (nT )n−k
= |t| n−k
≤ , k = 1, 2, . . . , n,
(n − k)! · ak ekm (n − k)! ekm (n − k)!
m
are true for t ∈ [0, nT ) and we see that these values tend to zero as m → ∞
too. Hence, for each t ∈ [0, nT ), we have |bm (t)| → 0 as m → ∞; this means
that the operators Sn (t) are bounded on the semi-interval [0, nT ).
Thus we have obtained a local n-times integrated semi-group. Moreover, it
is seen from the equality (3.1.11) that it cannot be extended to the semi-axis
t ≥ 0. Furthermore, the same equality implies that the semi-group is defined
only on a semi-interval and cannot be extended to its closure.
It should also be noted that the semi-interval [0, nT ), where the semi-
group is defined, extends when the order of the primitive grows. This allows
us to obtain solutions of the Cauchy problem for larger t; however, such a
construction requires more and more regularization.
Example 3.1.4 [52] of an operator generating an exponentially bounded R-

semi-group and not generating a semi-group of classes C0 , C1 , A or a convo-
luted one.
Let X = Lp (R) × Lp (R), 1 ≤ p < ∞. Consider the operator A of multipli-

cation by the matrix (3.1.1):

−h 0 2 γ
, where h(x) = 1 + x2 , g(x) = e(1+x ) .
−g −h
Define Rf := (1 + |g|)−1 f . This operator is injective and ran R = X . It is not

difficult to see that the family of operators

−th −1 1 0
S(t) := e (1 + |g|) , t ≥ 0,
−tg 1
forms an R-semi-group and that the family is exponentially bounded.

Let us find the resolvent set of A. The matrix

1 λ + 1 + x2 0
2 γ
(λ + 1 + x2 )2 −e(1+x ) λ + 1 + x2
corresponds to the operator (λI − A)−1 . However, unlike Example 3.1.1, the
operator of multiplication by the matrix is not bounded for all γ > 0. There-
fore, ρ(A) = ∅ and A does not generate a semi-group of class C0 , C1 , A,
integrated or convoluted.
Example 3.1.5 of an operator generating a global R-semi-group which is

not exponentially bounded and does not generate a semi-group of classes C0 ,
C1 , A or a local convoluted one.
Let X = L2 (R). Consider the operator A of multiplication by the variable x:

n Z o
Af (x) := xf (x), x ∈ R, dom A = f ∈ X : |xf (x)|2 dx < ∞ .
R
The family
2
S(t)f (x) := ext−|x| f (x), f ∈ X, x ∈ R,
as is easily seen, forms an R-semi-group with the generator A and with
2
Rf (x) = e−|x| f (x), x ∈ R, f ∈ X . Moreover,
n 2
o 2
t
kS(t)k = sup ext−|x| = e 4 ,
x∈R
and the family {S(t), t ≥ 0} is not exponentially bounded. Hence A cannot

generate an (exponentially bounded) semi-group of classes C0 , C1 , A, or an
exponentially bounded convoluted, in particular integrated, semi-group.
We show that this operator does not generate even a local integrated or
convoluted semi-group. Let us find the resolvent of A:
(λI − A)f (x) = λf (x) − xf (x) = g(x), x ∈ R.

The solution of this equation has the form
g(x)
f (x) = (λI − A)−1 g(x) = , x ∈ R,
λ−x
whence we obtain that (λI − A)−1 is unbounded for each λ ∈ R and that
Sp(A) = R. Therefore, the resolvent set of A does not contain any semi-
interval of real axis of the kind Reλ > ω. This means that A generates neither
a local integrated nor a local convoluted semi-group.
3.2 Examples of solutions to Petrovsky correct, condi-

tionally correct, and incorrect systems
Now we consider some examples of equations with differential operators
A = A(i∂/∂x), where, in accordance with the results of Section 2.3, the
behavior of semi-groups generated by such operators and the well-posedness of
the related Cauchy problems are determined by estimates of ketA(s) k, solution
operators to the Fourier transformed systems. We will construct generalized
solutions to the Cauchy problem for some differential systems with initial data
from distribution spaces.
Example 3.2.1 of a Petrovsky correct (parabolic) system.
Consider the parabolic equation
∂u(x; t) ∂ 2 u(x; t)
= , x ∈ R, t ≥ 0, (3.2.1)
∂t ∂x2
with the initial data u(x; 0) = f (x) in a space of distributions Ψ′ it may be
a space of the type (Sαβ ) ′ or (WM
Ω ′
) .
Let us apply the Fourier transform to the problem. We obtain the Cauchy
problem for the ordinary differential equation
de
u(s; t)
= −s2 u
e(s; t), t ≥ 0, e(s; 0) = fe(s),
u s ∈ C, (3.2.2)
dt
e ′ . The operator of this problem has the form
in the corresponding space Φ
2
A(s) = −s I; hence its characteristic root
Λ(s) = Reλ(s) = τ 2 − σ 2 , s = σ + iτ ∈ C, Λ(σ) = −σ 2 .
Therefore, in accordance with Definition 2.3.1, Equation (3.2.1) is Petrovsky

correct, in particular, it is parabolic.
3.2. Examples of solutions to systems 85
Solution operators of the problem (3.2.2) are equal to the operators of

2
multiplication by the exponent e−ts , t ≥ 0. They are bounded in L2 (R) as
s = σ ∈ R: Z
2
ke 2
u(t)kL2 (R) = e−2tσ |fe(σ)|2 dσ ≤ kfek2L2 (R) . (3.2.3)
R
Due to the properties of the Fourier transform, the solution of the Cauchy
problem for (3.2.2) is defined as the convolution of f with the Green function:
u(x; t) = Gt (x) ∗ f (x), x ∈ R, t ≥ 0,

2
where Gft (s) = e−ts . Let us find the Green function. For this purpose here
and in the follow-up examples we need some formulas of generalized Fourier
transforms (see, e.g., [35, 111]):
F [s] = −2πi · δ ′ (x) (3.2.4)

F sk = k
2π(−i) · δ (k)
(x) (3.2.5)

1
F V.p. = πi · sgn (x) (3.2.6)
s
F [cos(ts)] = π (δ(x − t) + δ(x + t)) (3.2.7)
F [sin(ts)] = πi (δ(x − t) − δ(x + t)) (3.2.8)
h i r
2 π − x2
F e−ts = e 4t , t > 0, (3.2.9)
t
and the relation between the direct and inverse Fourier transform
1
F −1 [f ](s) = F f (−s). (3.2.10)
2π
Using (3.2.9) and (3.2.10) we obtain
h i h i √
2 1 2 π x2 1 x2
Gt (x) = F −1 e−ts = F e−ts = √ e− 4t = √ e− 4t
2π 2π t 2 πt
and the well-known formula for the solution
Z (x−ξ)2
1
u(x; t) = √ e− 4t f (ξ) dξ.
2 πt R
By the estimate (3.2.3) and the Parseval equality, we have
u(t)kL2 (R) ≤ kfekL2 (R) = kf kL2 (R) .

ku(t)kL2 (R) = ke
Let us find the resolvent of A(s):
ge(s)
(λI − A(s))fe(s) = e
g(s) =⇒ fe(s) = .
λ + s2
Hence,
Z Z
g (σ)|2
|e 1 1
g k2L2 (R) =
kRA(σ) (λ)e 2 2
dσ = g(σ)|2 dσ =
|e gk2L2 (R) .
ke
R |λ + σ | |λ|2 R |λ|2
Therefore,
1 1
kRA(σ) (λ)kL2 (R) = kR d2 (λ)kL2 (R) ≤ ≤ , Reλ > 0.
dx2 |λ| Reλ
It follows that the operator A(i∂/∂x) = d2 /dx2 generates a C0 -semi-group in
the space L2 (R) and the Cauchy problem for (3.2.1) is uniformly well-posed.
Note that in spaces Lp (R), p 6= 2, this operator generates only semi-groups
of growth order α = α(p) and the Cauchy problem is not uniformly well-posed.
Example 3.2.2 of a Petrovsky correct (hyperbolic) system.
Consider the hyperbolic equation
∂ 2 u(x; t) ∂ 2 u(x; t)
= , x ∈ R, t ≥ 0, (3.2.11)
∂t2 ∂x2
with the initial data
∂u(x; 0)
u(x; 0) = f1 (x), = f2 (x),
∂t
in a space Ψ′ as in Example 3.2.1. By the change
∂u(x; t)
u1 (x; t) = u(x; t), u2 (x; t) =
∂t
we reduce Equation (3.2.11) to the system of differential equations of the first
order wrt t:


 ∂u1 (x; t)

 = u2 (x; t),
∂t
x ∈ R, t ≥ 0, (3.2.12)

 ∂u (x; t) ∂ 2
u (x; t)

 2 1
= ,
∂t ∂x2
with the initial data

u1 (x; 0) = f1 (x),
x ∈ R. (3.2.13)
u2 (x; 0) = f2 (x),
We apply the Fourier transform to the problem (3.2.12)–(3.2.13). Then it
transforms into the Cauchy problem for the system of ordinary differential
equations


 de
u1 (s; t)

 =ue2 (s; t),
dt
s ∈ C, t ≥ 0, (3.2.14)


 de
 u2 (s; t)
= −s u2
e1 (s; t),
dt
(
e1 (s; 0) = fe1 (s),
u
s ∈ C. (3.2.15)
e2 (s; 0) = fe2 (s),
u
The matrix of the system (3.2.14) has the form

0 1
A(s) = .
−s2 0
Characteristic roots of the system are the roots of the equation

−λ 1

det(A(s) − λI) = 2 = λ2 + s2 = 0, λ1,2 (s) = ±is = ±i(σ + iτ ),
−s −λ
and
Λ(s) = max{Reλ1 (s), Reλ2 (s)} = max{±τ } = |τ | =⇒ Λ(σ) = 0.
Therefore, the system (3.2.12) is Petrovsky correct. In addition, the growth

order of the function Λ(·) in the complex plane is equal to one:
Λ(s) = |τ | ≤ |s|, s = σ + iτ ∈ C.
Hence, due to Definition 2.3.1, the system (3.2.12) is hyperbolic.

We look for the solution of the Cauchy problem (3.2.14)–(3.2.15) in the
form
u s ∈ C, t ≥ 0.
Let us find the matrix exponent using the Taylor series expansion
∞
X tk Ak (s)
etA(s) = .
k!
k=1
In this example we obtain the equalities

2
−s 0 0 −s2
A2 (s) = , A3
(s) = ,
0 −s2 s4 0
4
4 s 0 5 0 s4
A (s) = , A (s) = , ...
0 s4 −s6 0
Thus the solving matrix-function of the system (3.2.14) has the form

tA(s) 1 0 0 1 t2 −s2 0
e = +t +
0 1 −s2 0 2 0 −s2
4
t3 0 −s2 t4 s 0 t5 0 s4
+ + + + ...
3! s4 0 4! 0 s4 5! −s6 0
 
t2 2 t4 4 t3 2 t5 4
 1 − s + s − ... t − s + s − . . .
 2 4! 3! 5! 
= 
 t3 t5 2 4
t 2 t 4 
−ts2 + s4 − s6 + . . . 1 − s + s − ...
3! 5! 2 4!
 
(ts)2 (ts)4 (ts)3 (ts)5 1
1− + − ... ts − + − . . . V.p.
 2 4! 3! 5! s
 
= 
 (ts)3 (ts)5 (ts)2
(ts) 4 
−s ts − + − ... 1− + − ...
3! 5! 2 4!
 1
cos(ts) sin(ts)V.p.
 s.
= 
−s sin(ts) cos(ts)
Then the solution of the Cauchy problem (3.2.14)–(3.2.15) can be written in
the form
u t ≥ 0, s ∈ C,
and, due to the Fourier transform properties, the solution of the initial Cauchy
problem is defined in the form of the convolution
u(x; t) = Gt (x) ∗ f (x), t ≥ 0, x ∈ R,
where G et (s) = eA(s)t .

In order to obtain the elements of the matrix Gt (x) we use the formulas
(3.2.4)–(3.2.10). We have
1 1
F −1 [cos(ts)] = F [cos(ts)] = (δ(x − t) + δ(x + t)) , (3.2.16)
2π 2
1 i
F −1 [sin(ts)] = − F [sin(ts)] = (δ(x + t) − δ(x − t)) , (3.2.17)
2π 2
1
F −1 [−s] = F [s] = −iδ ′ (x),
2π
1 1 1 i
F −1 V.p. = F V.p. − = − sgn x.
s 2π s 2
Let us write sgn x as 2H(x) − 1, where H is the Heaviside function. Then

1 i
F −1 V.p. = − (2H(x) − 1),
s 2

i
F −1 [−s sin(ts)] = (−iδ ′ (x)) ∗ (δ(x + t) − δ(x − t))
2
1 ′
= (δ (x + t) − δ ′ (x − t)) ,
2
1 i i
F −1 V.p. sin(ts) = − iH(x) ∗ (δ(x + t) − δ(x − t))
s 2 2
1
= (H(x + t) − H(x − t)) .
2
Therefore, the Green matrix-function has the form
 
δ(x + t) + δ(x − t) H(x + t) − H(x − t)
 2 2 
 
Gt (x) =  
 δ ′ (x + t) − δ ′ (x − t) δ(x + t) + δ(x − t) 
2 2
and again we obtain the well-known formulae
 Z
 f1 (x + t) + f1 (x − t) 1 x+t

 u (x; t) = + f2 (τ )dτ ,
 1 2 2 x−t
(3.2.18)

 ′ ′

 u (x; t) = f1 (x + t) − f1 (x − t) + f2 (x + t) + f2 (x − t) .
2
2 2
Thus, if f1′ , f2 ∈ L2(R), then the generalized solution of the initial Cauchy
u1
problem is u = in L2 (R) × L2 (R). If, in addition, f1′′ , f2′ ∈ L2 (R), then
u2
u is a classical solution.
The abstract Cauchy problem corresponding to the one considered is
(1.0.1), where
 
0 1
u1  , f = f1 ;
u= , A = A(i∂/∂x) =  d2
u2 0 f2
dx2
its solution
f
u(t) = U (t) 1 , t ≥ 0,
f2
where the elements of the matrix U (t), t ≥ 0, are defined in accordance with
the formula (3.2.18). Because of differential operators applied to the elements
of the matrix, the family of operators {U (t), t ≥ 0} is unbounded in the space
L2 (R) × L2 (R). Nevertheless, the family of its primitives is bounded, i.e., the
operator A generates a one-time integrated semi-group.
Example 3.2.3 of the system of differential equations of the first order gen-
erating a uniformly well-posed Cauchy problem.
Consider the Cauchy problem for the system of equations



 ∂u1 (x; t) ∂u2 (x; t)

 = ,
∂t ∂x
x ∈ R, t ≥ 0,

 ∂u (x; t) ∂u (x; t)

 2 1
= ,
∂t ∂x
with initial data
u1 (x; 0) = f1 (x),
x ∈ R,
u2 (x; 0) = f2 (x),
in spaces Ψ′ , Φ′ as in the previous examples. Let us write the problem in the
abstract form (1.0.1), where
 
d
u1  0 f1
u= , A = A(i∂/∂x) =  d dx 
 , f = .
u2 f2
0
dx
Applying the Fourier transform to the problem, we obtain the system of or-
dinary differential equations


 de
u1 (s; t)

 = −is u
e2 (s; t),
dt
s ∈ C, t ≥ 0, (3.2.19)

 de
u (s; t)

 2
= −is u
e1 (s; t),
dt
with initial data (
e1 (s; 0) = fe1 (s),
u
s ∈ C. (3.2.20)
e2 (s; 0) = fe2 (s),
u
The matrix A(s) of this system is

0 −is
A(s) = .
−is 0
The formal solution to the problem (3.2.19)–(3.2.20) can be written in the

form
∞
X tk Ak (s)
ue(s; t) = etA(s) u
e(s) = .
k!
k=1
In this example
2
2 −s 0 3 0 is3
A (s) = , A (s) = ,
0 −s2 is3 0
4
4 s 0 5 0 −is5
A (s) = , A (s) = , ...
0 s4 −is5 0
and the solving matrix-function of the problem is
 
(ts)2 (ts)4 (ts)3 (ts)5
 1− + + ... −i ts + − + ... 
 2 4! 3! 5! 
e tA(s) 
= 

 (ts) 3
(ts) 5
(ts)2
(ts) 4 
−i ts + − + ... 1− + + ...
3! 5! 2 4!
 
cos(ts) −i sin(ts)
= .
−i sin(ts) cos(ts)
Hence we obtain the solution of the Fourier transformed Cauchy problem
!
tA(s) e cos(ts) −i sin(ts) fe1 (s)
u
e(s; t) = e f (s) =
−i sin(ts) cos(ts) fe2 (s)
and the solution of the original problem is defined as the convolution
u(x; t) = Gt (x) ∗ f (x), x ∈ R, t ≥ 0,
where Ge t (s) = etA(s) . In order to find the elements of the matrix Gt (x), we
use the formulae (3.2.16)–(3.2.17). Then the Green matrix-function has the
form  
δ(x − t) + δ(x + t) δ(x + t) − δ(x − t)
 2 2 
 
Gt (x) =  
 δ(x + t) − δ(x − t) δ(x − t) + δ(x + t) 
2 2
and


 1

 u 1 (x; t) = f 1 (x − t) + f 1 (x + t) + f 2 (x + t) − f 2 (x − t) ,
 2


 1

 u2 (x; t) = f1 (x + t) − f1 (x − t) + f2 (x − t) + f2 (x + t) .
2
Therefore, the initial Cauchy problem is uniformly well-posed in L2 (R) ×

L2 (R).
Example 3.2.4 of a differential system which in dependence on the param-

eter k generates semi-groups of different classes.
Consider the system of differential equations



 ∂u1 (x; t) ∂ 2 u1 (x; t)

 = ,
∂t ∂x2
x ∈ R, t ≥ 0, (3.2.21)


 ∂u2 (x; t)
 ∂ k u1 (x; t) ∂ 2 u2 (x; t)
= ik + ,
∂t ∂xk ∂x2
with initial data
u1 (x; 0) = f1 (x),
x ∈ R,
u2 (x; 0) = f2 (x),
and apply the Fourier transform to the system:

 de


u1 (s; t)
= −s2 u e1 (s; t),
 dt
s ∈ C, t ≥ 0. (3.2.22)


 de
 u2 (s; t)
= k
e1 (s; t) − s u
s u 2
e2 (s; t)
dt
We look for a solution of the Cauchy problem for (3.2.22) in the form
e(s; t) = etA(s) fe(s).

u
The solving matrix-function of the Cauchy problem for (3.2.22) is

2
1 0 −s 0 t2 s4 0
etA(s) = +t +
0 1 sk −s2 2 −2sk+2 s4

t3 −s6 0 t4 s8 0 t5 −s10 0
+ 6 + + + ...
3! 3sk+4 −s 4! −4sk+6 s8 5! 5sk+8 −s10
 
(−ts2 )2
1 + (−ts2 ) + + ... 0
 2 
 
= 
 (−ts2 )2 2 2
(−ts ) 
tsk 1 + (−ts2 ) + + ... 2
1 + (−ts ) + + ...
2 2
and
2
! ! !
e−ts 0 fe1 (s) −ts2 1 0 fe1 (s)
u
e(s; t) = e tA(s)
fe(s) = 2 2 =e
tsk e−ts e−ts fe2 (s) tsk 1 fe2 (s)
is a solution of the Cauchy problem.

The solution of the original Cauchy problem is defined in the form of
convolution:
u(x; t) = Gt (x) ∗ f (x), x ∈ R, t ≥ 0,
3.3. Definitions and properties of spaces of test functions 93
where Gt (s) is equal to the inverse Fourier transform of

2 1 0
eA(s)t = e−ts .
tsk 1
In order to find Gt (x), we use the formulae (3.2.5) and (3.2.9) and the relation
(3.2.10). We obtain
h i h i √
2 1 2 π x2 1 x2
F −1 e−ts = F e−ts = √ e− 4t = √ e− 4t ,
2π 2π t 2 πt
k
1 t(−1)
F −1 tsk = F t(−s)k = F sk = t i k δ (k) (x),
2π 2π r
h i 1 x2

i k t ∂k

x2

−1 k −ts2 k (k) − 4t − 4t
F ts e = t i δ (x) ∗ √ e = e .
2 πt 2 π ∂xk
Thus the Green matrix-function is defined as
 x2

1 − 4t
 √ e 0 
 2 πt 
Gt (x) = 
 kr
.

i t ∂k x2
− 4t 1 −
x2 
e √ e 4t
2 π ∂xk 2 πt
Comparing this example with Example 3.1.1, where the operator A behaves
similarly to the matrix A(s) of the system (3.2.22) with 2γ = k, we can arrive
at the following conclusion on generating various semi-groups in L2 (R) by the
operator of the system (3.2.21).
The operator A = A(i∂/∂x) of the system (3.2.21) generates a C0 -semi-
group as k = 0, 1, 2 and a one-time integrated semi-group as k = 3; in addition,
the operator generates a semi-group of growth order α > k/2 − 1 and an R-
semi-group with R = (λI − A)−n , n = [α] + 1, as k = 3, 4, . . . .
3.3 Definitions and properties of spaces of test functions

D, S, Sα , S β , Sαβ , Z, WM
Ω
, D {Mn } , . . .
For the convenience of readers, in this section we introduce spaces of test
functions, which are used in construction of generalized solutions to deter-
ministic problems in Part I and stochastic problems in Part II. We investigate
their properties and define topology, convergence of sequences, and the no-
tion of boundedness of sets in these spaces. In this connection we denote both
linear spaces and corresponding topological spaces by the same symbols:
D, Sαβ , WM
Ω
,... .
The space D. The Schwartz space D(R), denoted simply as D, consists of

all infinitely differentiable functions ϕ(x), x ∈ R with compact supports.
Convergence of a sequence ϕn ∈ D to zero implies that the supports of
all functions belong to a compact set K and both the sequence ϕn and the
sequences of all its derivatives converge uniformly to zero on K. It is well
known that in this space we cannot introduce a norm consistent with the
convergence. However, D can be represented in the form of a countable union
of normed spaces (the inductive limit) so that the convergence in the inductive
limit topology coincides with the one introduced.
Recall that the topology in a countably normed space is introduced as
follows [37, 53]. Let p ∈ N and ε > 0. The set of all functions ϕ satisfying
kϕk1 < ε, kϕk2 < ε, . . . , kϕkp < ε
is called the neighborhood of zero and is denoted by Up,ε (0). The topology in
a countably normed space is the topology of projective limit [105] and a set
B is bounded in a countably normed space if it is bounded in each norm.
Consider the space DA which consists of all infinitely differentiable func-
tions with supports in [−A, A].1 Define a set of norms in the space as
kϕkp = sup sup |ϕ(q) (x)|, p ∈ N0 .

q≤p |x|≤A
The space DA with such a system of norms is a complete countably normed

space. Convergence of a sequence ϕn ∈ DA to zero implies that both the
(q)
sequence ϕn and the sequences of all its derivatives ϕn (·), q ∈ N, converge
uniformly to zero on [−A, A].
The set B is bounded in DA if for any q ∈ N0 there exists a constant
Cq such that |ϕ(q) (x)| ≤ Cq , x ∈ [−A, A], ϕ ∈ B. The space DA with the
considered system of norms is a perfect countably normed space; it follows
that in the space and in the conjugate one the strong and weak convergences
coincide.
It follows from the definition of DA that, if A1 < A2 , then DA1 ⊂ DA2 and
any sequence convergent in DA1 is convergent in DA2 . If A takes its values in
the set of positive integers, then we have the sequence of embedded expanding
spaces
D1 ⊂ D2 ⊂ . . . ⊂ Dj ⊂ Dj+1 ⊂ . . .
S
Consider the space equal to the union of all Dj where j ∈ N: j Dj . This space
S with the space D as a set. Convergence to zero of a sequence ϕn in
coincides
D = j Dj with the inductive limit topology implies that all functions ϕn (·)
belong to a space Dj and converge to zero in the Dj . Hence the convergence in
D defined in the beginning of the section is wrt the inductive limit topology.
1 In this section again we use the notations accepted in the theory of Gelfand–Shilov
spaces denoting constants by letters A, B. In order not to confuse these constants with the
differential operator in Sections 2.3 and 3.2 and further in Part II, we denote the operator
by A(i∂/∂x).
According to the definition of D as the inductive limit of Dj , a set B is

bounded in D if and only if it is bounded in some Dj .
The space Sα . The space Sα (α ≥ 0) consists of all infinitely differentiable
functions ϕ(x), x ∈ R, satisfying the inequalities
|xk ϕ(q) (x)| ≤ Cq Ak k kα , k, q ∈ N0 , x ∈ R, (3.3.1)
with constants A = A(ϕ) and Cq = Cq (ϕ) (k kα = 1 as k = 0).

This definition imposes a limitation on growth (more precisely, on de-
crease) of functions and their derivatives as |x| → ∞. Indeed, if we write
(3.3.1) in the form
k
A
|ϕ(q) (x)| ≤ Cq k kα , k, q ∈ N0 , x ∈ R, (3.3.2)
|x|
one can note that the smaller is α, the faster the functions ϕ(·) tend to zero as
|x| → ∞. It turns out that if α = 0, then any function ϕ(·) satisfying (3.3.1)
is equal to zero as |x| > A. Indeed, as α = 0 and q = 0, we obtain from (3.3.2)
k
A
|ϕ(x)| ≤ C0 , k ∈ N0 , x ∈ R.
|x|
Passing to infimum in the inequality with respect to all k ∈ N0 , we conclude

that ϕ(x) = 0 as |x| > A. The converse is evident: for any infinitely differen-
tiable function equal to zero at |x| > A, the estimate
|xk ϕ(q) (x)| ≤ Cq Ak , |x| ≤ A,
holds providing (3.3.1) with α = 0. Thus S0 coincides with the space D. Since
the structure of this space and the convergence and the notion of a bounded
set were described above, we will further consider the spaces Sα in the case
α > 0.
The elements of the space Sα , α > 0, can be equivalently defined as the
functions satisfying the estimates
1/α
|ϕ(q) (x)| ≤ Cq′ e−a|x| , q ∈ N0 , x ∈ R, (3.3.3)
where Cq′ = Cq′ (ϕ) and a = a(ϕ) = eAα1/α . In order to clarify the idea of the
proof of this important property, we consider the function
k kα
µα (y) = inf .
k∈N0 |y|k
Then from (3.3.2) the estimate follows:

|x|
|ϕ(q) (x)| ≤ Cq µα , q ∈ N0 , x ∈ R. (3.3.4)
A
kkα
For the infimum of the function f (k) = |y|k wrt the continuous parameter k,
we obtain
α 1/α 1 1/α
inf f (k) = f (k ∗ ) = e− e |y| as k∗ = |y| .
k∈R+ e
Then µα (y), as the infimum with respect to natural values of k, satisfies the
inequality
α 1/α
e− e |y| ≤ µα (y). (3.3.5)
Applying the Tailor expansion of f in a neighborhood of the point k ∗ , it is
easy to show the converse estimate:
α 1/α
µα (y) ≤ Ce− e |y| . (3.3.6)
Now, if ϕ ∈ Sα , then (3.3.4) is true and, due to (3.3.6), the inequality (3.3.3)
follows. Conversely, if (3.3.3) holds, then from (3.3.5) we obtain

(q) ′ −a|x|1/α ′ |x| Ak k kα k kα
′A k
|ϕ (x)| ≤ Cq e ≤ Cq µα = Cq′ inf ≤ C q .
A k∈N0 |x|k |x|k
Hence (3.3.1) holds and ϕ belongs to the space Sα . Thus the space Sα , α > 0,
can be equivalently defined as the set of all infinitely differentiable functions
satisfying (3.3.3).
Similar to the particular case S0 = D, the space Sα for α > 0 can be
introduced in the form of a countable union of normed spaces. Denote by
Sα,A the set of all infinitely differentiable functions satisfying the condition
|xk ϕ(q) (x)| ≤ Cq,ε (A + ε)k k kα , k, q ∈ N0 , x ∈ R, (3.3.7)
for any ε > 0 with some constant Cq,ε = Cq,ε (ϕ). Let us introduce the system
of norms
|xk ϕ(q) (x)|
kϕkq,p = sup sup k , p ∈ N, q ∈ N0 , (3.3.8)
k∈N0 x∈R 1 kα
A+ p k
in the space Sα, A . Due to (3.3.7), the supremum is well defined. The space
Sα,A with such a system of norms is a perfect countably normed space.
The set B is bounded in Sα,A if for any p ∈ N, q ∈ N0 there exists a
constant Cq,p such that kϕkq,p ≤ Cq,p for all ϕ from B.
Convergence to zero of a sequence ϕn ∈ Sα,A means that it is bounded in
(q)
the space and for any q ∈ N0 the sequence ϕn tends to zero uniformly on
any segment |x| ≤ x0 < ∞.
At first sight, this convergence is weaker than the convergence wrt the
topology defined by the system of norms (3.3.8); however, it is shown in [37]
that for Sα,A as well as for the spaces considered below, the convergence of
a sequence in the space topology is equivalent to the uniform convergence on

bounded sets in R.
By analogy with Sα , the space Sα,A can be equivalently defined as the set
of all infinitely differentiable functions satisfying the condition
1/α
|ϕ(q) (x)| ≤ Cq,ρ
′
e−(a−ρ)|x| , q ∈ N0 , x ∈ R,
′ ′ α
for any ρ > 0, with Cq,ρ = Cq,ρ (ϕ), a = eA1/α
. If we introduce the system of
norms in Sα,A by
1 1/α
kϕkp = sup sup ea(1− p )|x| |ϕ(q) (x)|, p ∈ N,
q≤p x∈R
then it is equivalent to the system (3.3.8) in the sense of convergence or

divergence of sequences ϕn ∈ Sα,A with respect to both norms.
It follows from (3.3.7) that, if A1 < A2 , then Sα,A1 is a subspace of Sα,A2 .
Hence the union of the spaces Sα,A with respect to the indices A ∈ N coincides
with the space Sα . Thus Sα is presented in the form of the countable union
of normed spaces [
Sα = Sα,A ,
A
and the topology in this space is the topology of the strong inductive limit.
This provides the following definition of convergence in Sα : ϕn ∈ Sα converges
to zero if all the functions ϕn (·) belong to some space Sα,A and the sequence
converges to zero in it.
A set B is bounded in Sα if there exists such A > 0 that B is bounded in
Sα, A .
The space Z. The space Z consists of all entire functions ϕ(z), z ∈ C,
satisfying the condition
|z k ϕ(z)| ≤ Ck eb|y| , k ∈ N0 , z = x + iy ∈ C, (3.3.9)
with some constants b = b(ϕ), Ck = Ck (ϕ).
Denote by Z b the set of all entire functions satisfying (3.3.9) with fixed
b > 0 and define norms in Z b as
kϕkr = sup sup |z k ϕ(z)|e−b|y| , r ∈ N.
k≤r z∈C
The space Z b with the system of norms is a perfect countably normed space.
Convergence to zero of a sequence ϕn in Z b means that ϕn (·) converges uni-
formly on every bounded segment of the real axis |x| ≤ x0 < ∞ and the
sequence of norms kϕn kr is bounded for any r ∈ N.
A set B is bounded in Z b if for any k ∈ N0 the inequality (3.3.9) holds for
all elements of B.
The embedding Z b1 ⊂ Z b2 holds if b1 < b2 and
[
Z= Z b,
b
which provides the definition of convergence and of bounded sets in Z.
The space S β . The space S β (β ≥ 0) consists of all infinitely differentiable

functions ϕ(x), x ∈ R satisfying the inequalities
|xk ϕ(q) (x)| ≤ Ck B q q qβ , k, q ∈ N0 , x ∈ R,
with some constants B = B(ϕ), Ck = Ck (ϕ). (For q = 0 we suppose q qβ = 1.)

This definition imposes certain restrictions on the growth of derivatives:
the smaller β is, the stronger they are. Every function from S β with β < 1 can
be expanded analytically to the complex plane as an entire function satisfying
the condition
1
1−β
|xk ϕ(x + iy)| ≤ Ck,ρ e(b+ρ)|y| , k ∈ N0 , x + iy ∈ C, (3.3.10)
1
for any ρ > 0, where Ck′ = Ck′ (ϕ), b = b(ϕ) = 1−β e (Be)
1−β [37]. The converse
is true: if an entire function ϕ satisfies the inequality

γ
|xk ϕ(x + iy)| ≤ Ck eb|y| , γ > 1, k ∈ N0 , x + iy ∈ C,
then for any ρ > 0

1 1
|xk ϕ(q) (x)| ≤ Ck,ρ B q q qβ , x ∈ R, β = 1 − 1/γ, B = ((b + ρ)eγ) γ .
e
It is easy to derive from (3.3.10) that the space S β with β = 0 coincides
with Z described above; therefore, further consideration of S β will be carried
out for β > 0. We present the space S β as the countable union of normed
spaces S β,B , which are defined as spaces of all infinitely differentiable functions
|xk ϕ(q) (x)| ≤ Ck,δ (B + δ)q q qβ , k, q ∈ N0 , x ∈ R, (3.3.11)
for any δ > 0 with some constant Ck,δ = Ck,δ (ϕ) and the norms
|xk ϕ(q) (x)|

kϕkk,m = sup sup
1 q qβ
, k ∈ N0 , m ∈ N.
q∈N0 x∈R B+m q
The space S β,B with the system of norms is a perfect countably normed space.
Convergence to zero of a sequence ϕn ∈ S β,B means that for any q ∈ N0
(q)
the sequence of functions ϕn converges to zero uniformly on any bounded
segment and for any k ∈ N0 , m ∈ N the collection of norms kϕn kk,m is
bounded (with the constant Ck,m ).
A set B is bounded in S β,B if, for any k ∈ N0 , m ∈ N the inequality
(3.3.11), where δ = 1/m, holds with some constant Ck,m independent of the
elements of B. It follows from the definition of S β,B that
[
S β,B1 ⊂ S β,B2 for B1 < B2 , and S β = S β,B ,
B
where the topology in S β is defined as the inductive limit topology. This allows
us to introduce convergence in S β as follows: ϕn → 0 in S β if the sequence
(q)
ϕn (·) and all the sequences of its derivatives ϕn (·) converge uniformly to zero
on any bounded segment.
A set B is bounded in S β if it is bounded in some S β,B .
The space Sαβ . The space Sαβ (α ≥ 0, β ≥ 0) consists of all infinitely
differentiable functions ϕ(x), x ∈ R, satisfying the inequalities
|xk ϕ(q) (x)| ≤ CAk B q k kα q qβ , k, q ∈ N0 , x ∈ R,
with constants A = A(ϕ), B = B(ϕ), C = C(ϕ). This definition imposes

restrictions on both the rate of decrease of the functions as |x| → ∞ and on
the rate of growth of their derivatives. Therefore, the question of the existence
of such functions arises. The answer is the following [37]: The spaces Sαβ are
non-trivial only in the three cases below.
1) α + β ≥ 1, α > 0, β > 0;
2) β > 1, α = 0;
3) α > 1, β = 0.
β,B
We denote by Sα,A the space of all infinitely differentiable functions sat-
isfying the condition
|xk ϕ(q) (x)| ≤ Cε, δ (A + ε)k (B + δ)q k kα q qβ , k, q ∈ N0 , x ∈ R, (3.3.12)
for any ε > 0, δ > 0 with a constant Cε, δ = Cε, δ (ϕ) and the norms
|xk ϕ(q) (x)|

kϕkp, m = sup sup sup k , p, m ∈ N.
k∈N0 q∈N0 x∈R 1 q kα qβ
A + p1 B+m k q
β,B
The space Sα,A with this system of norms is a perfect countably normed space.
β,B
A set B is bounded in Sα,A if, for any p, m ∈ N, the condition (3.3.12)
holds with a certain constant Cp,m independent of the elements of B. A set B
β,B
is bounded in Sαβ if it is bounded in some Sα,A .
β,B
Convergence to zero of a sequence ϕn ∈ Sα,A means that it is bounded in
β,B (q)
Sα,A and for any q ∈ N0 the sequence ϕn (·) tends uniformly to zero on every
bounded segment of the real axis.
β,B1 β,B2
For A1 < A2 , B1 < B2 the embedding Sα,A 1
⊂ Sα,A 2
holds and the space
β,B
Sαβ is the union of perfect countably normed spaces Sα,A . A sequence ϕn ∈ Sαβ
β,B
converges to zero if all functions ϕn (·) belong to a common space Sα,A and
converge to zero in this space.
The space S. The space S consists of all infinitely differentiable functions
ϕ(x), x ∈ R, satisfying the inequalities
|xk ϕ(q) (x)| ≤ Ck,q , k, q ∈ N0 , x ∈ R, (3.3.13)

with some constant Ck,q = Ck,q (ϕ), that is, S is the space of infinitely differ-
1
entiable functions decreasing faster than any degree of |x| does as |x| → ∞.
The space S is a perfect countably normed space with the system of norms
kϕkp = sup sup |xk ϕ(q) (x)|, p ∈ N.

k,q≤p x∈R
Convergence to zero of a sequence ϕn ∈ S means that for any q, k ∈ N0 the

inequality (3.3.13) holds with some constants Ck,q independent of the numbers
(q)
n and ϕn and the sequence of all its derivatives ϕn converges uniformly to
zero on any bounded segment.
A set B is bounded in S if for any q, k ∈ N0 there exists a constant Ck,q
independent of the elements of B such that (3.3.13) holds. The space S is the
widest of all the spaces considered above. Due to its properties the space S
can be regarded as the limit of spaces Sαβ , i.e., S = S∞ ∞
.
β
Note that in [37] some extensions of spaces Sα were introduced by replacing
the sequences k kα and q qβ with the more general ak , bq . The Roumieu and
Beurling spaces, where bq are denoted by Mq , provide such an extension of
the spaces S0β . Conditions imposed on the sequences {Mq } guarantee non-
triviality of the spaces, boundedness of infinite order differential operators,
and other important properties.
The Roumieu and Beurling spaces of ultra-differentiable functions. Ac-
cording to [54], we consider a sequence of positive numbers Mq , q ∈ N0 satis-
fying the conditions
(M.1) Mq2 ≤ Mq−1 Mq+1 , q − 1 ∈ N;
(M.2) Mq ≤ a bq min Mp Mq−p , q ∈ N0 ; ( (M.2)′ Mq+1 ≤ a bq Mq );
0≤p≤q
P
∞
Mp−1 M P
∞
Mq−1
(M.3) Mp
q
≤ q c Mq+1 , q ∈ N; ( (M.3)′ Mq < ∞ );
p=q+1 q=1
with some positive constants a, b, and c.

The Gevrey sequences
(q!)β , q qβ , Γ(1 + qβ) with β > 1
provide the example of sequences Mq satisfying all these conditions.

The function
xq M0
M (x) := sup ln , x > 0,
q∈N0 Mq
is called a function associated with Mq . The following equality gives an equiv-
alent definition of the function associated with Mq :
Mq
e−M(x) = inf , x > 0.
q∈N0 M0 xq
Compared with (3.3.5)–(3.3.6), where Mq = q qα , M0 = 1, we have the equality

e−M(x) = µα (x), which shows the connection of the functions M (·) and µα (·).
Associated functions play an important role in the theory of ultra-
differentiable functions; in particular, they specify the behavior of the Fourier
transform in these spaces.
If the ratio (Mq /M0 )1/q is bounded from below, then M is an increasing,
logarithmic convex function equal to zero in a certain neighborhood of zero
and growing faster than ln xp with p > 0 as x → ∞.
The function M (x) ∼ βe |x|1/β is the associated function for the sequence
Mq = q qβ and M (x) ∼ |x|1/β for the sequence Mq = (q!)β [14].
The Roumieu space D{Mq } consists of all infinitely differentiable functions
ϕ(x), x ∈ R, with compact supports satisfying the inequality
|ϕ(q) (x)| ≤ CB q Mq , q ∈ N0 , |x| ≤ A,
with some constants A = A(ϕ), B = B(ϕ), C = C(ϕ).

According to the Denjoy–Carleman–Mandelbrojt theorem (see the proof,
e.g., in [54, 65]), this space is nontrivial if Mq satisfies (M.1) and (M.3)′ .
One can see that the Roumieu space D{Mq } provides the extension of the
spaces S0β . However, being the space of functions with compact supports, it
b
is a particular case of the space Saqk [37]. Therefore, we will not consider
the structure of this space in detail here. We just note that it is the strong
{M },B
inductive limit of perfect countably normed spaces DA q with the system
of norms
|ϕ(q) (x)|
kϕkm = sup sup
1 q
, m ∈ N, (3.3.14)
q∈N0 |x|≤A B + m Mq
that is, [ {Mq },B
D{Mq } = DA
A,B
with the corresponding definition of convergence and notion of a bounded set.

The space of ultra-differentiable functions of Beurling class defined by
{Mq } is the space
D{Mq } = ind lim proj lim D{Mq },h,A ,
A∈R h→0
where D{Mq },h,A is a normed space of functions ϕ ∈ C ∞ (R) with compact

supports A satisfying the inequalities kϕ(q) kC(A) ≤ CMq hq with the norm
!
kϕ(q) kC(A)
kϕk{Mq },h,A = sup
q M q hq
and the corresponding space of abstract ultra-distributions

′
D{Mq}
(H) := L(D{Mq } , H).
The space WM . Let µ(·) be an increasing continuous function on [0, ∞)

and µ(0) = 0, lim µ(ξ) = ∞. Let
ξ→∞
Z x
M (x) = µ(ξ) dξ, x ≥ 0. (3.3.15)
0
Then M (·) increases at infinity faster than any linear function and is convex:
M (x1 ) + M (x2 ) ≤ M (x1 + x2 ), x1 , x2 ≥ 0.
Set M (x) := M (−x), x < 0.

The space WM consists of all infinitely differentiable functions ϕ(x), x ∈ R,
|ϕ(q) (x)| ≤ Cq e−M(ax) , x ∈ R,
with some constants Cq = Cq (ϕ), a = a(ϕ). Since M (x) increases as |x| → ∞

faster than any linear function, the functions from WM decrease at infinity
faster than any exponent of type e−a|x| .
The space WM can be defined as the union of countably normed spaces.
Denote by WM,a , a > 0, the space of all infinitely differentiable functions ϕ(·)
in R which satisfy the inequalities

(q)
ϕ (x) ≤ Cq, δ e−M((a−δ)x) , x ∈ R, q ∈ N0 ,
for any δ > 0. The space WM,a with the system of norms

kϕkp = sup sup ϕ(q) (x) eM ((a− p )x) ,
1
p ∈ N,
q≤p x∈R
is complete countably normed. Similar to the spaces introduced above, this

defines bounded sets and convergence to zero of a sequence ϕn in WM,a . This
also applies to WM , which is defined as the union of countably normed spaces:
[
WM = WM,a ,
a
where the topology is the strong inductive limit topology.

The space WM has a non-empty intersection with Sα : the space Sα is WM
with M (x) = |x|1/α , α < 1.
The space W Ω . Let ω be an increasing continuous function on [0, ∞) and
let ω(0) = 0, lim ω(η) = ∞. Suppose
η→∞
Z y
Ω(y) = ω(η) dη, y ≥ 0, Ω(y) := Ω(−y), y < 0. (3.3.16)
0
The properties of the function Ω(·) are similar to those of the function M (·)
introduced in the previous subsection. It increases at infinity faster than any

linear function and is convex.
The space W Ω consists of all entire functions ϕ(z), z ∈ C, satisfying the
inequality
|z k ϕ(z)| ≤ Ck eΩ(by) , z = x + iy ∈ C,
with some constants Ck = Ck (ϕ), b = b(ϕ).
The space W Ω can be defined as a union of countably normed spaces. De-
note by W Ω, b , b > 0, the set of all entire functions ϕ satisfying the inequalities
|z k ϕ(z)| ≤ Ck, ρ eΩ((b+ρ)y) , z = x + iy ∈ C, k ∈ N0 ,
for any ρ > 0 endowed with the norms

kϕkk, m = sup z k ϕ(z) e−Ω((b+ m )y) ,
1
k ∈ N0 , m ∈ N.
z∈C
The space is perfect countably normed.

The definition implies that the imbedding W Ω, b1 ⊂ W Ω, b2 holds true if
b1 < b2 and [
WΩ = W Ω, b ,
b
where the topology is the strong inductive limit topology. This allows us to
introduce bounded sets and convergence as follows. A sequence ϕn ∈ W Ω is
convergent to zero if all functions ϕn (·) belong to some space W Ω, b and the
sequence converges in this space. A set B is bounded in W Ω if it is bounded
in some W Ω, b .
Ω
The space WM . The space consists of all entire functions ϕ of variable
z ∈ C satisfying the condition
|z k ϕ( q)(z)| ≤ Ce−M(ax)+Ω(by) , z = x + iy ∈ C,
with some constants C = Ck,q (ϕ), a = ak,q (ϕ), b = bk,q (ϕ) and can be defined
Ω, b
as the union of countably normed perfect spaces WM, a , a > 0, b > 0:
[ Ω, b
Ω
WM = WM, a ,
a, b
where the topology is the strong inductive limit topology. This allows one to
introduce the convergence and bounded sets in the space.
Recall bounded operators of multiplication in some of the spaces.
• In the space S0 = D any infinitely differentiable function f0 defines the
bounded operator of multiplication by f0 .
• In the space Z any entire function f0 (·) satisfying the inequality for some
C > 0, b > 0, h ≥ 0
|f0 (z)| ≤ C(1 + |z|)h eb|y| , q ∈ N0 ,
defines the bounded multiplication operator.
• In the space Sαβ , α > 0, every infinitely differentiable function f0 satis-

fying inequality for any ε > 0
(q) 1/α
|f0 (x)| ≤ Cε εq q qβ eε|x| , q ∈ N0 ,
defines the bounded multiplication operator; it transforms the space

β,B
Sα,A to itself.
β,B β,B+B0
• Sα,A → Sα,A 1
. Let a function f0 satisfy the inequalities
(q) 1/α
|f0 (x)| ≤ CB0q q qβ ea0 |x| , α > 0, q ∈ N0 . (3.3.17)

α α
For arbitrary a > a0 put A = ea . Then, denote a1 = a − a0 and set
α
A1 = eaα1 . Let B > 0. The function f0 defines a multiplier on the
β,B β,B+B0 β,B
space Sα,A to Sα,A 1
⊃ Sα,A .
• In the space S every infinitely differentiable function f0 satisfying the
inequalities
(q)
|f0 (x)| ≤ Cq (1 + |x|)hq , q ∈ N0 , (3.3.18)
defines a bounded multiplication operator.
Ω, b Ω, b+b0
• WM, a → WM, a−a0 .
Every entire function f0 satisfying the inequality
|f0 (z)| ≤ CeM(a0 x)+Ω(b0 y) , z = x + iy ∈ C, (3.3.19)

Ω, b Ω, b+b0
defines a bounded multiplication operator on WM, a to WM, a−a0 for
a > a0 , b > 0.
3.4 Generalized Fourier and Laplace transforms. Struc-

ture theorems
Let f be an absolutely integrable function and fe (or F f , F [f ]) be its
classical Fourier transform:
Z +∞
e
f (σ) = eixσ f (x) dx, σ ∈ R.
−∞
The basis of the definition of the generalized Fourier transform is the Parseval
equality for the Fourier transform in L2 (R) (see, e.g., [53, 89]), where it has
the form of equality for scalar products
hF [ϕ], F [f ]i = 2πhϕ, f i, f, ϕ ∈ L2 (R).

3.4. Generalized Fourier and Laplace transforms. Structure theorems 105
The equality may be used for functions ϕ from a space Φ of test functions and
f ∈ Φ′ :
hF [ϕ], F [f ]i = 2πhϕ, f i, ϕ ∈ Φ,
and it serves as the definition of the generalized Fourier transform and the
inverse Fourier transform:
hψ, F f i = 2πhF −1 ψ, f i, e f ∈ Φ′ .
ψ ∈ Φ,
(3.4.1)
1 e ′.
hϕ, F −1 gi := hF ϕ, gi, ϕ ∈ Φ, g ∈ Φ
2π
Thus, in the case when the Fourier transform and the inverse Fourier trans-
form perform one-to-one mappings between Φ and Φ, e we have the following
embeddings: ′ ′
f
Φ′ ⊆ Φ e and e ⊆f
Φ Φ′ .
Therefore, since theclassical

′ Fourier transform performs a one-to-one mapping
e e
of Φ onto Φ, then Φ = Φ . f ′
The definition (3.4.1) and properties of the classical Fourier transform pro-
vide the following rules of differentiation for the generalized Fourier transform,
which are valid in the classical theory:

d e d
f (σ) = F [ixf (x)](σ), F i f (x) (σ) = σ fe(σ),
dσ dx
and the formulas for the Fourier transform of convolution of distributions:
F [f ∗ g] = F f · Fg.
The Fourier transformed spaces of test functions. For any α ≥ 0, β ≥ 0

we have [37]:
f
fα = S α ,
S Sfβ = Sβ , Sαβ = Sβα , ]
Sα,A = S
α,A
, S]
β,B = S
β,B ;
for α, β > 0, α + β > 1

S]
β,B α,A
α,A = Sβ,B ;
for α = 0, β = 0
f0 = D
S e = Z, f0 = Z
S e = D.
Ω
In order to describe the Fourier transform in the spaces WM we recall the
definition of dual by Young functions. The functions M (·) and Ω(·) given by
(3.3.15)–(3.3.16) are called dual by Young if the functions µ(·) and ω(·) are
reciprocal, i.e., µ(ω(η)) = η and ω(µ(ξ)) = ξ for any ξ, η ∈ R. In this case the
Young inequality holds:
νϑ 6 M (ν) + Ω(ϑ), ν, ϑ ∈ R.
The following duality result for the Fourier transform in the spaces WM, a and
W Ω, b follows from it. If M (·) and Ω(·) are functions dual by Young, then
fM,a = W Ω,1/a ,
W f Ω,b = WM,1/b .
W
If Ω2 (·) and M2 (·) are functions dual by Young with functions M1 (·) and
Ω1 (·), respectively, then
f Ω1 = W Ω2 .
W M1 M2
Generalized Laplace transform. We define the Laplace transform of distri-

butions with supports in the positive semiaxis. As usual, an equality obtained
for classical functions and correct in the generalized sense will serve as the
basis of this definition.
Let f be an exponentially bounded function (|f (t)| ≤ Ceωt ) equal to zero
at t < 0 and let Lf be its classical Laplace transform:
Z +∞
Lf (λ) = e−λt f (t) dt, Reλ > ω.
0
Using the substitution −λ = is = i(σ + ib), we obtain the relation between

the Laplace and the Fourier transforms:
Z +∞
g(λ) = Lf (λ) = eiσt e−bt f (t) dt = F [e−bt f (t)](σ).
−∞
Hence, according to the definition of the inverse Fourier transform, we obtain

Z b−i∞ Z b+i∞
i 1
L−1 g(t) = e(b−iσ)t g(λ) dλ = eλt g(λ) dλ, b > ω.
2π b+i∞ 2πi b−i∞
Let ϕ be an element of a space Φ of test functions which are exponentially

bounded. We denote the classical Laplace transform of ϕ by ψ = Lϕ. Using
the properties of scalar products and the definition of the Fourier transform
for real-valued functions ϕ and f , we obtain
Z +∞
hϕ, f i = hf, ϕi = f (t)ϕ(t) dt
0
Z +∞ Z b+i∞
1
= eλt Lf (λ)ϕ(t) dλ dt
2πi 0 b−i∞
Z b+i∞ Z +∞
1
= Lf (λ) eλt ϕ(t) dt dλ
2πi b−i∞ 0
Z b+i∞
1 1
= Lf (λ)Lϕ(−λ) dλ = hψ(−λ), Lf (λ)i.
2πi b−i∞ 2π
Let now f be an element of a distribution space Φ′ . If Φ is such that the

set LΦ forms a space Ψ of test functions, then for any ψ ∈ Ψ there exists the
inverse Laplace transform. Therefore, the Laplace transform defines one-to-

one correspondence between Φ and Ψ and the equality obtained provides the
definition of the generalized Laplace transform as a functional on Ψ:
hψ(−λ), Lf (λ)i := 2πhL−1 ψ, f i, λ = b + iσ, b > ω, ψ ∈ Ψ.
The definition obtained is consistent with that introduced by Fattorini in [30]

for the spaces Sω′ (X ). The generalized Laplace transform of a distribution f
in this space is defined by applying f to the test function {e−λt } (see Section
2.1):
(Lf )(λ) := h{e−λt }, f (t)i, Reλ > ω.
The generalized Laplace transform, similarly to the classical one, possesses
the following properties for Reλ > ω:
d
Lu(λ) = −L(tu(t));
dλ
d
L u(t) (λ) = λLu(λ) − u(0);
dt
L[u ∗ v](λ) = LuLv.
Structure theorems for distributions and analytical functions. Tradition-

ally, the structure theorems represent a distribution as the result of applying
a differentiation operator (of finite or infinite order) to some continuous func-
tion. For example, the structure theorem in D′ states that locally for any
f ∈ D′ there exists a continuous primitive of a finite order, and the structure
theorem in S ′ states that for any f ∈ S ′ there exists a continuous primitive
of a finite order at the whole axis (see, for example, [12]).
In the present section we give structure theorems for distributions and
ultra-distributions. In addition, we give a few theorems which describe the
behavior in the complex plane of analytical functions defined on the real axis.
We call them “the structure theorems” as well.
The structure theorem for the Schwartz space of distributions is the fol-
lowing.
Theorem 3.4.1 (The structure theorem in D′ ) Let u ∈ D′ and let G

be an open bounded set in R. Then there exist a continuous function g : R → R
and an integer m > 0 such that
hϕ, ui = hϕ, g (m) i (3.4.2)
for all ϕ ∈ D with supp ϕ ⊂ G. If u = 0 on (−∞, a), then g(t) = 0 for t < a.
For each bounded set B ⊂ D′ and each open bounded set G ⊂ R there exists
m ∈ N independent of the elements of B that provides the equality (3.4.2) for
all u ∈ B and uniform boundedness of functions g on compact sets in R.
The structure theorem in S ′ and in the space of exponentially bounded

distributions Sω′ has global character.
Theorem 3.4.2 (The structure theorem in S ′ (in Sω′ )) For any distri-
bution u ∈ S ′ (u ∈ Sω′ ) there exist m ∈ N, r > 0 and a continuous function
g : R → R such that
hϕ, ui = hϕ, g (m) i, ϕ ∈ S, (3.4.3)
and
kg(t)k ≤ C|t|r (kg(t)e−ωt k ≤ C|t|r ) as |t| → ∞. (3.4.4)
If u = 0 on (−∞, a), then g(t) = 0 for t < a.
For each bounded set B ⊂ S ′ there exists m ∈ N independent of the ele-
ments of B that provides the equality (3.4.3) for all elements u ∈ B; moreover,
all the corresponding functions g (g(t)e−ωt ) have the same order of growth
r > 0 in (3.4.4).
The structure of distributions with compact supports is given in the fol-
lowing theorem.
Theorem 3.4.3 (Paley–Winner–Shwartz) [37] If an entire function f
satisfies the conditions
|f (z)| ≤ C1 eb|z| , z ∈ C, |f (x)| ≤ C2 (1 + |x|h ), x ∈ R,
then its Fourier transform fe is the element of D′ with support in [−b, b].
Moreover, for any ε > 0 there exist such an integrable function g(·) with
support in [−b − ε, b + ε] and such a polynomial Pk (·) of power k ≤ h + 1 that
fe(σ) = Pk (d/dσ) g(σ).
The converse result is also true.
Now we present structure theorems for spaces of ultra-distributions.
′
Theorem 3.4.4 (The first structure theorem for D{Mq } ) [54] Let
′
a sequence Mq satisfy (M.1) and (M.3)′ . For each u ∈ D{Mq } there ex-
ists such a sequence un ∈ C ′ (R) of integrable functions such that for any open
bounded set G ⊂ R and any B > 0 there exists C > 0 such that
Bn
kun kC ′ (G) ≤ C , n ∈ N0 . (3.4.5)
Mn
P
{Mq } ′
In this case the equality u|G = ∞ n
n=0 D un holds in D .
The inverse is true: if the sequence of measures un ∈ C ′ (G) satisfies
′
(3.4.5), then the series in the definition of u converges absolutely in D{Mq } .
Note that all the structure theorems listed above hold for functions
from corresponding spaces of abstract distributions D′ (X ), S ′ (X ), Sω′ (X ),
′
D{Mq } (X ) [30].
In Part II we apply the structure theorems to constructing generalized wrt t
solutions of the stochastic Cauchy problems with A generating integrated and
convoluted semi-groups and also to constructing generalized wrt x solutions
with A generating an R-semi-group.
Theorem 3.4.5 If an entire function f satisfies the conditions

p h
|f (z)| ≤ C1 eb|z| , z ∈ Cn , |f (x)| ≤ C2 ea|x| , x ∈ Rn ,
where 0 < h ≤ p, a 6= 0, then for each a′ > a there exists a region
Hµ = {z = x + iy : |y| ≤ c(1 + |x|)µ } , µ ≥ 1 − (p − h), c = c(b; a; a′ ),
where ′ h
|f (z)| ≤ C3 ea |x| , z ∈ Hµ ,
with C3 = max{C1 ; C2 }. If h < p and p is the exact growth order of f or if
h = p and a < 0, then µ ≤ 1.
Theorem 3.4.6 If an entire function f satisfies the conditions

p
|f (z)| ≤ C1 eb|z| , z ∈ Cn , |f (x)| ≤ C2 (1 + |x|)h , x ∈ Rn ,
then there exists a region
Hµ = {z = x + iy : |y| ≤ c(1 + |x|)µ } , 1 − p ≤ µ ≤ 1, c = c(b; h),
where
|f (z)| ≤ C3 (1 + |x|)h , z ∈ Hµ ,
with C3 = max{C1 ; C2 }.
Theorem 3.4.7 If an entire function f satisfies the condition

p
|f (z)| ≤ C1 eb|z| , z ∈ Cn ,
and the estimate h

|f (z)| ≤ C2 ea|x| , z = x + iy,
holds in the region Hµ = {z = x + iy : |y| ≤ c(1 + |x|)µ }, 0 < µ ≤ 1, where
h < p or h ≤ p for a < 0. Then for all z = x + iy the estimate holds
h
+b′ |y|p/µ
|f (z)| ≤ C3 ea|x| ,
with C3 = max{C1 ; C2 }, b′ = b′ (b; a; K).

p
|f (z)| ≤ C1 eb|z| , z ∈ Cn ,
and the estimate

|f (z)| ≤ C2 (1 + |x|)h ,
holds in the region Hµ = {z = x + iy : |y| ≤ c(1 + |x|)µ }, 0 < µ ≤ 1, then
for all z ∈ Cn
′ p/µ
|f (z)| ≤ C3 (1 + |x|)h eb |y| ,
with C3 = max{C1 ; C2 }, b′ = b′ (b; h; K).

h
+b′ |y|γ
|f (z)| ≤ Cea|x| , h ≤ γ, z = x + iy ∈ Cn ,
then the estimates for its derivatives

1 h
|f (q) (x)| ≤ C1 B |q| |q||q|(1− γ ) ea1 |x| , q = (q1 , . . . , qn ), qj ∈ N 0 ,
hold on the real axis with a1 = a + ε, ε > 0.

h
|f (z)| ≤ Cea|x|
in the region Hµ = {z = x + iy : |y| ≤ c(1 + |x|)µ }, µ ≤ 0, then there exists

such B > 0, B = B(a, µ) that the estimates for its derivatives
µ h
|f (q) (x)| ≤ C1 B q q q(1− h ) ea1 |x| , q = (q1 , . . . , qn ), qj ∈ N 0 ,
hold on the real axis. Here a1 = a + ε, ε > 0 and it is of the same sign as a.
|f (z)| ≤ C(1 + |x|)h
in the region Hµ = {z = x + iy : |y| ≤ c(1 + |x|)µ }, µ ≤ 0, then there exists

such B > 0, B = B(µ) that the estimates for its derivatives
|f (q) (x)| ≤ C1 B |q| |q||q| (1 + |x|)h−µq , q = (q1 , . . . , qn ), qj ∈ N 0 ,
hold on the real axis.

Part II
Infinite-Dimensional
Stochastic Cauchy
Problems
Taylor & Francis
Chapter 4
Weak, regularized, and mild
solutions to Itô integrated stochastic
Cauchy problems in Hilbert spaces
After the “deterministic” Part I containing necessary results from the semi-
group, abstract distribution, and regularization theory, we proceed to the main
theme of the book, infinite-dimensional stochastic problems (P.1)
X ′ (t) = AX(t) + F (t, X) + B(t, X)W(t), t ≥ 0, X(0) = ζ.
with white noise processes and generators of regularized semi-groups.

As mentioned in the Introduction, one can mark out different approaches
to overcoming obstacles caused by irregularity of the white noise in stochas-
tic equations. In this chapter we address the first one, which uses infinite-
dimensional extensions of the Itô calculus as a framework for solving (P.1).
Under this approach one deals with Wiener processes considered as “primi-
tives” of the white noise. The second approach considers the stochastic prob-
lems as differential equations with the white noise itself, but in a generalized
statement. It will be addressed in Chapters 5 and 6.
On the basis of the extension of the Itô approach to Hilbert spaces, we
study the integrated stochastic Cauchy problem (I.1) :
dX(t) = AX(t) dt + F (t, X) + B(t, X) dW (t),

t ∈ [0, T ], X(0) = ζ, (4.0.1)
with a stochastic integral wrt a Wiener process W and A generating a regu-

larized semi-group. For the linear and semi-linear case of (4.0.1) we explore
weak, weak regularized, and mild solutions and their interrelations.
We begin this chapter with the preliminary section presenting necessary
information on stochastic integrals and their properties.
113
114 4. Itô integrated stochastic Cauchy problems in Hilbert spaces
4.1 Hilbert space-valued variables, processes, and sto-

chastic integrals. Main properties and results
This preliminary section presents the necessary stochastic techniques for
solving stochastic Cauchy problems in Hilbert spaces. First, random variables
with values in Hilbert spaces are defined and their properties are presented.
Then the notion of a Hilbert space valued stochastic process is introduced
and cylindrical and Q-Wiener processes are studied. In this connection we re-
call the notions of nuclear, trace class, and Hilbert–Schmidt operators, which
are widely used in studying Hilbert space valued stochastic processes and
their probability characteristics. In conclusion, we define Hilbert space val-
ued stochastic Itô integrals and present basic results on stochastic integrals
necessary for the next sections.
4.1.1 Random variables in Hilbert spaces. Properties of op-

erators related to probability characteristics
Along with the notion of a Hilbert space valued random variable, we intro-
duce here such characteristics of random variables as expectation, correlation
and covariance operators and study their properties. Particular attention is
paid to special properties connected with infinite-dimensions. For a better
understanding of these properties we recall necessary definitions of compact,
Hilbert–Schmidt, trace class, and nuclear operators, as well as properties of
these operators and relations between them. A connection of Hilbert space val-
ued random variables with their distribution laws is shown via the comparison
with the finite-dimensional case.
Let Ω be a set, F be a σ-algebra of subsets of Ω, and P be a probability
measure on F . Then the pair (Ω, F ) is called a measurable space and the
triplet (Ω, F , P ) is called a probability space.
Let (Ω, F ) and (X , G) be measurable spaces. A mapping u : Ω → X such
that
{ω ∈ Ω : u(ω) ∈ G} ∈ F for any G ∈ G
is called a random variable on (Ω, F ) with values in (X , G). A random variable
u that can take only a finite number of values is referred to as a simple random
variable.
Let X = H be a Hilbert space; then the smallest σ-algebra B(H) containing
all open subsets of H is called the Borel σ-algebra on H and a (F , B(H))-
measurable mapping u : Ω → H is called an H-valued random variable.
Similar to the case of real-valued random variables, where the collection
of sets
{x ∈ R : x ≤ α}, α ∈ R,
generates the Borel σ-algebra B(R), the Borel σ-algebra B(H) is generated by
4.1. Hilbert space valued variables, processes, and stochastic integrals 115
the collection of sets
{g ∈ H : hg, hiH ≤ α}, h ∈ H, α ∈ R.
This implies that u is an H-valued random variable if and only if for each
h ∈ H the mapping hu(·), hiH : Ω → R is a real-valued random variable. Thus
ku(·)kH = hu(·), u(·)i1/2

H : Ω→R
is a real-valued random variable for any H-valued random variable u.

To introduce the Bochner integral of an H-valued random variable we first
define an integral for a simple H-valued random variable
N
X
u(ω) = xi χGi (ω), ω ∈ Ω, xi ∈ H, Gi ∈ F,
i=1
as
Z N
X
u(ω)P (dω) := xi P (Gi ∩ F ), F ∈ F,
F i=1
where χG is the characteristic function of set G. In Rgeneral, an H-valued

random variable u is said to be Bochner integrable if Ω ku(ω)kH P (dω) < ∞
and its Bochner integral is defined as
Z Z
u(ω)P (dω) := lim un (ω)P (dω),
Ω n→∞ Ω
where {un } is a sequence of simple random variables such that
ku(ω) − un (ω)kH → 0 as n → ∞ for ω ∈ Ω a.s.
and Z
lim ku(ω) − un (ω)kH P (dω) → 0.
n→∞ Ω
Similar to the case of real-valued random variables (i.e., of real-valued mea-

surable functions) it is not difficult to show that this definition is independent
of the choice of the sequence (see, e.g., [53, 103]). We also note the straight-
forward inequality
Z Z

u(ω)P (dω) ≤ ku(ω)kP (dω).

F H F
Any H-valued random variable u induces a measure on (H, B(H)),
µ(G) := P {ω : x = u(ω) ∈ G} ≡ Lu (G), G ∈ B(H),
which is called the distribution law (or simply the distribution) of u; if an

H-valued random variable u(ω), ω ∈ Ω, is integrable, then (using different

notations) we have the equalities
Z Z Z Z Z
u(ω)P (dω) = u(ω)dP (ω) = xµ(dx) = xLu (dx) = x dLu (x).
Ω Ω H H H
Conversely, if µ is a measure on (H, B(H)), then we can construct a probability

space (Ω, F , P ) and an H-valued random variable u on this space with the
distribution law equal to µ.
If µ is a probability measure on (H, B(H)), then its characteristic function
µ̂(λ) : H → C is defined as the Fourier transform
Z
µ̂(λ) := eihλ,xiH µ(dx), λ ∈ H.
H
Note that if µ and µ1 are two probability measures on (H, B(H)) such that
µ̂ = µ̂1 , then µ = µ1 on (H, B(H)).
Let Lp (Ω, F , P ; H) ≡ Lp (Ω; H), p ≥ 1, be the space of all equivalence
classes of p-order-integrable H-valued random variables on (Ω, F , P ) with the
norm Z 1/p
kukp := ku(ω)kpH P (dω) .
Ω
Here random variables u and v belong to the same equivalence class if and
only if u = v Pa.s. (almost surely wrt P ). The space L2 (Ω; H) is Hilbert with
the scalar product
Z
hu, viL2 (Ω;H) := hu(ω), v(ω)iH P (dω).
Ω
Definition 4.1.1 The expectation of a random variable u ∈ L1 (Ω; H) is

Z
E(u) := u(ω) P (dω),
Ω
the correlation operator of random variables u, v ∈ L2 (Ω; H) is
Cor(u, v) := E[(u − E[u]) ⊗ (v − E[v])]1
and the covariance operator of u ∈ L2 (Ω; H) is
Cov(u) := E[(u − E[u]) ⊗ (u − E[u])]. (4.1.1)
Note that the expectation of an H-valued random variable is an element

of H. In particular, the expectation of an Rn -valued random variable is an n-
dimensional vector. The covariance operator of an H-valued random variable is
1 For the given h ∈ H , h ∈ H the linear operator h ⊗ h : H → H is defined by
1 1 2 2 1 2 2 1
(h1 ⊗ h2 )h := h1 hh2 , hiH2 , h ∈ H2 .
a generalization of the covariance matrix in the Rn -valued case. Recall that an

n×n matrix is a covariance matrix of an Rn -valued random variable if and only
if it is non-negative and symmetric. The covariance operator of an H-valued
random variable inherits these properties. To describe specific properties of
the covariance operator of an H-valued random variable, we introduce some
useful subclasses of bounded linear operators in Hilbert spaces (for more detail
see, e.g., [28, 57, 102, 103, 104, 114]).
Let H1 and H2 be Hilbert spaces and let L(H1 , H2 ) be the space of all
bounded linear operators from H1 to H2 equipped with the norm
kAk := inf{C : kAxkH2 ≤ CkxkH1 , x ∈ H1 }.
If H1 = H2 = H, then we write L(H) := L(H, H). An operator A ∈ L(H1 , H2 )
is called compact (or completely continuous) if the image of any bounded
subset from H1 has compact closure in H2 .
We note some basic properties of compact operators:
1) if A is compact, then for any bounded linear operators B1 and B2 the
products AB1 and B2 A are compact;
2) if A ∈ L(H1 , H2 ) is compact, then its adjoint A∗ ∈ L(H2 , H1 ) is compact
(recall that by the Riesz theorem, Hilbert space Hi is identified with Hi∗
and due to this we write A∗ ∈ L(H2 , H1 ) instead of A∗ ∈ L(H2∗ , H1∗ ));
3) if A ∈ L(H) is a self-adjoint compact operator and ker A = {0}, then
there exists an orthonormal basis {ej }∞j=1 in H consisting of eigenvec-
tors of A: Aej = λj ej , where corresponding eigenvalues λj are real and
limj→∞ λj = 0;
4) if A ∈ L(H1 , H2 ) is compact,
√ then it admits the polar decomposition A =
= U T , where T = A∗ A is a non-negative self-adjoint compact operator
on H1 and U is an isometric operator from ran T into H2 .
To summarize the above properties, we observe that an operator A ∈
L(H1 , H2 ) is compact if and only if it admits the representation
∞
X
Ax = λj hx, ej iH1 hj , x ∈ H1 , (4.1.2)
j=1
where {ej }∞ ∞
j=1 and {hj }j=1 are orthonormal systems in H1 and H2 , respec-
tively, λj > 0 and limj→∞ λj = 0. In this case λj are eigenvalues of the
non-negative self-adjoint compact operator T from the polar decomposition
of A; ej are eigenvectors of T and hj = U ej .
By introducing certain requirements on the rate of convergence of sequence
{λj }∞
j=1 in representation (4.1.2), we arrive at the class of Hilbert–Schmidt
operators, namely, an operator A ∈ L(H1 , H2 ) P
is said to be of Hilbert–Schmidt
∞
type if it admits representation (4.1.2), where j=1 λ2j < ∞.
Among the useful properties of Hilbert–Schmidt operators are the follow-
ing:
P∞ 2
1) A ∈ L(H1 , H2 ) is of Hilbert–Schmidt type if and only if j=1 kAej k < ∞
∞
for at least one orthonormal basis {ej }j=1 of H1 ;
2) the value
 1/2
∞
X
kAkHS :=  kAej k2H2 < ∞ (4.1.3)
j=1
does not depend on the choice of basis {ej } of H1 and is referred to as

the Hilbert–Schmidt norm of operator A;
3) the set of all Hilbert–Schmidt operators LHS (H1 , H2 ) is a normed space
with the norm kAkHSP ; it is also a separable Hilbert space with the scalar
∞
product hA, BiHS = j=1 hAej , Bej iH2 ;
4) if A : H1 → H2 is a Hilbert–Schmidt operator, then its adjoint operator
A∗ : H2 → H1 is also Hilbert–Schmidt;
5) if A is a Hilbert–Schmidt operator and B is a bounded linear operator,
then their products AB and BA are also Hilbert–Schmidt operators.
By introducing a more restrictive requirement on the rate of convergence
of the sequence {λj }∞
j=1 in representation (4.1.2), we arrive at the class of
nuclear operators, namely, an operator
P∞ A ∈ L(H1 , H2 ) is called nuclear if it
admits representation (4.1.2), where j=1 λj < ∞.
We summarize the basic properties of nuclear operators:
1) the product of two Hilbert–Schmidt operators is a nuclear operator; con-
versely, any nuclear operator is the product of two Hilbert–Schmidt op-
erators;
2) if A is a nuclear operator, then its adjoint A∗ is also a nuclear operator;
3) if A is a nuclear operator and B is a bounded linear operator, then their
products AB and BA are also nuclear;
4) a non-negative operator A ∈ L(H) is nuclear if and only if it is an operator
with finite trace, that is, if and only if the series
∞
X
hAej , ej iH =: T rA,
j=1
converges for any orthonormal basis {ej }∞j=1 of H and does not depend
on the choice of basis. The sum is referred to as the trace of A;
5) if A ∈ L(H1 , H2 ) is a nuclear operator,
√ then it admits the polar decom-
position A = U T , where T = A∗ A : H1 → H1 is a non-negative
self-adjoint compact operator with finite trace and U : H1 → H2 is an
isometric operator;
P∞
6) an operator A ∈ L(H1 , H2 ) is nuclear if and only if j=1 kAej kH2 < ∞
for at least one orthonormal basis {ej }∞
j=1 of H1 ;
7) if A ∈ L(H1 , H2 ) is a nuclear operator, then

∞
X
sup hAej , hj iH2 =: kAkN ,
j=1
where the supremum is taken over all orthonormal bases of H1 and H2 ;

8) the set of all nuclear operators LN (H1 , H2 ) is a normed space with the
norm kAkN and for any A ∈ LN (H1 , H2 ) we have
kAk ≤ kAkHS ≤ kAkN .
Now, after the survey of the properties of compact, Hilbert–Schmidt,

nuclear, and trace class operators, we can continue studying H-valued ran-
dom variables and summarize the main properties of the covariance operator
Cov(u) of an H-valued random variable u defined by (4.1.1).
Proposition 4.1.1 Let H be a separable Hilbert space over R and u be an
H-valued random variable. The operator Cov(u) is a non-negative self-adjoint
nuclear operator on H with the finite trace
T rCov(u) = E[ ku − E(u)k2H ].
Proof. Let u ∈ L2 (Ω; H); then for any h1 , h2 ∈ H we have
hCov(u)h1 , h2 i = hE[hu − E(u), h1 iH hu − E(u))], h2 iH
= E[hu − E(u), h1 iH hu − E(u), h2 iH ]
= hh1 , Cov(u)h2 iH .
Thus the operator Cov(u) is self-adjoint. It is non-negative since for any
h∈H Z
hCov(u)h, hiH = hu(ω) − E(u), hi2H P (dω) ≥ 0.
Ω
Finally, for any orthogonal basis in H we have
∞
X ∞
X
T rCov(u) = hCov(u)ej , ej iH = hE [(u − E(u))hu − E(u), ej i] , ej iH
j=1 j=1
X∞ Z
= |hu(ω) − E(u), ej iH |2 P (dω) = E[ ku − E(u)k2H ] < ∞.
j=1 Ω
In particular, if E(u) = 0, then

∞ Z
X
T rCov(u) = |hu(ω), ej iH |2 P (dω) = Ekuk2H . (4.1.4)
j=1 Ω

We say that H-valued random variables u and v are independent if
P {ω ∈ Ω : u(ω) ∈ B1 and v(ω) ∈ B2 } = P {ω : u(ω) ∈ B1 }P {ω : v(ω) ∈ B2 }
for any B1 , B2 ∈ B(H). If u, v ∈ L1 (Ω; R), this implies E(uv) = E(u)E(v).

Let G ⊆ F be a σ-subalgebra of F ; then for any H-valued random variable
u : (Ω, F ) → (H, B(H)) with u ∈ L1 (Ω; H), there exists a random variable
v : (Ω, G) → (H, B(H)) defined by
Z Z
v dP = u dP for any G ∈ G.
G G
It is unique up to sets of P -measure zero and is referred to as the conditional

expectation E(u|G) = v of random variable u with respect to the σ-algebra G.
Let us introduce Hilbert space valued Gaussian random variables. Recall
that a real-valued random variable v is called Gaussian if its distribution law
Lv has Gaussian density:
Z b
1 (y−m)2
Lv (a, b) = √ e− 2q dy, q > 0, m ∈ R.
a 2πq
The distribution function of Gaussian random variable v is therefore

Z x
1 (y−m)2
Lv (x) = Lv (−∞, x) = √ e− 2q dy, x ∈ R,
−∞ 2πq
and its expectation and covariance are
Z Z
E(v) = v(ω) P (dω) = x dLv (x) = m
G R
and Z
2
Cov(v) = E[(v − m) ] = (x − m)2 dLv (x) = q,
R
respectively. The distribution law of real-valued Gaussian random variable v
defines a probability measure on (R, B(R)), which is referred to as a Gaussian
measure and is denoted by N (m, q).
Likewise, an Rn -valued random variable v is called Gaussian if its distri-
bution law has the form
Z
1 1 −1
Lv (F ) = n/2 (det Q)1/2
e− 2 hQ (y−m), y−mi dy, F ⊂ Rn ,
F (2π)
where m ∈ Rn and Q is an n × n non-negative symmetric matrix. This

distribution law defines a probability measure on (Rn , B(Rn )), which is re-
ferred to as (non-degenerate) Gaussian measure N (m, Q). In this case vector
m = (mi , . . . , mn ) is the expectation of v:
Z Z
E(v) = v(ω) P (dω) = x1 . . . xn dLv (x1 , . . . , xn ) = m1 . . . mn .
Ω Rn
The matrix Q = [σij ]ni,j=1 is the covariance of v since

Z
σij = (xi − mi )(xj − mj ) dLv (x1 , . . . , xn ) .
Rn
Thus it defines a covariance operator on Rn by

Z n
X
Cov(v)y = (x1 − m1 ) . . . (xn − mn ) (xi − mi )yi dLv (x1 , . . . , xn ) = Qy.
Rn i=1
The characteristic function of an Rn -valued Gaussian random variable v

is the Fourier transform of its distribution law Lv = N (m, Q):
Z
1
b
N (m, Q)(λ) = eihλ, xi dLv (x) = eihλ, mi e− 2 hQλ, λi , λ ∈ C. (4.1.5)
Rn
n
Therefore, an R -valued random variable v is Gaussian if and only if its char-
acteristic function has the above form (4.1.5). This relation reduces to the
following definition of Gaussian random variables with values in a separable
Hilbert space H.
Definition 4.1.2 An H-valued random variable v : Ω → H is called Gaus-
sian if v(h) = hv, hiH : Ω → R for any h ∈ H is a real-valued Gaussian
random variable.
It follows from the definition that an H-valued random variable v is Gaus-
sian if and only if the random variables v(ej ) = hej , vi are real-valued Gaus-
sian for an orthogonal basis {ej }∞ j=1 in H. It follows that for an H-valued
random variable v the expectations E[v(ej )] define a linear functional mh on
H:
X∞
mh := E[v(h)] := E[v(ej )hej hi], h ∈ H,
j=1
and the correlation of random H-valued random variables v1 , v2 defines a

positive bilinear functional Q on H by
Q(h1 , h2 ) := E[(v(h1 ) − mh1 )(v(h2 ) − mh2 )], h1 , h2 ∈ H.
Continuity of the inner product in H implies that these functionals are con-
tinuous and therefore there exists an element m ∈ H and a non-negative
self-adjoint operator Q on H such that
mh = (h, m)H , Q(h1 , h2 ) = (Qh1 , h2 )H , h, h1 , h2 ∈ H.

The element m is referred to as the mean of the H-valued random variable v

and the operator Q : H → H as its covariance operator. It is not difficult to
show that operator Q is nuclear with a finite trace.
Moreover, the converse is true: an element m ∈ H and a non-negative
self-adjoint operator Q with a finite trace on H induce an H-valued random
variable v with the distribution law Lv = µ, where the measure µ on (H, B(H))
is defined via its characteristic function as
Z
1
µ
b(h) = eihh, xi dLv (x) = eihh, mi e− 2 hQh, hi , h ∈ H. (4.1.6)
H
It is referred to as a Gaussian measure with mean m and covariance operator

Q. Thus the following result holds.
Proposition 4.1.2 For any positive symmetric trace class operator Q : H →
H and m ∈ H there exists an H-valued Gaussian random variable with ex-
pectation m and covariance operator Q. Its distribution law is a Gaussian
measure on (H, B(H)) with mean m and covariance operator Q.
Proof. We show how to construct H-valued Gaussian random variable u with
given expectation m and covariance operator Q. Let (Ω, F , P ) be a probabil-
ity space and {βj } be a sequence of independent real-valued random variables
with distribution law N (0, 1). (The existence of such a sequence follows from
the Kolmogorov extension theorem and we construct such a sequence in Sec-
tion 6.1.) Consider
X∞
u=m+ σj βj ej , (4.1.7)
j=1
where {ej } is the orthonormal basis in H consisting of eigenvectors of Q:

∞
X ∞
X
Qej = σj2 ej , σj2 = hQej , ej iH < ∞.
j=1 j=1
The series (4.1.7) is convergent in L2 (Ω; H) due to the following equalities:

 
X∞ Xn ∞
X
E  (σj βj )2  = lim σj2 E(βj )2 = σj2 = T r Q.
n→∞
j=1 j=1 j=1
Let h ∈ H. Consider the characteristic functional of u:

Pn
E(eihh,ui ) = eihh,mi lim E ei j=1 σj βj hh,ej i
n→∞
Pn
1
σj2 hh,ej i2 1
= e ihh,mi
lim e− 2 j=1 = eihh,mi− 2 hQh,hi .
n→∞
In addition, we have E(u) = m and for any h1 , h2 ∈ H

n
X n
X
hCov(u)h1 , h2 iH = lim E σj βj hej , h1 iH σk βk hek , h2 iH = hQh1 , h2 iH .
n→∞
j=1 k=1
Thus Q is the covariance operator of u. It follows that the H-valued random

variable u is Gaussian with distribution law N (m, Q).
Now we show that an H-valued Gaussian random variable cannot have
a characteristic function with Q = I (or with a bounded, not a trace class
operator Q). Let {ej }∞ j=1 be an orthonormal basis of H. If Q = I, formula
(4.1.6) takes the form
Z
1
µ
b(ej ) = eihej , xi dLv (x) = eihej , mi e− 2 hIej , ej i .
H
Since hej , mi → 0 as j → ∞, we have µ b(ej ) → 1 for the left-hand side;

1
however, for the right-hand side we have eihej , mi e− 2 hIej , ej i → e−1/2 as j →
∞. Thus the requirement that hQej , ej iH → 0 as j → ∞ is crucial here.
4.1.2 Stochastic processes in Hilbert spaces. Definitions,

properties, and comparison with the finite-dimensional
case. Cylindrical and Q-Wiener processes
Here we introduce the notion of a stochastic process with values in a Hilbert
space H and investigate properties of H-valued stochastic processes. Special
attention is given to Gaussian and operator-valued processes. We consider
Brownian motion, which is an important example of a Gaussian process in
the particular case H = Rn . Further on we consider two types of generaliza-
tion of Brownian motion to infinite-dimensional Hilbert spaces: a Q-Wiener
process with a trace class covariance operator Q and a cylindrical Wiener pro-
cess, which can be regarded as a process in a certain weak sense. We define
stochastic Itô integrals for operator-valued stochastic processes {Φ(t), t ≥ 0}
wrt both types of Wiener processes. In conclusion, we present theorems which
are most important and useful for the study of stochastic problems addressed
in this book.
Let (Ω, F , P ) be a probability space and H be a Hilbert space.
Definition 4.1.3 A parameterized family of H-valued random variables

{u(t), t ∈ T } defined on (Ω, F , P ) is called an H-valued stochastic process.
It follows from the definition that for each fixed t ∈ T we have an H-valued
random variable
u(t, ·) : Ω → H.
On the other hand, fixing ω ∈ Ω, we obtain the function u(·, ω) : T → H
called a trajectory (or path) of u(t). Sometimes it is convenient to identify
each ω with the corresponding path u(·, ω) and Ω with a subset of the space
of all functions from T into H.
In the next sections, while studying stochastic Cauchy problems in Hilbert
spaces, we will use [0, T ], or [0, T ) with T < ∞, or [0, ∞) as the parameter set
T . In either case a solution of the stochastic problem is a stochastic process

{X(t), t ∈ T }.
Now we recall definitions of measurability and certain types of continuity
of stochastic processes, then introduce the notion of a version of a process
and give an instructive example of a continuous stochastic process with a
discontinuous version.
Let {u(t), t ∈ T } be a stochastic process. We say that
- u(t) is measurable if the map u(·, ·) : T ×Ω → H is B(T )×F measurable;
- u(t) is stochastically continuous at t0 ∈ T if for any positive numbers
ε, δ there exists a positive number ρ such that
P (ku(t) − u(t0 )kH ≥ ε) ≤ δ for any t ∈ [t0 − ρ, t0 + ρ] ∩ T ;
- u(t) is mean square continuous at t0 ∈ T if

lim E ku(t) − u(t0 )k2H = 0.
t→t0
The process is called stochastically continuous or mean square continuous

on T if it has the corresponding property at each point of T .
The question of continuity of trajectories of a stochastic process arises in
different aspects of the research. In particular, the question of coincidence
(in a sense) of continuous and discontinuous processes is closely related to
the question of uniqueness of solutions to stochastic problems. In the next
chapter we will see that uniqueness of solutions of stochastic Cauchy problems
is understood in the sense of coincidence of versions. In this connection let
us consider the example mentioned above of two processes {u(t), t ∈ T } and
{v(t), t ∈ T } with different continuity properties which, nevertheless, coincide
in the following sense:
for each t ∈ T , P {ω : u(t, ω) =

6 v(t, ω)} = 0. (4.1.8)
The stochastic process {v(t), t ∈ T } satisfying the condition (4.1.8) is called

a version or modification of {u(t), t ∈ T }.
Example 4.1.1 Consider the probability space (Ω, F , P ), where Ω = [0, 1],
F is the σ-field of Lebesgue measurable subsets of [0, 1] and P is the Lebesgue
measure on [0, 1]. Let T = R. For all t ∈ R, ω ∈ [0, 1] consider

0, t 6= ω,
u(t, ω) = 0 and v(t, ω) =
h, t = ω, h ∈ H.
Then for any t ∈ R, P {ω : u(ω, t) = 0} = 1 and P {ω : v(ω, t) = 0} = 1.
Obviously we have
P {ω : u(ω, t) = v(ω, t)} = 1,
i.e., both processes are versions of one another. It is easy to check that both
processes have the same finite-dimensional distributions. From this point of
view they can be regarded as different versions of one process. However,
P {ω : u(·, ω) is continuous} = 1, but P {ω : v(·, ω) is continuous} = 0,
because for any ω ∈ [0, 1] the function v(·, ω) has a discontinuity at t = ω.

This example suggests the idea of replacing the question of continuity of
trajectories of a stochastic process by the question of existence of a continuous
version of this process. In the next section we will see that uniqueness of
solutions of stochastic Cauchy problems is understood up to a version.
The important result on the existence of a continuous version is
Theorem 4.1.1 (The Kolmogorov theorem) If an H-valued stochastic

process {u(t), t ≥ 0} has the property: for any t, s ∈ [0, ∞) there exist C > 0,
ε > 0, δ > 0 such that
Eku(t) − u(s)kδH ≤ C|t − s|1+ε ,
then there exists a continuous version of the process.
As shown in the previous subsection, the properties of random variables

(including H-valued ones) are closely connected with the properties of their
distribution laws. A similar role in the theory of stochastic processes is played
by their finite-dimensional distributions.
Definition 4.1.4 Probability measures µt1 ,...,tk defined on Hilbert spaces

H k = H × . . . × H, k ∈ N, by
µt1 ,...,tk (G1 × . . . × Gk ) = P {ω : u(t1 , ω) ∈ G1 , . . . , u(tk , ω) ∈ Gk }, (4.1.9)
where Gi ∈ B(H), are called (finite-dimensional) distributions of the process

{u(t), t ∈ T }.
Similar to the distribution law of a random variable, the family of all

finite-dimensional distributions determines many, but not all, properties of a
process. In the particular case H = Rn the Kolmogorov extension theorem
[61] states that under two natural consistency conditions imposed on the set of
measures {µt1 ,...,tk : k ∈ N, t1 , . . . , tk ∈ T } on Rnk , they define an Rn -valued
stochastic process with µt1 ,...,tk as the finite-dimensional distributions.
Consider an important example of a stochastic process defined by the
following family of measures on the spaces Rnk :
µt1 ,...,tk (G1 × . . . × Gk ) =

Z
p(t1 , x, x1 )p(t2 − t1 , x1 , x2 ) · · · p(tk − tk−1 , xk−1 , xk ) dx1 · · · dxk .
G1 ×...×Gk
(4.1.10)
Here the function

1 − |x−y|
2
p(t, x, y) = e 2t , x, y ∈ Rn , t > 0,
(2πt)n/2
for any fixed t and x is the probability density of an Rn -valued Gaussian

random variable with distribution law
Z
1 − |x−y|
2
N (x, t)(G) = e 2t dy, G ∈ B(Rn ).
(2πt)n/2 G
The family of measures defined by (4.1.10) satisfies the Kolmogorov exten-

sion theorem, hence there exist a probability space (Ω, F , P = P (x)) and a
stochastic process {β(t), t ≥ 0} with values in Rn (n-dimensional Brownian
motion) such that its finite-dimensional distributions are defined by measures
(4.1.9):
P {ω ∈ Ω : β(t1 , ω) ∈ G1 , . . . , β(tk , ω) ∈ Gk } = µt1 ,...,tk (G1 × . . . × Gk ).
In particular the distribution law of the R-valued Brownian motion starting

at point x is
P {ω : β(t, ω) ∈ G} = µt (G) = N (x, t)(G).
Now we list the main properties of the Brownian motion defined above.
Proposition 4.1.3 [95] Let {β(t), t ≥ 0} be the process defined by measures

(4.1.10). It has the following properties.
(B1) P {ω : β(0, ω) = x} = 1, i.e., the process β(t) starts at the point x Pa.s. .
(B2) β(t) has independent increments, i.e., for any set 0 ≤ t1 < · · · < tk the
random variables
β(t1 ), β(t2 ) − β(t1 ), . . . , β(tk ) − β(tk−1 )
are independent wrt P .

(B3) β(t) is a Gaussian process, which means that (β(t1 ), . . . , β(tk )) is an
Rnk -valued Gaussian random variable for any 0 ≤ t1 ≤ · · · ≤ tk . The
expectation of this vector is equal to m = (x, . . . , x) ∈ Rnk and the
covariance matrix is equal to
 
t1 In t1 In t1 In . . . t1 In
 t1 In t2 In t2 In . . . t2 In 
 
 
Qt1 ,...,tk =  t1 In t2 In t3 In . . . t3 In 
 .. .. .. .. 
 . . . . 
t1 In t2 In t3 In . . . tk In
where In is the n × n unit matrix.

(B4) β(t) has continuous trajectories Pa.s. , i.e., the mapping t → β(t, ω),
t ≥ 0, is continuous for almost all ω ∈ Ω.
The process defined by the family of measures (4.1.10) is one of the class of
processes with properties (B1)–(B4). This gives rise to the following definition.
Definition 4.1.5 An Rn -valued stochastic process {β(t), t ≥ 0} satisfying
conditions (B1)–(B4) is called Brownian motion (starting at point x).
Brownian motion is a very important Gaussian process in the theory of
finite-dimensional stochastic equations and serves as a basis for its infinite-
dimensional extensions, which are H-valued Wiener processes.
Definition 4.1.6 Let H be a Hilbert space. An H-valued stochastic process
{u(t), t ≥ 0} is said to be a Gaussian process if for any k ∈ N and arbi-
trary positive numbers t1 , . . . , tk , the measure µt1 ,...,tk defined by (4.1.9) is
Gaussian.
It follows from the definition that an H-valued stochastic process {u(t), t ≥ 0}
is Gaussian if and only if the H k -valued random variable (u(t1 ), . . . , u(tk )) is
Gaussian for any choice of positive numbers t1 , . . . , tk .
As follows from the properties obtained of an H-valued Gaussian random
variable, it cannot have the covariance operator equal to the unity operator
on H: by (4.1.4) it must be a trace class operator. Motivated by Definition
4.1.5 we introduce an important class of stochastic processes, called Q-Wiener
processes, where Q are trace class operators. The notion of a Q-Wiener process
can be regarded as a generalization of the notion of Brownian motion to the
case of infinite-dimensional Hilbert spaces.
Definition 4.1.7 Let Q be a symmetric non-negative trace class operator
in a Hilbert space H. An H-valued stochastic process W = {W (t), t ≥ 0} is
called a Q-Wiener process (starting at zero) if
(W1) W (0) = 0 Pa.s. .
(W2) W has independent increments.
(W3) L[W (t)−W (s)] = N (0, (t − s)Q), 0 ≤ s ≤ t.
(W4) W has continuous trajectories.
As shown in the beginning of this section, for any non-negative symmetric
trace class operator Q in a separable Hilbert space H there exists an orthonor-
mal basis of eigenvectors {ej } with Qej = σj2 ej such that
∞
X ∞
X
T rQ = hQej , ej iH = σj2 .
j=1 j=1
It follows from Definition 4.1.7 and properties of Gaussian random variables

that a Q-Wiener process has the following probability characteristics.
Proposition 4.1.4 Let W be a Q-Wiener process in a Hilbert space H. Then

the process is Gaussian and
E(W (t)) = 0, Cov(W (t)) = tQ, t ≥ 0. (4.1.11)
Proof. In addition to the properties (4.1.11), let us show that for any t ≥ 0 the
random variable W (t) has the following expansion in L2 (Ω, P ; H) = L2 (Ω; H):
∞
X
W (t) = σj βj (t)ej , (4.1.12)
j=1
where βj (t) = σ1j hW (t), ej iH , t ≥ 0, are independent real-valued Brownian

motions on (Ω, F , P ).
To show the representation (4.1.12) we prove that the series is convergent in
L2 (Ω; H). For this it is enough to prove that partial sums form a fundamental
sequence in the complete space L2 (Ω; H). For 1 ≤ n < m we have
2
m m m
X X X

E σj βj (t)ej = t σ 2
ke k 2
= t σj2 . (4.1.13)
j j H
j=n j=n j=n
H
P∞
Since Q is a trace class operator and j=1 σj2 = T rQ < ∞, the series in
(4.1.12) is convergent in L2 (Ω; H).
Thus we have proved that for any Q-Wiener process W there exists a
sequence of independent real-valued Brownian motions βj (t) = σ1j hW (t), ej iH ,
t ≥ 0, j = 1, 2, . . . . The converse result follows from the proof of the next
proposition.
Proposition 4.1.5 For a Hilbert space H and arbitrary trace class symmet-
ric non-negative operator Q in H there exists an H-valued Q-Wiener process.
Proof. Let {βj (t), t ≥ 0}, j ∈ N, be a sequence of independent real-valued

Brownian motions on (Ω, F , P ). Consider the series (4.1.12) with σj2 being the
eigenvalues of Q. Since for any 1 ≤ n < m we have (4.1.13), the series (4.1.12)
is convergent in L2 (Ω; H).
Now we prove that the process W defined by (4.1.12) is a Q-Wiener pro-
cess. Without loss of generality we may assume that βj (0) = 0, j ∈ N; then
W (0) = 0 and the property (W1) holds. Further, for any t ≥ s ≥ 0, the in-
crement W (t) − W (s) is a Gaussian random variable as it is the mean square
limit of the sequence of Gaussian random variables
n
X n
X
σj βj (t)ej − σj βj (s)ej .
j=1 j=1
Since the increments are Gaussian random variables, they are independent if
and only if they are uncorrelated. Consider 0 ≤ t1 < t2 < . . . < tn . Denote
∆Wi = W (ti+1 ) − W (ti ), i = 1, . . . , n − 1. Let us show that they are un-
correlated. The independence of increments of any Brownian motion and the
independence of Brownian motions βj (t) and βl (t) with j = 6 l imply for any
h, g ∈ H:
hCor(∆Wi , ∆Wk )h1 , h2 iH = Eh(∆Wi ⊗ ∆Wk )h1 , h2 iH
= Eh∆Wi , h1 iH h∆Wk , h2 iH = 0, i 6= k.
Thus (W2) holds. To verify (W3) consider the covariance operator of the
difference W (t) − W (s). We have
hCov(W (t) −W (s))h, giH

 
X∞ ∞
X
= E hh, σj (βj (t) − βj (s))ej iH hg, σj (βj (t) − βj (s))ej iH 
j=1 j=1
∞
X
− (t − s) σj2 hh, ej iH hg, ej iH = (t − s)hQh, giH .
j=1
So, (W3) holds. Since βj (t), j ∈ N, are continuous, (W4) is also fulfilled.
In Section 6.1 devoted to Hilbert space valued generalized random variables
we present a construction of a sequence of independent real-valued Brownian
motions {βj (t), t ≥ 0} within the framework of the theory of generalized
random variables.
Now we consider the case of a bounded operator Q in a separable Hilbert
space H with T rQ = ∞ and define weak (or cylindrical) Wiener processes. If
Q is not a trace class operator, in particular Q = I, then the series (4.1.12)
is divergent in L2 (Ω; H). There are two ways of avoiding the problems that
arise. The first one is to consider the cylindrical Wiener process as a process
in H in a weak sense. The second one is to construct a Q1 -Wiener process on
an appropriate space H1 ⊃ H.
We begin with the first approach. We will see that instead of the factors
σj ensuring the convergence of the series (4.1.12), some other regularizing
multipliers appear in the case T rQ = ∞, in particular, Q = I.
For any h ∈ H consider the scalar product
∞
X
hh, W (t)iH := βj (t)hh, ej iH , t ≥ 0, (4.1.14)
j=1
where {βj (t), t ≥ 0} is a family of independent Brownian motions and {ej } is

an orthogonal basis in H. Then for a bounded self-adjoint positive operator
Q in H with T rQ = ∞, the process defined by (4.1.14) is a real-valued Qh -

Wiener process with zero expectation and covariance tQh = thQh, hiH .
P∞We can 2see that the role of the regularizing multipliers hh, ej i with
j=1 hh, ej i < ∞ in this case is similar to the role of the multipliers σj
in (4.1.12).
Summarizing the properties of the stochastic process defined by (4.1.14),
we arrive at the following definition.
Definition 4.1.8 Let Q be a bounded self-adjoint positive operator in a
Hilbert space H with T rQ = ∞. Let, for any h ∈ H, the real-valued pro-
cess {hh, W (t)i =: Wh , t ≥ 0} be Gaussian with independent increments and
continuous version and
E(Wh ) = 0 and Cov(Wh ) = thQh, hiH . (4.1.15)
Then {W (t), t ≥ 0} is called a weak (or cylindrical) Wiener process in H.
If a process {W (t), t ≥ 0} satisfies (4.1.15), it is also referred to as a (weak)
Q-Wiener process with T rQ ≤ ∞.
The second way to define a cylindrical Wiener process W is to consider
W as a Q1 -Wiener process with a trace class operator Q1 in a certain Hilbert
space H1 . This is a slightly more complicated way. At the beginning we present
the definition for the general case of a Q-Wiener process with T rQ ≤ ∞ and
then for the particular case Q = I. To do this we need to introduce a space
HQ , which later will be useful in the definition of stochastic integrals wrt
Q-Wiener and cylindrical Wiener processes.
Let Q be a bounded self-adjoint positive operator in H with T rQ ≤ ∞.
Define the Hilbert space
HQ := Q1/2 (H), hu, viHQ := hQ−1/2 u, Q−1/2 viH , (4.1.16)
and take a Hilbert space H1 in such a way that the embedding J of H into
H1 is a continuous operator and embedding JQ of HQ into H1 is a Hilbert–
Schmidt operator.
Obviously, HQ is a subspace of H and H1 is a somewhat wider space than
H. We construct cylindrical Wiener process {W (t), t ≥ 0} as a Q1 -Wiener
process on H1 .
Proposition 4.1.6 Let Q be a bounded self-adjoint positive operator in a
Hilbert space H with T rQ = ∞. Let {βj (t), t ≥ 0} be a family of independent
real-valued Brownian motions. Then the series
∞
X
W (t) = βj (t)gj , t ≥ 0, (4.1.17)
j=1
where {gj } is an orthonormal basis in HQ , defines an H1 -valued Q1 -Wiener

∗
process with the zero expectation and covariance operator Q1 := JQ JQ in the
1/2
space H1 defined by the equality Q1 (H1 ) = HQ and equipped with the norm
−1/2
khkHQ = kQ1 hkH1 .
Proof. To show that the series (4.1.17) is convergent in L2 (Ω; H1 ), similarly

to (4.1.13), we obtain
 2 
m m m
 X  X X
E  βj (t)gj  = t kg k 2
= t kJQ gj k2H1 .
j H1
j=n j=n j=n
H1
Here kgj kH1 = kJQ gj kH1 since JQ is the imbedding operator of HQ into H1
and gPj ∈ HQ ⊂ H1 . Since the embedding is a Hilbert–Schmidt operator, we
have ∞ 2
j=1 kJQ gj kH1 < ∞.
Now we define the covariance operator Q1 of {W (t), t ≥ 0} in H1 . Consider
0 ≤ s ≤ t. Similar to equalities for Cov(W (t)− W (s)) obtained in Proposition
4.1.5 we have
∞
X
∗ ∗
hCov(W (t) − W (s))h, giH1 = (t − s) hJQ h, gj iHQ hJQ g, gj iHQ
j=1
∗ ∗ ∗
= (t − s)hJQ h, JQ giHQ = (t − s)hJQ JQ h, giH1
for any h, g ∈ H1 . Hence it is natural to define

∗
Q1 := JQ JQ : H1∗ ≃ H1 → H1 .
Being a covariance operator, Q1 is self-adjoint and positive. Moreover, being

a product of Hilbert–Schmidt operators, Q1 is a trace class operator on H1 .
The fact that the process obtained has all the properties of a Q1 -Wiener
process in H1 can be proved by the similar arguments as in Proposition 4.1.5.
Remark 4.1.1 Note that in the particular case T r Q < ∞ we can take
H1 = H and Q1 = Q, while in the case Q = I we have HQ = H and take H1
in such a way that projection from H1 to H is a trace class operator Q1 . Due
to Proposition 4.1.6, any cylindrical Wiener process is a Q1 -Wiener process
in suitable H1 .
4.1.3 Stochastic integrals wrt Wiener processes

Now we define stochastic integrals of operator-valued stochastic processes
{Φ(t), t ≥ 0} wrt a Q-Wiener or a cylindrical Wiener process {W (t), t ≥ 0}
in the sense of Itô: Z t
Φ(s) dW (s), t ∈ [0, ∞). (4.1.18)
0
We will pay special attention to the particular form of such an integral
Z t
U (t − s) BdW (s) t ∈ [0, ∞),
0
called a stochastic convolution since it plays an important role in studying

stochastic equations. We will show that the integral (4.1.18) wrt either a Q-
Wiener or a cylindrical Wiener process (with Q = I) is defined under the
condition Z t
2
E kΦ(s)kHS ds < ∞, 0 ≤ t < ∞, (4.1.19)
0
where kΦ(s)k2HS is the Hilbert–Schmidt operator norm of Φ(s) : HQ → H.

The condition (4.1.19) formally looks the same for cylindrical and Q-Wiener
processes. However, the condition is different for each type of Wiener process
since the operator Q is different in each case.
Before going further, let us explain the notation of spaces H and HQ .
Since in the next sections stochastic integrals will be used for constructing
solutions to stochastic Cauchy problems (P.1) and (I.1), we will use notations
in accordance with the problems, where A is the generator of a semi-group
defined in a Hilbert space H and Wiener process {W (t), t ≥ 0} or white
noise {W(t), t ≥ 0} are, generally, processes with values in another Hilbert
space H. In compliance with these notations we will consider the operator-
valued stochastic process {Φ(t), t ≥ 0} as L(HQ , H) valued, L(H, H) valued,
or LHS (H, H) valued.
Thus let H, H be separable Hilbert spaces, (Ω, F , P ) be a probability
space, and T be equal to [0, τ ), τ ≤ ∞), or [0, T ].
An increasing family of σ-fields {Ft , t ∈ T } on Ω is called a filtration. A
filtration {Ft , t ∈ T } is said to be normal if {G ∈ F : P (G) = 0} ⊂ F0 and
Ft = ∩s>t Fs for all t ∈ T . If, for any t ∈ T , the random variable u(t) is Ft -
measurable, then the process {u(t), t ∈ T } is called adapted to the filtration
{Ft }.
To define the concept of a predictable Hilbert space valued random process,
we denote Ω∞ = [0, ∞) × Ω (ΩT = [0, T ] × Ω) and introduce the σ-field B∞
(BT ) on Ω∞ (ΩT ) generated by sets of the form
(s, t] × G, G ∈ Fs , 0 ≤ s < t < ∞ (0 ≤ s < t ≤ T ),

(4.1.20)
{0} × G, G ∈ F0 .
Denote by P∞ the product of the Lebesgue measure on [0, ∞) with the prob-
ability measure P on Ω and by PT its restriction on [0, T ] × Ω.
A measurable mapping from (Ω∞ , P∞ ) or (ΩT , PT ) to (H, B(H)) is called a
predictable process. It is known that an adapted and stochastically continuous
process on [0, T ] has a predictable version [20, 81].
Now we arrive at the definition of a stochastic integral and, as usual in
definitions of integrals, we start with the definition for elementary processes.
Let (Ω, F , P ) be a probability space with a normal filtration {Ft , t ≥ 0}
generated by a Wiener process W , i.e., W (t) is Ft -measurable, and by (W3)
the increments W (t + h) − W (t) are independent of Ft .
An L(H, H)-valued process {Φ(t), t ∈ [0, T ]} is said to be elementary if
there exist a set 0 = t0 < t1 < . . . < tk = T and L(H, H)-valued random
variables Φ0 , Φ1 , . . . , Φk−1 such that Φm is Ftm-measurable and Φ(t) = Φm ,

t ∈ (tm , tm+1 ], for each m = 0, . . . k − 1.
For an elementary process Φ ∈ L(H, H) a stochastic integral wrt a Wiener
process W is defined as usual for elementary functions:
Z t k−1
X
Φ(s)dW (s) := Φm (W (tm+1 ∧ t) − W (tm ∧ t)) , t ∈ [0, T ].2 (4.1.21)
0 m=0
Further, we indicate the class of LHS (HQ , H)-valued processes Φ for which
the stochastic integral with respect to a Wiener process can be defined as the
mean square limit of the sums (4.1.21) for elementary processes approximat-
ing Φ. Moreover, we will show that for both types of Wiener processes the
condition on Φ can be formally written in the same form as (4.1.19).
If an operator Q : H → H is the covariance operator of a Q-Wiener pro-
cess W , it is symmetric, non-negative, and trace class and there exists an
orthonormal basis {ej } of eigenvectors of Q such that
∞
X
Qej = σJ2 ej , σj2 < ∞.
j=1
While defining a cylindrical Wiener process, we introduced the Hilbert space

HQ with T r Q ≤ ∞. Note that for such a Q the definition (4.1.16) implies
that {gj = σj ej } is an orthonormal basis in HQ .
Now consider the space LHS (HQ , H) of Hilbert–Schmidt operators from HQ
into H. The following two propositions are concerned with relations between
spaces L(H, H) and LHS (HQ , H). The relation will be crucial for the definition
of stochastically integrable processes {Φ(t), t ∈ [0, T ]}.
Proposition 4.1.7 Let H, H be separable Hilbert spaces and Q be a trace
class operator on H. For any Φ ∈ LHS (HQ , H), the operators ΦΦ∗ and
ΦQ1/2 (ΦQ1/2 )∗ act in H and
T r[ΦΦ∗ ] = kΦk2HS = T r[ΦQΦ∗ ].
Proof. Let {fk }∞ ∞
k=1 be an orthonormal basis in H and let {gk }k=1 be an
orthonormal basis in HQ . Using the definition of the space HQ and by the
definition of adjoint operators, we obtain
∞
X ∞
X
T r[ΦΦ∗ ] = hΦΦ∗ fk , fk iH = hΦ∗ fk , Φ∗ fk iHQ
k=1 k=1
∞
*∞ ∞
+
X X X
∗ ∗
= hΦ fk , gj iHQ gj , hΦ fk , gj iHQ gj
k=1 j=1 j=1 HQ
∞ X
X ∞ ∞ X
X ∞
= hΦ∗ fk , gj iHQ hΦ∗ fk , gj iHQ = hfk , Φgj i2H
k=1 j=1 k=1 j=1
2t ∧ t := min{tm+1 ; t}.
m+1
∞ X
X ∞ ∞
X
= hfk , Φgj i2H = kΦgj k2H = kΦk2HS . (4.1.22)
j=1 k=1 j=1
By the definition of the scalar product in HQ , for any h1 , h2 ∈ HQ , we have
hh1 , h2 iHQ = hQ1/2 h1 , Q1/2 h2 iH .
Taking into account that Q1/2 is self-adjoint in HQ , we obtain
∞
X ∞
X
kΦk2HS = hΦ∗ fk , Φ∗ fk iHQ = hΦQΦ∗ fk , fk iH = T r[ΦQΦ∗ ].
k=1 k=1
Now we show that any operator from L(H, H) can be regarded as an

element of LHS (HQ , H) for trace class operators Q : H → H.
Proposition 4.1.8 If Φ ∈ L(H, H), then ΦQ := Φ|HQ belongs to the space
LHS (HQ , H).
Proof. First we show that ΦQ ∈ LHS (HQ , H). Let {ej }∞j=1 be an orthonormal
basis in H consisting of eigenvectors of Q with Qej = σj2 ej . Then {gj =
σj ej }∞
j=1 is an orthonormal basis in HQ and the following equalities hold:
∞
X ∞
X ∞
X
2 2
kΦQ k2HS = kΦQ gj kH = σj2 kΦej kH ≤ kΦk2 σj2 < ∞.
j=1 j=1 j=1
In addition, similar to equalities (4.1.22), we have T r[ΦQΦ∗ ] = kΦQ k2HS .

The following theorem states the fundamental equality, called Itô isometry.
The equality will be used in the definition of stochastic integrals in the general
case. Here again at the beginning we formulate and prove the Itô isometry for
elementary processes. Then, by passing to the mean square limit, we will
extend it to the general case.
Theorem 4.1.2 (The Itô isometry) If {Φ(t), t ≥ 0} is an elementary
process with values in LHS (HQ , H) satisfying the condition (4.1.19) and W is a
Q-Wiener process or a cylindrical Wiener process (with Q = I for simplicity),
then " Z 2 # Z t
t
E Φ(s)dW (s) =E
kΦ(s)k 2
HS ds . (4.1.23)
0 H 0
Proof. Let t ∈ [0, T ]. Denote ∆Wj (t) = W (tj+1 ∧ t) − W (tj ∧ t), j = 1, . . . , m.

Then
" Z  
2 # m
X
t
E Φ(s)dW (s) =E
 kΦj ∆Wj (t)k2 
0 H j=0
 
j−1
m X
X
+ 2E  hΦi ∆Wi (t), Φj ∆Wj (t)iH  ,
j=1 i=0
where
" ∞
# ∞
X X
2
E kΦj ∆Wj (t)k =E hΦj ∆Wj (t), fk i2H = E h∆Wj (t), Φ∗j fk i2H .
k=1 k=1
By the definition of an elementary process, for any u ∈ H, the random variable

Φj u is Ftj -measurable with respect to B(H). Hence hΦj u, hiH = hu, Φ∗j hiH is
Ftj -measurable with respect to B(R). By this and since ∆Wj (t) is independent
of Ftj , we obtain
∞
X
E kΦj ∆Wj (t)k2H = E E h∆Wj (t), Φ∗j fk i2H |Ftj ,
k=1
where, by the definition of covariance operator and by the properties of con-

ditional expectations, we have

E E h∆Wj (t), Φ∗j fk i2H |Ftj = E[h∆Wj (t), Φ∗j fk i2H ]
= hCov[∆Wj (t)]Φ∗j fk , Φ∗j fk i2H = (tj+1 − tj )hQΦ∗j fk , Φ∗j fk iH .
Hence
E kΦj ∆Wj (t)k2H = (tj+1 − tj )E T r[Φj QΦ∗j ] .
Since for j = m the increment ∆Wm (t) is independent of Ftm as t > tm , by
the same arguments, we have
E [kΦm ∆Wm (t)k2H ] = (t − tm )E [T r[Φm QΦ∗m ]] .
Thus
 
Xm m
X Z t

E kΦj ∆Wj (t)k2H  = (tj+1 − tj )E kΦj k2HS E kΦ(s)k2HS ds .
j=0 j=0 0
6 i we have E [hΦi ∆Wi (t), Φj ∆Wj (t)iH ] = 0, finally we obtain

Since for j =
(4.1.23).
Now, after clarifying the relation between the spaces L(H, H) and
LHS (HQ , H) and proving the Itô isometry for elementary processes, we can
prove the following result on the mean square approximation of a predictable
LHS (HQ , H) valued (in particular, L(H, H) valued) process Φ by elementary
processes. As a consequence, we define a stochastic integral of such Φ wrt a
Q-Wiener process as the mean square limit of the stochastic integrals defined
for elementary processes.
Proposition 4.1.9 If {Φ(t), t ∈ [0, T ]} is an LHS (HQ , H)-valued predictable
process satisfying (4.1.19), then there exists a sequence of elementary processes
{Φn (t), t ∈ [0, T ]} such that
"Z #
T
E kΦ(s) − Φn (s)k2HS ds → 0 as n → ∞. (4.1.24)
0
Proof. By Proposition 4.1.8, the space L(H, H) is embedded into LHS (HQ , H).
This implies that {Φ(t), t ∈ [0, T ]} is LHS (HQ , H)-predictable.
Next, similar to the case of R-valued random variables, there exists a se-
quence {Φn (t), t ∈ [0, T ]} of elementary L(H, H) valued predictable processes
(hence LHS (HQ , H)-predictable) such that
kΦ(ω, t) − Φn (ω, t)kHS → 0 as n → ∞
for all (ω, t) ∈ ΩT . Consequently, (4.1.24) holds true.
Thus we can introduce the class of stochastically integrable processes as
the set of LHS (HQ , H) valued predictable processes satisfying the condition
(4.1.19).
Definition 4.1.9 Let H and H be separable Hilbert spaces. Let W be an
H-valued Q-Wiener or cylindrical process (considered as a (weak) Q-Wiener
process with T r Q = ∞) and {Φ(t), t ∈ [0, T ]} be an LHS (HQ , H) valued pre-
dictable process satisfying (4.1.19). Let {Φn } be a sequence of elementary pro-
cesses mean square convergent to Φ. The stochastic integral of Φ wrt W is
defined as the mean square limit of stochastic integrals:
Z t Z t
Φ(s) dW (s) := l.i.m. n→∞ Φn (s) dW (s), t ∈ [0, T ]. (4.1.25)
0 0
The existence of such a sequence of elementary processes Φn is proved by

Proposition 4.1.9. The stochastic integral for {Φn } is well defined by (4.1.21),
namely,
Z t n−1
X
Φn (s)dW (s) := (Φn )k ∆W (sk ), t ∈ [0, T ].
0 k=0
The existence of the limit in (4.1.25) follows from the Itô isometry.
Remark 4.1.2 Despite the fact that the equality (4.1.25) is taken as the
definition for a stochastic integral of Φ wrt a cylindrical Wiener process under
formally the same condition (4.1.19) as wrt a Q-Wiener process, it turns out
to be much more restrictive in the former case. This is because in the case
of a cylindrical process, the condition (4.1.19) really means Φ ∈ LHS ((H, H).
In addition, as proved in Theorem 4.1.6, an H-valued cylindrical process can
also be regarded as a Q1 -Wiener process in a Hilbert space H1 defined so
that the inclusion of H into H1 is a Hilbert–Schmidt operator. In this case the
requirement for Φ to be LHS ((H1 )Q1 , H) valued is the same as to be LHS (HQ , H)
valued, in particular for Q = I, is the same as to be LHS (H, H) valued.
We conclude the section with two important theorems on stochastic inte-
grals. They are Theorem 4.1.3 on change of order of integration, called the
stochastic Tonelli–Fubini theorem, and Theorem 4.1.4 on change of variables
in stochastic integrals, called the Itô formula. We present the theorems with-
out proofs (for the proofs, see, e.g., [34]), but we consider in detail the terms
in the equalities obtained.
Theorem 4.1.3 Let (E, B(E), µ) be a probability space, where µ is a finite

positive measure and
Φ = Φ(t, ω, x) : (ΩT × E, BT × B(E)) → (LHS (HQ , H), B(LHS (HQ , H))
is integrable with respect to µ. Then

Z "Z T
# Z T Z
Φ(t, ·, x) dW (t) dµ(x) = Φ(t, ·, x) dµ(x) dW (t).
E 0 0 E
Theorem 4.1.4 Let W be an H-valued Q-Wiener or cylindrical Wiener pro-

cess and {Φ(t), t ≥ 0} be a predictable LHS (HQ , H)-valued process under the
condition (4.1.19). Let ϕ be a predictable Bochner integrable H-valued process
and X(0) be a measurable H-valued random variable. Let F : [0, ∞) × H → R
have continuous derivatives Ft , Fx , and Fxx . Then for the process
Z t Z t
{X(t) = X(0) + ϕ(s)ds + Φ(s) dW (s), t ≥ 0}
0 0
the Itô formula holds:

Z t
F (t, X(t)) = F (0, X(0)) + hFx (s, X(s)), Φ(s) dW (s)i
0
Z tn
+ Ft (s, X(s)) + hFx (s, X(s)), ϕ(s)i
0
1 o
+ T r [Fxx (s, X(s))Φ(s)QΦ∗ (s)] ds. (4.1.26)
2
Now we give an interpretation for the terms of the infinite-dimensional Itô
formula (4.1.26), especially the last term, and explain the formula, comparing
it with the Itô formula in the finite-dimensional case.
The derivatives Fx and Fxx in (4.1.26) are understood in the Frechet sense
(see, e.g., [53, 57]). It means that
Fx : [0, T ] × H → H ∗ and Fxx : [0, T ] × H → L(H, H ∗ ).
More precisely, for each fixed t ∈ [0, T ] and any x ∈ H,
Fx (t, x)(·) : H → R, Fx (t, x) ∈ L(H, R) = H ∗ ,
Fxx (t, x)(·) : H → H ∗ , Fxx (t, x) ∈ L(H, H ∗ ).

In the case of a Q-Wiener process, i.e., when Q : H → H is trace class, the term
T r [Fxx (s, X(s))Φ(s)QΦ∗ (s)] is well defined. This is indeed the case since
Fxx (s, X(s))Φ(s)QΦ∗ (s) : H ∗ ≃ H → H∗ ≃ H
is a trace class operator. This is due to the fact that
Fxx : H ∗ → H, Φ : H → H, Φ∗ : H ∗ → H ∗
are bounded operators and since we identify H ∗ with H and H∗ with H by

the Riesz theorem on isomorphism.
The case of a cylindrical Wiener process (with Q = I) requires special
attention. In this case the term T r [Fxx (s, X(s))Φ(s)QΦ∗ (s)] is well defined
since Φ(s) ∈ LHS (H, H) and hence Φ∗ (s) ∈ LHS (H, H).
The second and the fourth terms in (4.1.26) can be written in the form of
scalar products, again due to the Riesz theorem. To make clear why the last
term in (4.1.26) is expressed in the form of trace, first note that, due to the
possibility of the cyclic permutation under the trace sign ([103]), it may be
also written as
h i
T r [Φ∗ (s)Fxx (s, X(s))Φ(s)Q] = T r (Q∗ )1/2 Φ∗ (s)Fxx (s, X(s))Φ(s)Q1/2 .
To explain this term in the formula, recall the finite-dimensional Itô formula
and compare it with the infinite-dimensional one (4.1.26). Let
Z t Z t
{X(t) = X(0) + ϕ(s)ds + Φ(s) dB(s), t ≥ 0}
0 0
be an n-dimensional stochastic process, where ϕ(t) is an n-dimensional

stochastic process, B(t) is a p-dimensional Brownian motion, and Φ(t) is an
(n × p)-matrix valued stochastic process. Let F (t, x) be a twice continuously
differentiable map from [0, ∞) × Rn into R; then the process F = F (t, X(t))
is again a stochastic process given by
∂F X ∂F
dF (t) = (t, X) dt + (t, X) dXi (t)
∂t i
∂xi
1 X ∂2F
+ (t, X) dXi (t) dXj (t). (4.1.27)
2 i,j ∂xi ∂xj
Substituting dXi (t)dXj (t) into the last term of (4.1.27) and using the Brown-
ian motion property dBi (t)dBj (t) = δij dt, we obtain that the sum of diagonal
elements of the matrix

1 ∗ ∂2F 1 2
∗∂ F
Φ Φ dt is equal to Tr Φ Φ dt.
2 ∂x2 2 ∂x2
4.2 Solutions to Cauchy problems for equations with

additive noise and generators of regularized semi-
groups
Now, having at hand the necessary information from the theory of Hilbert
space valued stochastic integrals and the details of the semi-group techniques
set out in Part I, we proceed to study the stochastic Cauchy problem (4.0.1).
4.2. Cauchy problems with additive noise 139
The present section is devoted to the linear stochastic Cauchy problem
dX(t) = AX(t) dt + B dW (t), t ∈ [0, T ], X(0) = ζ. (4.2.1)
First, we consider this basic problem with A generating a strongly continuous

semi-group of solution operators U = {U (t), t ≥ 0}, in particular a C0 -semi-
group, and with additive noise, that is, with B independent of X. We define
and construct weak solutions to (4.2.1). Then we consider solutions to the
problem, where A is the generator of a more general regularized semi-group
S = {S(t), t ∈ [0, τ )}, with τ ≤ ∞. In this case we obtain weak regularized
solutions to (4.2.1).
We show that all the solutions obtained have the form
X(t) = S(t)ζ + WA (t), t ∈ [0, T ], T < τ,

Rt
where the (regularized) stochastic convolution WA (t) := 0 S(t − s)BdW (s)
Rt
coincides with 0 U (t − s)BdW (s) if S is the semi-group of solution operators
{U (t), t ≥ 0}.
We pay special attention to the specificity of the stochastic convolution
for the problems with differential operators A = A(i∂/∂x) generating R-
semi-groups.
4.2.1 Definitions, existence, uniqueness, and properties of

weak solutions
Let (Ω, F , P ) be a probability space with a given filtration {Ft , t ≥ 0}
and H, H be separable Hilbert spaces. We consider solutions to the stochastic
Cauchy problem (4.2.1) where {W (t), t ≥ 0} is the H-valued Q-Wiener or
cylindrical Wiener process, W (t) is measurable wrt {Ft } (often the given
filtration is defined by W itself), B ∈ L(H, H), ζ is an F0 -measurable H-valued
random value, and A is the generator of a strongly continuous at t > 0 semi-
group of solution operators {U (t), t ≥ 0} in H, in particular, the generator of
a C0 -semi-group.
By the Cauchy problem (4.2.1) we mean the integral equation
Z t Z t
X(t) = ζ + AX(s)ds + BdW (s), t ∈ [0, T ]. (4.2.2)
0 0
According to this, strong and weak solutions to (4.2.1) are defined.
Definition 4.2.1 By a strong solution of (4.2.1) we call an H-valued pre-

dictable process X = {X(t), t ∈ [0, T ]}, X(t) = X(t, ω), ω ∈ (Ω, F , P ), such
that
Rt
(a) for each t ∈ [0, T ], X(t) ∈ dom A and 0 kAX(s)kH ds < ∞ Pa.s. ;
(b) X a.s. pathwise satisfies Equation (4.2.2), that is,

Z t
P {ω ∈ Ω : X(t) = ζ + AX(s) ds + BW (t), t ≥ 0} = 1.
0
As follows from the definition, the existence of a strong solution necessi-

tates the solution to be in dom A, otherwise certain strict conditions on A,
like boundedness, should be imposed. Since unbounded operators A generally
arise in applications, especially differential ones, we will pay more attention
to weak solutions.
Definition 4.2.2 By a weak solution of the problem (4.2.1) we call an H-

valued predictable process X = {X(t), t ≥ 0} such that
Rt
(a) for each t ∈ [0, T ], 0 kX(s)kH ds < ∞ Pa.s. ;
(b) X pathwise satisfies the equation
Z t
hX(t), yi = hζ, yi + hX(s), A∗ yi ds + hBW (t), yi Pa.s. ,
0
t ∈ [0, T ], y ∈ dom A∗ . (4.2.3)
Before constructing weak solutions to (4.2.1), let us discuss how strong

and weak solutions are related to solutions of the corresponding homogeneous
problem. Since we consider here the stochastic Cauchy problem in the integral
form and the supposed solutions of the stochastic problem depend on solution
operators of the corresponding integral homogeneous Cauchy problem, it is
natural to begin with relations between the “classical” homogeneous Cauchy
problem
u′ (t) = Au(t), t ≥ 0, u(0) = ζ ∈ dom A, (4.2.4)
and the integral problems
Z t
u(t) = ζ + Au(s) ds, t ≥ 0, ζ ∈ dom A,
0
Z t
u(t) = ζ + A u(s) ds, t ≥ 0, ζ ∈ H. (4.2.5)
0
As shown in Section 1.1, for the case of a C0 -semi-group these problems are
equivalent in the following sense: the unique solution u(t) = U (t)ζ, t ≥ 0,
for each ζ ∈ domA to the problem (4.2.4) exists if and only if U (t)ζ satisfies
(4.2.5) for each ζ ∈ H and U (t)Aζ = AU (t)ζ for ζ ∈ dom A. Thus the
following problems are equivalent for a semi-group {U (t), t ≥ 0} of class C0 :
U ′ (t)ζ = AU (t)ζ = U (t)Aζ, ζ ∈ dom A, U (0) = I, (4.2.6)

Z t
U (t)ζ = ζ + A U (t)ζ, ζ ∈ H. (4.2.7)
0
It turns out that this equivalence holds for a wider class of strongly contin-
uous semi-groups, namely, for Abel summable semi-groups. For A being the
generator of a strongly continuous at t > 0 semi-group of solution operators
U (t), t ≥ 0, the problem (4.2.5) is more general than (4.2.4).
Now, in view of the relations between the problems (4.2.6)–(4.2.7) and
taking into account the presence of the stochastic term and H-valued random
variable ζ in the stochastic problem, we can compare the following sequence
of stochastic problems and notice their increasing generality, beginning from
the problem corresponding to strong solutions and up to the problem corre-
sponding to weak solutions:
Z t
X(t) = ζ + AX(s) ds + BW (t) Pa.s ,
0
Z t
X(t) = ζ + A X(s) ds + BW (t) Pa.s ,
0
Z t
hX(t), yi = hζ, yi + h X(s) ds, A∗ yi + hBW (t), yi Pa.s , y ∈ dom A∗ ,
0
Z t
hX(t), yi = hζ, yi + hX(s) , A∗ yids + hBW (t), yi Pa.s , y ∈ dom A∗ ,
0
where t ∈ [0, T ] or t ∈ [0, τ ), τ ≤ ∞.

Comparing these problems, we see that the last one, that is, the Cauchy
problem (4.2.3) in Definition 4.2.2, is weaker than the first one, i.e., the prob-
lem (4.2.2) in Definition 4.2.1, due to the following two reasons. The first one
is the fact that we consider the problem where the operator A is not under the
integral sign, but before it. Thus the solution X need not to be in dom A; only
the integral of X needs to be. The second reason is the fact that, considering
∗ ∗
the problem in the weak sense, R twe change A by A applied to y ∈ dom A
and, due to this, the integral 0 X(s) ds does not need to be in dom A too.
Moreover, as shown in Section 4.1, the stochastic term BW in the first and
second equations must be a BQB ∗ -Wiener process with a trace class operator
BQB ∗ , while the term hBW, yi in the last two equations is well defined for a
cylindrical process W and bounded B.
Thus we will study weak solutions to the stochastic problem (4.2.3) with
different unbounded generators. In order to construct a weak solution to the
linear additive stochastic Cauchy problem, where A generates a strongly con-
tinuous semi-group {U (t), t ≥ 0}, we begin with the study of the Itô integral
Rt
WA = 0 U (t − s)B dW (s), t ≥ 0, which is the main part of the process:
Z t
{X(t) = U (t)ζ + U (t − s)B dW (s), t ≥ 0} . (4.2.8)
0
The latter is supposed to be a weak solution, due to analogy with the well-
known formula for ordinary differential equations. Later in this section we will
show that (4.2.8) is a unique weak solution to (4.2.1) in the sense of Definition
4.2.2, i.e., that it is a unique solution to (4.2.3).
Now we consider conditions for the existence of WA based on the conditions
given for the existence of stochastic integrals in Section 4.1.
Definition 4.2.3 Let {W (t), t ≥ 0} be an H-valued Wiener process and
{U (t), t ≥ 0} be a strongly continuous semi-group in H satisfying the condi-
tion Z t
kU (r)Bk2HS dr < ∞, t > 0, (4.2.9)
0
where
∞
X 1 1 1
kU (r)Bk2HS := kU (r)BQ 2 ej k2 = T r(Q∗ 2 B ∗ U ∗ (r)U (r)BQ 2 ).
j=1
Rt
Then WA (t) = 0 U (t − s)B dW (s), t ≥ 0, is called a stochastic convolution.
Let us show that the stochastic convolution WA is well defined under
the condition (4.2.9) wrt Q-Wiener and cylindrical Wiener processes W as a
particular case of the stochastic integral (4.1.18) defined under the condition
(4.1.19): Z t
E kΦ(s)k2HS ds < ∞, (4.2.10)
0
where
Φ(s) : HQ → H, kΦ(s)k2HS := Tr[Φ(s)QΦ∗ (s)].
As we explained in Section 4.1, the condition (4.2.10), being formally the same
for Q-Wiener and cylindrical Wiener processes (where T rQ = ∞) turns out
to be different in each case.
It is easy to see that, for a bounded operator B : H → H, a Q-Wiener
process, and a semi-group satisfying the condition (4.2.9), the estimate
Z t Z t
E kU (t − s)Bk2HS ds = kU (r)Bk2HS dr < ∞ (4.2.11)
0 0
holds. The estimate is sufficient for WA (t) to be well defined in the case
of a Q-Wiener process and a C0 -semi-group. The stochastic convolution is
also well defined for more general strongly continuous as t > 0 semi-groups
{U (t), t ≥ 0} with square-integrable singularities at t = 0 since
Z t Z tX
∞ ∞
X Z t
1 1
kU (s)Bk2HS ds = kU (s)BQ 2 ej k2 ds ≤ kBQ 2 ej k2 kU (s)k2 ds.
0 0 j=1 j=1 0
(4.2.12)
For the same semi-groups in the case of a cylindrical Wiener process, WA (t)
is well defined under the additional condition U (s)B ∈ LHS (H, H).
Now we present some properties of the stochastic convolution WA . These
properties will be used in studying solutions to stochastic problems in different
settings. We begin with the case of a Q-Wiener process and a C0 -semi-group.
After analyzing the stochastic convolution properties and properties of so-
lutions to the stochastic Cauchy problem obtained in this case, we will use
them for studying solutions to stochastic problems in the case of more general
semi-groups and cylindrical Wiener processes.
Proposition 4.2.1 Let {W (t), t ≥ 0} be an H-valued Q-Wiener process,
B ∈ L(H, H), and {U (t), t ≥ 0} be a C0 -semi-group in H. Then the stochastic
convolution WA is a predictable process, which is continuous in the sense of
mean square convergence:
lim E kWA (t) − WA (s)k2 = 0.
t→s
Proof. Let 0 < s < t < ∞. We have

Z s Z t
WA (t) − WA (s) = [U (t − r) − U (s − r)]B dW (r) + U (t − r)B dW (r).
0 s
It follows that
E kWA (t) − WA (s)k2

Z s Z t−s
= Ek [U (t − r) − U (s − r)]B dW (r)k2 + E k U (r)B dW (r)k2
0 0
Z s Z t
+ 2E h [U (t − r) − U (s − r)]B dW (r), U (r)B dW (r)iH . (4.2.13)
0 s
The last term in (4.2.13) is equal to zero by the property of a stochastic inte-
gral wrt a Wiener process. We apply the Itô isometry for abstract stochastic
integrals to the second term:
Z t−s Z t−s Z t−s
2 2
Ek U (r)B dW (r)k = E kU (r)BkHS dr = kU (r)Bk2HS dr .
0 0 0
Using the absolute continuity property of Bochner integrals for integrable

functions, we obtain
Z t−s
lim kU (r)Bk2HS dr = 0.
t−s→0 0
At last, by the semi-group continuity as t ≥ 0, we have

Z s
lim E k [U (t − r) − U (s − r)]B dW (r)k2
t−s→0 0
Z s
= lim k[U (r + t − s) − U (r)]Bk2HS dr = 0.
t−s→0 0
Thus the mean square continuity holds and consequently, as mentioned in the
previous section, the stochastic convolution has a predictable version and can
be used as part of the weak solution.
Note that for B ∈ LHS (H, H) Proposition 4.2.1 is also true for a cylindrical
Wiener process since the estimate (4.2.11) holds for such operators.
Now we show the existence of weak solutions to the linear additive stochas-
tic Cauchy problem (4.2.1) and consider probability characteristics of the so-
lutions. As the first result we show that a weak solution to (4.2.1) with the
generator of a C0 -semi-group exists and can be constructed in the form of a
sum of two terms. The first one is the solution to the corresponding homoge-
neous Cauchy problem and the second one is the stochastic convolution. Then
we will extend this result to more general strongly continuous semi-groups.
Theorem 4.2.1 Let A be the generator of a C0 -semi-group {U (t), t ≥ 0} in

a Hilbert space H and {W (t), t ≥ 0} be a Q-Wiener process in a Hilbert space
H, B ∈ L(H, H). Then, for each F0 -measurable H-valued random variable ζ,
the process (4.2.8) is a weak solution to (4.2.1).
Proof. We begin with the first term of the sum (4.2.8) and show that
{U (t)ζ, t ≥ 0} is Pa.s. a weak solution for the corresponding homogeneous
Cauchy problem. By the definition of a weak solution for the stochastic Cauchy
problem, the process must be predictable.
Let us prove that U ζ is a predictable process for each H-valued F0 -
measurable ζ. The process {U (t)ζ, t ≥ 0} is Ft -measurable as the compo-
sition of the deterministic function U (t, h) = U (t)h, which is measurable as a
function of the pair of variables (t, h) ∈ [0, +∞) × H and F0 -measurable func-
tion ζ. The paths of this process are P a.s. continuous on [0, +∞) due to the
strong continuity of the semi-group. Hence the process {U (t)ζ} with ζ being
an F0 -measurable H-valued random variable is a measurable mapping from
([0, ∞) × (Ω, F∞ , P ) into (H, B(H)), i.e., predictable. Its paths are integrable
due to the strong continuity as t ≥ 0 of a C0 -semi-group. Hence, {U (t)ζ} can
be used as part of a weak solution.
Now we prove that X(t) = U (t)ζ, t ≥ 0, for an H-valued F0 -measurable ζ
satisfies the homogeneous problem corresponding to (4.2.3). Due to the equiva-
lence mentioned above of the homogeneous problems (4.2.6) and (4.2.7) which
holds in the case of a C0 -semi-group {U (t), t ≥ 0}, we obtain the homoge-
neous integral equation from (4.2.7) for each value of the H-valued random
variable ζ. Given this equation and the continuity of the scalar product, we
obtain for each y ∈ dom A∗
Z t Z t
∗
hζ, yi + hU (r)ζ, A yi dr = hζ, yi + h U (r)ζ, A∗ yi dr
0 0
Z t
= hζ, yi + hA U (r)ζ dr, yi = hU (t)ζ, yi, t ≥ 0 Pa.s. .
0
Hence, for X(t) = U (t)ζ with an H-valued random variable ζ, we have the
equality
Z t
hX(t), yi = hζ, yi + hX(s) ds, A∗ yi, t ≥ 0 Pa.s. , y ∈ dom A∗ . (4.2.14)
0
Thus {U (t)ζ, t ≥ 0} satisfies (4.2.3) in the homogeneous case; hence X = U ζ

is a weak solution to the corresponding homogeneous Cauchy problem with
an H-valued F0 -measurable initial data ζ.
Now we show that the stochastic convolution WA is a weak solution to
(4.2.1) with zero initial data. By Proposition 4.2.1, {WA (t), t ≥ 0} is a pre-
dictable process. Next we show that the stochastic convolution has integrable
RT
paths, i.e., for each 0 < T < ∞, 0 kWA (t)kH dt < ∞ Pa.s. . Then the es-
timate (a) from Definition 4.2.2 of weak solutions will be proved. Using the
absolute continuity property
R t of Bochner integrals for integrable functions, we
obtain that the function 0 kU (t − s)Bk2HS ds is continuous in t ∈ [0, ∞), hence
it is integrable on any [0, T ] ⊂ [0, ∞) and, by the abstract Itô identity (4.1.23)
for H-valued stochastic integrals, we have
Z T Z t Z T Z T
kU (t − s)Bk2HS ds dt = E kWA (t)k2H dt = E kWA (t)k2H dt < ∞.
0 0 0 0
It remains to show that WA satisfies Equation (4.2.3) with ζ = 0:

Z t Z t
hWA (t), yi = hWA (s), A∗ yi ds + hB dW (s), yi, y ∈ domA∗ . (4.2.15)
0 0
Due to the continuity of a scalar product and to the properties of stochastic

integrals, we have
Z t Z t Z s
∗
hWA (s), A yi ds = h U (s − r)B dW (r), A∗ yi ds
0 0 0
Z tZ s Z t Z t
∗
= hU (s − r)B dW (r), A yi ds = hB dW (r), U ∗ (s − r)A∗ y dsi
0 0 0 r
Z t Z t−r
= hB dW (r), U ∗ (s)A∗ y dsi, y ∈ domA∗ . (4.2.16)
0 0
As is known (see Section 1.1), if A is the generator of a C0 -semi-group, the

adjoint operator A∗ is the generator of the semi-group {U ∗ (t), t ≥ 0}, which
is a C0 -semi-group too. Hence, for each y ∈ dom A∗ , we have
Z t−r Z t−r
∗ ∗
U (s)A y ds = A∗ U ∗ (s)y ds = U ∗ (t − r)y − y,
0 0
and as a result we obtain

Z t Z t
hWA (s), A∗ yi ds = hB dW (r), U ∗ (t − r)y − yi
0 0
Z t Z t
= hU (t − r)B dW (r), yi − hB dW (r), yi
0 0
Z t
= hWA (t), yi − hB dW (r), yi, y ∈ domA∗ .
0
This means that the equality (4.2.15) is true for X(t) = WA (t), t ≥ 0, and
Rt
the process {WA (t) = 0 U (t − s)B dW (s), t ≥ 0} satisfies (4.2.3) with zero
initial data. Consequently, the process (4.2.8) is a weak solution to (4.2.1)
with general initial data X(0) = ζ.
Remark 4.2.1 Under the condition B ∈ LHS (H, H), Theorem 4.2.1 remains
valid for a cylindrical Wiener process since the estimate (4.2.11) holds for such
operators.
Remark 4.2.2 It is easy to see from the proof of Theorem 4.2.1 that if in
(4.2.2) we have an additional deterministic H-valued integrable inhomogeneity
f
Z t Z t
X(t) = ζ + AX(s) ds + f (s) ds + BW (t), t ≥ 0, X(0) = ζ,
0 0
then the problem has the following weak solution:

Z t Z t
X(t) = U (t)ζ + U (t − s)f (s) ds + U (t − s)B dW (s), t ≥ 0.
0 0
Now consider the question, what are the wider classes of strongly contin-
uous in t > 0 solution operators, to which we can extend the result proved
above. We will show that the existence result obtained for C0 -semi-groups
can be extended to the class (1, A) of Abel summable semi-groups (Defini-
tion 1.1.5). Recall that this is a strongly continuous family of solution op-
erators {U (t), t ≥ 0} with the range of U (t) dense in H, with the property
Rt
0
kU (s)k ds < ∞, t ≥ 0, and Abel summable:
lim λRA (λ)f = f, f ∈ H.

λ→∞
As noted in Section 1.1, for a strongly continuous exponentially bounded fam-

ily of operators {U (t), t ≥ 0} satisfying these properties, there exists a closed
densely defined operator A (the generator of the family) such that (4.2.7)
holds: Z t
U (t)ζ = ζ + A U (s)ζ ds, t ≥ 0, ζ ∈ H.
0
Due to those properties of semi-groups of class (1, A), which are similar to the
properties of C0 -semi-groups, we can prove one more general existence result
for the linear stochastic Cauchy problem.
Theorem 4.2.2 Let {W (t), t ≥ 0} be a Q-Wiener process in a Hilbert space

H and A be the generator of a semi-group {U (t), t ≥ 0} of class (1, A) in
a Hilbert space H satisfying (4.2.9). Then, for each F0 -measurable H-valued
random variable ζ, the process (4.2.8) is a weak solution to (4.2.1).
Proof. We come to the proof by analyzing the usage of strong continuity as

t ≥ 0 of C0 -semi-groups in the proof of Theorem 4.2.1 and extending it to the
case of strongly continuous as t > 0 semi-groups.
We begin with the first term in (4.2.8) and show that the process
{U (t)ζ, t ≥ 0} Pa.s. is a solution to the corresponding homogeneous Cauchy
problem. First we show that the process is predictable by proving that the
strong continuity of the semi-group U is sufficient for predictability: let
ζ ∈ dom A Pa.s. ; then the process {U (t)ζ, t ≥ 0} is Ft -measurable as the
composition of deterministic function U (t, h) = U (t)h measurable wrt the
pair of variables (t, h) ∈ (0, +∞) × dom A and the F0 -measurable function ζ.
The paths of this process are Pa.s. continuous on (0, +∞) due to the strong
continuity of the semi-group on H = dom A and are integrable on [0, +∞) due
to the properties of Abel summable semi-groups. Hence the process {U (t)ζ}
with an F0 -measurable H-valued ζ is predictable. Its paths are integrable due
to the integrability property of semi-groups of class (1, A).
Now take an arbitrary y ∈ dom A∗ and prove (4.2.3) for X(t) = U (t)ζ,
where ζ is an F0 -measurable H-valued random variable. As mentioned above,
for the generator of a semi-group {U (t), t ≥ 0} of class (1, A) the equality
(4.2.7) as well as the equivalence of problems (4.2.6)–(4.2.7) hold true. Using
these properties of semi-groups of class (1, A) ) and the continuity of a scalar
product, we obtain (4.2.14) for X(t) = U (t)ζ:
Z t
hζ, yi + hU (r)ζ, A∗ yi dr = hU (t)ζ, yi Pa.s. , t ≥ 0, ζ ∈ H.
0
Hence {U (t)ζ, t ≥ 0} is a weak solution to the corresponding homogeneous

Cauchy problem with an F0 -measurable H-valued initial data ζ.
Now we show that the stochastic convolution WA is a weak solution to
(4.2.1) with zero initial data. First of all, by (4.2.12), the condition (4.2.9)
is fulfilled and the stochastic convolution is well defined in the case of a Q-
Wiener process and a strongly continuous semi-group with a square integrable
singularity at zero; in the case of a cylindrical Wiener process the condition
(4.2.9) is fulfilled and the stochastic convolution is defined under the additional
condition for U (t)B to be trace class.
Further, according to the definition of a weak solution, we need to prove
that WA is predictable. For semi-groups of class C0 in Proposition 4.2.1 it is
proved due to mean square continuity: limt→s EkWA (t) − WA (s)k2 = 0, which
follows from the equality (4.2.13). It is easy to see that the arguments for the
terms in the second line of (4.2.13) are true for a semi-group of class (1, A)
too. As for the term in the first line of (4.2.13), let δ > 0; then
Z s
lim E k [U (t − r) − U (s − r)]B dW (r)k2
t−s→0 0
Z s
= lim k[U (r + t − s) − U (r)]Bk2HS dr
t−s→0 0
Z δ Z s
= lim ( k[U (r+t−s)−U (r)]Bk2HS dr+ k[U (r+t−s)−U (r)]Bk2HS dr) = 0
t−s→0 0 δ
and the equalities hold true for strongly continuous square integrable at t = 0
semi-groups since the second term can be made small due to the semi-group
continuity as t > 0 for any δ > 0 and the first term due to the choice of small
δ > 0. Hence the square continuity is proved. By the mean square continu-
ity, {WA (t), t ≥ 0} is a predictable process. Thus the stochastic convolution
{WA (t), t ≥ 0} can be used as part of a weak solution to (4.2.3) with genera-
tors of strongly continuous semi-groups.
It remains to show that for strongly continuous semi-groups and Wiener
processes under the condition (4.2.9) WA satisfies Equation (4.2.3) with ζ =
0. Similar to the proof of Theorem 4.2.1, due to the continuity of a scalar
product and properties of stochastic integrals, we have the equalities (4.2.16)
for the semi-groups and Wiener processes considered. Further, in the proof of
Theorem 4.2.1, we used that the adjoint operator A∗ for A, the generator of a
C0 -semi-group, generates a C0 -semi-group {U ∗ (t), t ≥ 0}. Here, as shown in
Section 1.1, for A, the generator of a semi-group of class (1, A), the operator
A∗ is the generator of the adjoint semi-group of bounded for each t > 0
operators U ∗ (t) (and kU ∗ (t)k = kU (t)k), which is of class (1, A) too. The
equalities (4.2.6) and (4.2.7), which hold for C0 -semi-groups, hold also for the
dual (1, A) class semi-group U ∗ = {U ∗ (t), t ≥ 0}:
A∗ U ∗ (t)y = U ∗ (t)A∗ y, y ∈ dom A∗ ;

Z t (4.2.17)
∗ ∗
U (t)y = A U ∗ (r)y dr + y, y ∈ dom A∗ , t ≥ 0.
0
(As a matter of fact, Abel summable semi-groups form the widest class of
semi-groups with this property [43].)
Using the equalities (4.2.17), similar to the case of C0 -semi-groups, we ob-
tain the equality (4.2.15) true for X(t) = WA (t), t ≥ 0. Hence, the process
{WA (t), t ≥ 0} is a weak solution to (4.2.1) with zero initial data ζ = 0. Con-
sequently we have proved that the process (4.2.8) is a weak solution to (4.2.1)
with general initial F0 -measurable data X(0) = ζ and with the generator of
a square-integrable at zero semi-group of class (1, A).
Now let us present some more properties of the solution obtained:

Z t
X(t) = U (t)ζ + WA (t) = U (t)ζ + U (t − s)B dW (s), t ≥ 0,
0
related to its probability characteristics. The probability characteristics of the

process {U (t)ζ, t ≥ 0} are determined by given characteristics of the random
variable ζ : E U (t)ζ = U (t)E ζ. By the properties of stochastic integrals, the
process {WA (t), t ≥ 0} is Gaussian and E WA (t) = 0. Taking into account the
definition of the covariance operator Cov,
CovWA (t) x = E (hWA (t), xiH WA (t))
Z t Z t
= E U (t − s)B dW (s), x U (t − s)B dW (s), x ∈ H,
0 0
and the definition of a convolution, in particular the stochastic convolution

WA (t), defined as the limit of finite sums in L2 (Ω; H), and using the property
of a BQB ∗ -Wiener process BW with the self-adjoint trace class operator
BQB ∗ : CovBW (t) = tBQB ∗ , we obtain
Z t
Cov[WA (t)]x = U (τ )BQB ∗ U ∗ (τ )x dτ. (4.2.18)
0
Let us prove the equality in more detail. To evaluate the covariance operator
Cov[X(t)] = Cov[WA (t)] we write the stochastic convolution WA as the limit
(in L2 (Ω; H)) of integral sums:
Z t N
X
WA (t) = U (t − s)B dW (s) = lim U (t − si )B[W (si+1 ) − W (si )].
0 N →∞
i=1
Then
Cov[X(t)]x = Cov[WA (t)]x = E [WA (t)hWA (t), xi]
XN h
= lim U (t − si )BE [W (si+1 ) − W (si )]
N →∞
i=1
i
· hW (si+1 ) − W (si ), B ∗ U ∗ (t − si )xi
N
X h
= − lim U (τi )BE [W (t − τi+1 ) − W (t − τi )]
N →∞
i=1
i
· hW (t − τi+1 ) − W (t − τi ), B ∗ U ∗ (τi )xi
N
X
= − lim U (τi )BCov[(W (t − τi+1 ) − W (t − τi ))B ∗ U ∗ (τi )x]
N →∞
i=1
N
X Z t
= lim U (τi )BQB ∗ U ∗ (τi )(τi+1 − τi )x = U (τ )BQB ∗ U ∗ (τ )x dτ.
N →∞ 0
i=1
In the case of B commuting with U (t),

Z t
CovWA (t) = BU (τ )QU ∗ (r)B ∗ dτ, t ≥ 0.
0
As mentioned above, the operator B can be taken from the space

LHS (HQ , H), in particular from L(H, H) in the case of a Q-Wiener process
and from LHS (H, H) in the case of a cylindrical Wiener process.
Thus, for the weak solution X = U ζ + WA to the Cauchy problem (4.2.1),
we have
Z t
EX(t) = U (t)Eζ, CovX(t) = U (τ )BQB ∗ U ∗ (τ )dτ, t ≥ 0.
0
Now we study the uniqueness of the weak solution obtained. In this con-
nection it is important to note that in the case of linear stochastic problems
we cannot proceed as is commonly done in the case of deterministic problems
when one wants to prove the uniqueness of a solution, i.e., by considering the
difference of two solutions X1 − X2 and proving that it is equal to zero. This
is due to the fact that a solution of the stochastic problem is determined only
up to a version.
Theorem 4.2.3 Let A be the generator of a strongly continuous semi-group

{U (t), t ≥ 0} of class (1, A) in a Hilbert space H satisfying the condition
(4.2.9) and let {W (t), t ≥ 0} be a Wiener process in a Hilbert space H. Let
B ∈ L(H, H) in the case of a Q-Wiener process and B ∈ LHS (H, H) in the
case of a cylindrical Wiener process. Then the process (4.2.8) is a unique weak
solution to (4.2.1).
Proof. As usual for a linear Cauchy problem, it is enough to prove the unique-
ness of a weak solution with zero initial data. Thus we will show that any weak
solution X = {X(t), t ≥ 0} to the problem (4.2.1) with ζ = 0 Pa.s is equal to
WA . To prove this we need the following statement.
Let X be a weak solution (4.2.1) with ζ = 0 Pa.s . Then for each function
y(·) ∈ C 1 ([0, τ ]; dom A∗ ), τ ∈ [0, ∞), the following equality holds:
Z t Z t
′ ∗
hX(t), y(t)i = hX(s), y (s) + A y(s)i ds + hB dW (s), y(s)i. (4.2.19)
0 0
To prove (4.2.19) we first consider a function of the form y(s) = y0 ϕ(s),

s ∈ [0, t], where ϕ ∈ C 1 ([0, t]), y0 ∈ dom A∗ , and similarly to the proof of the
theorem in the case of a C0 -semi-group [20, 81], define the process
Z t
Fy0 (t) = hX(s), A∗ y0 i ds + hBW (t), y0 i. (4.2.20)
0
The integral in the defined process exists due to the properties of a weak
solution. Taking into account that X is a weak solution to Equation (4.2.3)

with ζ = 0,
Z t
hX(t), yi = hX(s), A∗ yi ds + hBW (t), yi Pa.s , t ≥ 0, y ∈ dom A∗ ,
0
and comparing with the definition of Fy0 , we obtain the equality
ϕ(t)Fy0 (t) = hX(t), ϕ(t)y0 i = hX(t), y(t)i Pa.s. for y(·) = ϕ(·)y0 ∈ domA∗ .
Now we apply the Itô formula to the process {Fy0 (s), s ∈ (0, t)} to obtain
ϕ(s) dFy0 (s) in the equality
d[Fy0 ϕ(s)] = ϕ(s) dFy0 (s) + ϕ′ (s)Fy0 (s) ds. (4.2.21)
Then from (4.2.20), which defines Fy0 via the process {X(t), t ≥ 0}, we obtain

ϕ(s) dFy0 (s) = ϕ(s) hX(s), A∗ y0 i ds + hB dW (s), y0 i . (4.2.22)
Now integrate (4.2.21) and use the equality (4.2.22):

Z t Z t
Fy0 (t)ϕ(t) = ϕ(s)dFy0 (s)ds + ϕ′ (s)Fy0 (s)ds
0 0
Z t Z t

= hB dW (s), y(s)i + hX(s), A∗ y(s)i + hX(s), y ′ (s)i ds. (4.2.23)
0 0
Here y(s) = ϕ(s)y0 . It follows from the equality (4.2.23) that the statement
is proved for functions of the form y(t) = y0 ϕ(t), t ≥ 0. Since the linear
combinations of these functions are dense in the space C 1 ([0, τ ], dom A∗ ), we
obtain the equality (4.2.19) in the general case and the statement is proved.
Now introduce the function y(s) = U ∗ (t − s)y0 , where y0 ∈ dom A∗ . Since
the semi-group {U ∗ (t), t ≥ 0} satisfies the equalities (4.2.17) for each t ≥ 0,
the function y(·) is continuously differentiable on [0, t] and takes values in
dom A∗ . Hence, y(·) satisfies the condition of the statement above and we
have the equality (4.2.19) for y(·) = U ∗ (t − ·)y0 . Since the adjoint semi-group
U ∗ satisfies (4.2.17), we have for y0 ∈ domA∗
Z t−s
U ∗ (t − s)y0 = A∗ U ∗ (r)y0 dr + y0 ,
0
dU ∗ (t − s)y0
= −A∗ U ∗ (t − s)y0 , 0 ≤ s ≤ t.
ds
Hence for y(s) = U ∗ (t − s)y0 we have
dU ∗ (t − s)y0
y ′ (s) = = −A∗ U ∗ (t − s)y0 = −Ay(s), 0 ≤ s ≤ t.
ds
Then for a solution X(t), t ≥ 0, and for y(t) = U ∗ (t − t)y0 = y0 , where

y0 ∈ domA∗ , the proven equality (4.2.19) takes the form
Z t
hX(t), y0 i = hX(s), −A∗ U ∗ (t − s)y0 + A∗ U ∗ (t − s)y0 i ds
0
Z t
+ hB dW (s), U ∗ (t − s)y0 i.
0
It follows that
Z t
hX(t), y0 i = h U (t − s)B dW (s), y0 i = hWA (t), y0 i Pa.s ,
0
t ≥ 0, y0 ∈ dom A∗ .
Thus a weak solution of the linear problem (4.2.8) with zero initial data is
unique and equal to WA (t), t ≥ 0. Hence, the solution X(t) = U (t)ζ + WA (t),
t ≥ 0, with general initial data X(0) = ζ is unique.
In Sections 3.1 and 3.2 we introduced many examples of generators of
different semi-groups in Hilbert spaces. Now we can take them as A in the
stochastic problems that we consider. These semi-groups, including ones gen-
erated by differential operators in the Gelfand–Shilov systems (2.3.1), give us
numeral examples of regularized semi-groups, as well as examples of strongly
continuous in t ≥ 0 C0 -semi-groups and semi-groups strongly continuous only
in t > 0.
An important example of a C0 -semi-group is the semi-group of solution
operators to the Cauchy problem for the heat equation
∂u(x; t) ∂ 2 u(x; t)
= , t ≥ 0, x ∈ R,
∂t ∂x2
with the generator A = d2 /dx2 in the space L2 (R) and
dom A = {u ∈ L2 (R) : d2 /dx2 u ∈ L2 (R)}.
However, the solution operators to the same problem with the generator in the
space C(R) do not generate a C0 -semi-group and provide a simple example of
a semi-group that is strongly continuous only as t > 0.
In order to compare the strongly continuous in t > 0 semi-groups with
those strongly continuous in t ≥ 0, we give one more example.
Example 4.2.1 Consider a semi-group of class (1, A) that is not a semi-

group of class C0 . It is constructed in the space of pairs of sequences:
∞
X
x = {(χn )n∈N , (ηn )n∈N } : sup |χn | < ∞, n1/2 |ηn | < ∞
n
n=1
P∞
with a specially chosen norm kxk := supn |χn | + n=1 n1/2 |ηn |.
It is shown in [43] that the family of bounded operators {U (t), t > 0} defined
by U (t)x = {(χ̂n )n∈N , (η̂n )n∈N }, where
3/2
+in2 )t
χ̂n = e−(n (χn cos n1/2 t − ηn sin n1/2 t),
3/2
+in2 )t
η̂n = e−(n (χn sin n1/2 t + ηn cos n1/2 t),
generates a semi-group of class (1, A), which is not a C0 -semi-group.
4.2.2 Weak regularized solutions. Some properties and ex-

amples of R-solutions
We continue to study linear stochastic Cauchy problems with additive
noise in the setting that extends the Itô approach to Hilbert spaces. Now
we suppose that A generates a regularized semi-group {S(t), t ∈ [0, τ )} in a
Hilbert space H, B ∈ L(H, H), and {W (t), t ≥ 0} is an H-valued Wiener
process.
Definition 4.2.4 An H-valued predictable process X is called a weak regu-

larized solution of (4.2.1) if it satisfies the following conditions:
Z t
(a) for each t ∈ [0, T ] kX(s)kH ds < ∞ Pa.s. ;
0
∗
(b) for each y ∈ dom A and t ∈ [0, T ]
Z t Z t
hX(t), yi = hR(t)ζ, yi + hX(s), A∗ yi ds + h R(t − s)B dW (s), yi Pa.s. .
0 0
(4.2.24)
In the particular case of a K-convoluted semi-group, X is called a weak

convoluted solution of (4.2.1) if
Z t Z t
hX(t), yi = h K(s) ds ζ, yi + hX(s), A∗ yi ds
0 0
Z tZ t−s
+h K(r) drB dW (s), yi, (4.2.25)
0 0
a weak n-times integrated solution if K(r) = rn−1 /(n − 1)! :

Z t Z t
tn (t − s)n
hX(t), yi = h ζ, yi + hX(s), A∗ yi ds + h B dW (s), yi,
n! 0 0 n!
and a weak R-solution if

Z t
hX(t), yi = hRζ, yi + hX(s), A∗ yi ds + hRBW (t), yi.
0
Transforming the last term in the equality (4.2.25), we can write it in another
form:
Z t Z t Z t
hX(t), yi = h K(s) ds ζ, yi+ hX(s), A∗ yi ds+h K(t−s)BW (s) ds, yi.
0 0 0
Now we show the existence and uniqueness of solutions to the linear addi-
tive stochastic Cauchy problem with the generator of a regularized semi-group
in H and an H-valued Q-Wiener or cylindrical process W .
In the beginning of this section we showed that if A is the generator of a
strongly continuous semi-group
Rt U of solution operators in H, then the stochas-
tic convolution WA (t) := 0 U (t−s)B dW (s), t ≥ 0, is well defined in L2 (Ω; H)
for a Q-Wiener or cylindrical (Q = I) Wiener process W and the process
X(t) = U (t)ζ + WA (t), t ≥ 0, is the unique weak solution of (4.2.1).
If A is the generator of a regularized semi-group {S(t), t ∈ [0, τ )} in H,
we can obtain only a weak regularized solution of (4.2.1). For such operators
A we will show that the H-valued process
Z t
X(t) = S(t)ζ + WA (t), t ∈ [0, T ], WA (t) := S(t − s)B dW (s), (4.2.26)
0
is a weak regularized solution to (4.2.1) for any T < τ ≤ ∞. The process

WA (t) is called the regularized stochastic convolution.
Before proving theorems on the existence and uniqueness of the solution to
the stochastic Cauchy problem (4.2.1) with the generator of a regularized semi-
group, we give two propositions necessary for studying the problem. The first
one concerns properties of adjoint regularized semi-groups and the second one
is the extension of the statement in Theorem 4.2.3 to the case of regularized
semi-groups. A regularized with a family {R(t)} semi-group we will call an
R-regularized semi-group.
Proposition 4.2.2 Let A be the generator of an R-regularized semi-group

{S(t), t ∈ [0, τ )} on a Hilbert space H. Suppose that {R(t)} is a strongly differ-
entiable family and dom A = H. Then {S ∗ (t), t ∈ [0, τ )} is an R∗ -regularized
semi-group on H with the generator A∗ . If operators R(t) are invertible and
have dense ranges, then the adjoint operators R∗ (t) have the same properties.
Proof. First, we note that since the operators R(t) and S(t) are bounded for
each t, then their adjoint operators R∗ (t) and S ∗ (t) are bounded too. Second,
since A is a closed densely defined operator, then the operator A∗ is closed as
well and dom A∗ = H.
Next we show that the family {S ∗ (t), t ∈ [0, τ )} forms an R∗ -regularized
semi-group with the generator A∗ . The commutativity of operators S ∗ (t) with
A∗ on dom A∗ follows from the commutativity of S(t) with A. Further, we need
to prove that the family {S ∗ (t), t ∈ [0, τ )} is strongly continuous in t and the
following equality holds:

Z t
S(t)∗ y − R∗ (t)y = S ∗ (s)A∗ y ds, y ∈ dom A∗ . (4.2.27)
0
Due to the continuity of the scalar product, Equation (4.2.27) implies

Z t
hS(t)f − R(t)f, yihf, S(t)∗ y − R∗ (t)yi = h S(s)Af ds, yi
0
Z t Z t
= hAS(s)f, yi ds = hS(s)f, A∗ yi ds (4.2.28)
0 0
for each y ∈ dom A∗ and f ∈ H = dom A. Then we have

d ∗ S ∗ (t + ∆t) − S ∗ (t)
hf, S (t)yi = lim f, y
dt ∆t→0 ∆t
= hf, S ∗ (t)A∗ yi + hR′ (t)f, yi
= hS(t)f, A∗ yi + hR′ (t)f, yi, f ∈ H, y ∈ dom A∗ ,
which implies the pointwise convergence of the functionals

S ∗ (t + ∆t) − S ∗ (t)
y as ∆t → 0.
∆t
∗
∗
(t)
Hence, for any t ∈ [0, τ ) and y ∈ dom A∗ , the norms S (t+∆t)−S
∆t y are
uniformly bounded for all ∆t such that t + ∆t ∈ [0, τ1 ], τ1 < τ . Therefore,
kS ∗ (t + ∆t)y − S ∗ (t)yk → 0 for y ∈ dom A∗ as ∆t → 0.
Since the norms kS ∗ (t + ∆t)k = kS(t + ∆t)k are also uniformly bounded
for t + ∆t ∈ [0, τ1 ], τ1 < τ , and the convergence takes place on dom A∗ ,
then, by the Banach–Steinhaus theorem, S ∗ (t)y is continuous in t for any
y ∈ H = dom A∗ .
Strong continuity of {S ∗ (s), s ∈ [0, τ )} and equality (4.2.28) imply
Z t
hf, S(t)∗ y − R∗ (t)yi = hf, A∗ S ∗ (s)yi ds
0
Z t
= hf, S ∗ (s)A∗ yi ds, f ∈ H, y ∈ dom A∗ ,
0
which proves (4.2.27).

Finally, we show that the operators R∗ (t), t ∈ [0, τ ), are invertible and
have dense ranges if such are the operators R(t). For any bounded operator
R we have the equality
(ker R)⊥ = ran R∗ .
If R(t) is invertible, then ker R(t) = {0} and therefore ran R∗ (t) = H. Thus,
(ker R∗ (t))⊥ = ran R∗∗ (t) = H,
and R∗ (t) is invertible.
Proposition 4.2.3 Let A be the generator of an R-regularized semi-group

{S(t), t ∈ [0, τ )} in a Hilbert space H and X be a weak regularized solution of
(4.2.1) with ζ = 0. Then for any y ∈ C 1 ( [0, T ], dom A∗ ) the following equality
holds:
Z t Z t Z s
hX(t), y(t)i = hX(s), y ′ (s)+A∗ y(s)i ds+ h R′ (s−r)B dW (r), y(s)i ds
0 0 0
+ hBW (t), R∗ (0)y(s)i, t ∈ [0, T ]. (4.2.29)
Proof. As in the case of a strongly continuous semi-group, to prove (4.2.29)

we define the following function of t ∈ [0, T ]:
Z t Z t
Fy0 (t) := hX(t), y0 i = hX(s), A∗ y0 i ds + h R(t − s)B dW (s), y0 i
0 0
∗ 1
for arbitrary y0 ∈ dom A . Let ϕ ∈ C (R). By the Itô formula we obtain
d(ϕ(s)Fy0 (s)) = ϕ′ (s)Fy0 (s) ds + ϕ(s) dFy0 (s).

Rt
Differentiating the Itô integral 0 R(t − s)B dW (s) wrt t, we have
d(ϕ(s)Fy0 (s)) = ϕ(s) dFy0 (s) + ϕ′ (s)Fy0 (s) ds

Z s
∗ ′
= ϕ(s) hX(s), A y0 i + h R (s − r)B dW (r), y0 )i ds
0
+ hR(0)B dW (s), ϕ(s)y0 )i + ϕ′ (s)hX(s), y0 i
= hX(s), ϕ′ (s)y0 + A∗ ϕ(s)y0 i ds

Z s
+ h R′ (s − r)B dW (r), ϕ(s)y0 )i ds + hR(0)BdW (s), y(s)i
0
= hX(s), y ′ (s) + A∗ y(s)i ds

Z s
+h R′ (s − r)B dW (r), y(s)i ds + hR(0)B dW (s), y(s)i.
0
By the definition of Fy0 we have d(hX(t), ϕ(s)y0 i) = d(ϕ(s)Fy0 (s)). It

follows that
d(hX(t), ϕ(s)y0 i) = d(ϕ(s)Fy0 (s)) = hX(s), y ′ (s) + A∗ y(s)i ds

Z s
+h R′ (s − r)B dW (r), y(s)i ds + hR(0)B dW (s), y(s)i.
0
Integrating this equality from 0 to t we obtain (4.2.29) for y(s) = ϕ(s)y0 ,

s ∈ [0, T ]. Since the set of such functions is dense in C 1 ([0, T ], dom A∗ ), the
equality (4.2.29) holds for each y ∈ C 1 ([0, T ], dom A∗ ).
Theorem 4.2.4 Let a densely defined operator A generate a regularized

semi-group {S(t), t ∈ [0, τ )} and {W (t), t ≥ 0} be a Wiener process. Sup-
pose the condition Z t
kS(r)Bk2HS dr < ∞ (4.2.30)
0
is fulfilled. Then for each F0 -measurable H-valued ζ the stochastic process
(4.2.26) is a weak regularized solution to (4.2.1).
Proof. We first show that the process Sζ = {S(t)ζ, t ∈ [0, τ )} is a weak R-

regularized solution for the corresponding homogeneous equation. The process
Sζ is Ft -measurable as the composition of S(t)h, a deterministic function of
two variables (t, h) ∈ [0, τ ) × H and an F0 -measurable random variable ζ.
The trajectories of this process are continuous in t ∈ [0, τ ) almost surely. Let
y ∈ dom A∗ . Then
Z t Z t
∗
hS(s)ζ, A yi ds = h S(s)ζ ds, A∗ yi
0 0
Z t
= hA S(s)ζ ds, yi = hS(t)ζ − R(t)ζ, yi.
0
Now consider WA , the second term of the solution. Using the definition of the
stochastic integral as the limit of integrals of step functions,
Rt we can readily
verify that WA is a predictable process. The function 0 kS(t − s)Bk2HS ds is
continuous wrt t ∈ [0, τ ), and hence integrable. Furthermore,
Z r Z t Z r Z t
kS(t − s)Bk2HS ds dt = kS(s)Bk2HS ds dt.
0 0 0 0
Since the inner product is continuous, using the stochastic version of the Fubini
theorem (Theorem 4.1.3) and taking into account the properties of the adjoint
semi-group {S ∗ (t), t ∈ [0, τ )} given by Proposition 4.2.2, we obtain

Z t Z s Z tZ s
∗
h S(s − r)B dW (r), A yi ds = h B dW (r), S ∗ (s − r)A∗ y dsi
0 0 0 0
Z t Z t Z t Z t−r
= h B dW (r), S ∗ (s − r)A∗ y dsi = h B dW (r), S ∗ (σ)A∗ y dσi
0 r 0 0
Z t
= h B dW (r), S ∗ (t − r)y − R∗ (t − r)yi
0
Z t Z t
= h S(t − r)B dW (r), yi − h R(t − r)B dW (r), yi, t ∈ [0, τ ).
0 0
This means that WA is a weak R-regularized solution of problem (4.2.1) with

the initial condition ζ = 0. Hence, X(t) = S(t)ζ + WA (t), t ∈ [0, τ ), is a weak
R-regularized solution of (4.2.1).
We noted earlier that the condition of the existence of the stochastic con-
volution being formally written in the same form (4.2.30) for both Q-Wiener
and cylindrical Wiener processes in fact gives different conditions for these
processes. Namely, for a Q-Wiener process (4.2.30) holds for any regularized
semi-group S and B ∈ L(H, H), while for a cylindrical process (4.2.30) be-
comes more restrictive and holds for S(r)B ∈ LHS (H, H).
Let us demonstrate on the basic example of the backward Cauchy problem
that the condition on the operators S(r)B to be Hilbert–Schmidt cannot be
fulfilled.
Example 4.2.2 Consider the local R-semi-groups related to the backward

Cauchy problem in H = L2 (G), G = {x ∈ Rn : 0 < xk < ak , k = 1, . . . , n}:
∞
X ∞
X
S(t)ζ := hζ, ek ieµk (t−T ) ek , t ∈ [0, T ), where Rζ = hζ, ek ie−µk T ek .
k=1 k=1
The semi-group is bounded and invertible in H and the generator A is defined

as
Au := −△u, dom A := H2 (G) ∩ H01 (G) ⊂ L2 (G).
For this operator we have
nX
n
k2 π2 o
i
Sp(A) = ; ki ∈ N ,
i=1
a2i
nYn 1/2 o
2 ki πxi
{set of eigenfunctions} = · sin ; ki ∈ N .
i=1
ai ai
Denote by {µk }∞ ∞
k=1 , {ek }k=1 an ordering of the eigenvalues and eigenbasis of
A; then we have the equalities
Z T Z ∞
T X Z ∞
T X
T r (S(s)S ∗ (s)) ds = hS(t)ek , S ∗ (t)ek i dt = kS(t)ek k2 ds
0 0 k=1 0 k=1
∞ Z
X T ∞ 2µk (t−T ) T
X ∞
X
e 1
= e2µk (t−T ) dt = = 1 − e−2µk T .
0 2µk t=0 2µk
k=1 k=1 k=1
The series obtained is convergent if n = 1; hence the condition (4.2.30) with

B ∈ L(H, H) is fulfilled in this case.
Now we prove the uniqueness result for the case of regularized semi-groups.
Theorem 4.2.5 Let a densely defined operator A generate a regularized

semi-group {S(t), t ∈ [0, τ )} in H and {W (t), t ≥ 0} be a Q-Wiener pro-
cess. Suppose that the condition (4.2.30) is fulfilled. Then if R(t) is a strongly
continuously differentiable operator-function, the solution of (4.2.1) is unique
up to such an η ∈ H that (R(0) + R′ ∗)η = 0. If S is a K-convoluted or
R-semi-group, the solution is unique.
Proof. The uniqueness is based on the equality obtained in Proposition 4.2.3.

Suppose that X is a weak regularized solution of (4.2.1) with ζ = 0 and let
y ∈ C 1 ([0, T ], dom A∗ ) be equal to y(s) = S ∗ (t − s)y0 , y0 ∈ dom A∗ . Then, by
the equality (4.2.3) and by the properties of adjoint regularized semi-groups
proved in Proposition 4.2.2, we have
Z t
′
hX(t), R∗ (0)y0 i = hX(s), −R∗ (t − s)y0 i ds
0
Z t Z s
+ hS(t − s) R′ (s − r)B dW (r) ds, y0 i
0 0
Z t
+ h S(t − s)B dW (s), R∗ (0)y0 i. (4.2.31)
0
The equality is true for any solution of (4.2.24) with ζ = 0. In particular, for
X = WA we have
Z t Z t Z s
hR(0) S(t − s)B dW (s), y0 i + h R′ (t − s) S(s − r)B dW (r) ds, y0 i
0 0 0
Z t Z t Z s
= hR(0) S(t − s)B dW (s), y0 i + h S(t − s) R′ (s − r)B dW (r) ds, y0 i.
0 0 0
From this equality, taking into consideration dom A∗ = H ∗ , we obtain

Z t Z s Z t Z s
′
R (t − s) S(s − r)B dW (r) ds = S(t − s) R′ (s − r)B dW (r) ds.
0 0 0 0
By the same reasoning, we can write (4.2.31) on the whole space H, that is,
the following equality holds:
Z t
R(0)X(t) + R′ (t − s)X(s) ds
0
Z t Z t Z s
= R(0) S(t − s)B dW (s) + R′ (t − s) S(s − r)B dW (r) ds.
0 0 0
This equality can be written as (R(0) + R′ ∗)X = (R(0) + R′ ∗)WA ; therefore,

Z t
X(t) = S(t − r)B dW (r) + η(t), t ∈ [0, T ],
0
where η is a solution of the equation (R(0) + R′ ∗)η = 0.

In particular, if the semi-group S in (4.2.31) is an R-semi-group, that is,
R(t) ≡ R and R is invertible, then we have the equality Rη = 0. Hence η = 0
and the solution (4.2.26) is unique in the case of R-semi-groups.
If S is a K-convoluted semi-group, that is, R′ (t) = K(t) and R(0) = 0,
then the solution is unique up to such an η that KI ∗ η = (K ∗ η)I = 0. Hence
it is unique up to such an η that L[K ∗ η]I = 0. Since K(0) = 0, the Laplace
transform L[K ∗η] is equal to the product of the Laplace transforms L[K]L[η],
where L[K] = 6 0 for any convoluted semi-group. It follows that L[η] = 0; hence
η = 0, and the solution is unique in the case of a convoluted (in particular
integrated) semi-group too.
Note that, if ζ ∈ L2 (Ω; H), then for the unique solution obtained
Z t
X(t) = S(t)ζ + S(t − r)B dW (r) ∈ L2 (Ω; H), t ∈ [0, T ],
0
we have E[X(t)] = S(t)E [ζ] and similarly to the case of a strongly continuous
semi-group
Z t
∗
Cov[X(t)] = S(t)Cov[ζ]S (t) + S(t − s)BQ[S(t − s)B]∗ ds.
0
Now consider the Cauchy problem for Gelfand–Shilov systems (2.3.1):

∂u(x; t) ∂
=A i u(x; t), t ∈ [0, T ], x ∈ Rn , u(x; 0) = ζ(x), (4.2.32)
∂t ∂x
as an example important in applications of problems with generators of R-
semi-groups. We show that all types of the systems generate R-semi-groups S
in
H = L2m (Rn ) := L2 (Rn ) × · · · × L2 (Rn ).
Then, by Theorems 4.2.4 and 4.2.5, X defined by (4.2.26) is the unique R-
solution to (4.2.1) with A = A (i∂/∂x).
Applying the generalized Fourier transform to (4.2.32) as in Section 2.3,

we obtain
∂e
u(t, s) e
= A(s)e
u(s, t), t ∈ [0, T ], s ∈ Cn , e(s, t) = etA(s) ζ(s),
u
∂t
and
h i
e
u(x; t) = F −1 etA(·) ζ(·) (x) = e
F −1 [etA(·) ] ∗ F −1 [ζ(·)] (x)
≡ (Gt ∗ ζ)(x) =: U (t)ζ(x), x ∈ Rn ,
where Gt is the Green function of the problem (4.2.32) and the equalities are
∂
understood in the sense of distributions. We show that the operators A i ∂x
generate different R-semi-groups in dependence on the type of the system
(4.2.32) in the Gelfand–Shilov classification.
Recall that etA(·) satisfies the estimates

etΛ(s) ≤ etA(s) ≤ C(1 + |s|)p(m−1) etΛ(s) , t ≥ 0, s ∈ Cn , (4.2.33)
m
and according to Definition 2.3.1, the system is called

• Petrovsky correct if there exists a C > 0 such that Λ(σ) ≤ C, σ = Res ∈ Rn ;
• conditionally-correct if there exist constants C, C1 > 0, 0 < h < 1 such that
Λ(σ) ≤ C|σ|h + C1 , σ ∈ Rn ;
• incorrect if the function Λ(·) grows for real s = σ in the same way as for
complex ones: Λ(σ) ≤ C|σ|p0 + C1 , σ ∈ Rn , where p0 is the exact order
of the system.
In the following theorem we construct R-semi-groups {S(t), t ∈ [0, τ )},

choosing special regularizing functions K : Rn → Rn in dependence on the
class of the system.
Theorem 4.2.6 Let τ > 0 and K(σ), σ ∈ Rn , satisfy the conditions
1) all functions in the matrix-function K(·)eT A(·) belong to L2 (Rn );
2) all the functions are bounded as functions of (n+1) variables on [0, T ]×Rn,
T < τ.
Then the family of convolution operators S(t):
[S(t)f ](x) := GR (t, x) ∗ f (x), t ∈ [0, τ ), x ∈ Rn , (4.2.34)
where
Z
1
GR (t, x) := eiσx K(σ)etA(σ) dσ, t ∈ [0, τ ), x ∈ Rn , (4.2.35)
(2π)n Rn
∂

forms an R-semi-group in L2m (Rn ) with the generator A i ∂x and
Z
1
Rf (x) = eiσx K(σ)fe(σ) dσ, x ∈ Rn . (4.2.36)
(2π)n Rn
Proof. For the sake of simplicity we give the proof for n = 1. First note that
to prove the operators S(t), t ∈ [0, τ ), form an R-semi-group, it is sufficient
to prove they are strongly continuous and the equalities
S(s)Af = AS(t)f, t ∈ [0, τ ), f ∈ dom A, (4.2.37)

Z t
A S(s)f ds = S(t)f − Rf, t ∈ [0, τ ), f ∈ H, (4.2.38)
0
hold true on arbitrary [0, T ] ⊂ [0, τ ) (see Definition 1.2.12).

Thus, take T ∈ (0, τ ). Due to condition 1, the integral in (4.2.35),
Z ∞
1
eiσx K(σ)etA(σ) dσ, t ∈ [0, T ],
2π −∞
is convergent. Moreover, this convergence is uniform with respect to t ∈ [0, T ]

and the matrix-function GR (t, x) obtained, called the regularized Green func-
tion, is well defined. Since, in addition, functions of the matrix-function
K(σ)etA(σ) are bounded, the integral
Z ∞
eiσx K(σ)etA(σ) fe(σ) dσ, t ∈ [0, T ], (4.2.39)
−∞
is an element of L2m (R) for each fe ∈ L2m (R).

Now we are ready to check that the family (4.2.34) forms a local R-semi-
group in L2m (R). First, we verify the strong continuity property of the family
{S(t), t ∈ [0, T ]}, i.e., for each f ∈ L2m (R) and T < τ we show that kS(t)f −
S(t0 )f k → 0 as t → t0 , t0 ∈ [0, T ].3
kS(t)f − S(t0 )f k2
Z Z ∞ h i 2
1 iσx tA(σ) e t0 A(σ) e
= e K(σ) e f (σ) − e f (σ) dσ dx.
R 2π −∞
Let us split the inner integral into the following three:

Z Z
e iσx
K(σ)e tA(σ)
fe(σ) dσ − eiσx K(σ)et0 A(σ) fe(σ) dσ
|σ|≥N |σ|≥N
Z h i
+ eiσx K(σ) etA(σ) − et0 A(σ) fe(σ) dσ. (4.2.40)
|σ|≤N
Z
Here the functions hN (x, t) := eiσx K(σ)etA(σ) fe(σ) dσ and
|σ|≥N
Z h i
gN (x, t) := eiσx K(σ) etA(σ) − et0 A(σ) fe(σ) dσ
|σ|≤N
3 Throughout this proof the norm k · k denotes the norm in L2m (R).
are elements of Lm
2 (R) for each t ∈ [0, T ] as the inverse Fourier transforms of
the functions from Lm
2 (R)

e 0, |σ| ≤ N,
hN (σ, t) =
K(σ)etA(σ) fe(σ), |σ| > N,
and
hN (σ, t) − K(σ)et0 A(σ) fe(σ) + e

geN (σ, t) = K(σ)etA(σ) fe(σ) − e hN (σ, t0 ),
respectively. The integral (4.2.39) is convergent uniformly with respect to both

x ∈ R and t ∈ [0, T ]. This is due to condition 1 and fe(·) ∈ L2m (R). Hence, for
any ε > 0,
|hN (x, t)| < ε/4, x ∈ R, t ∈ [0, T ],
due to the choice of N , and the sum of norms of the first two integrals in
(4.2.40) is less than ε/2. Now fix N . Since e(t−t0 )A(σ) − 1 → 0 as t → t0
uniformly with respect to σ ∈ [−N, N ], it follows that |gN (x, t)| < ε/2 for
x ∈ R and t → t0 . To obtain the estimate for
Z
1 2
kS(t)f − S(t0 )f k2 = 2 (hN (x, t) − hN (x, t0 ) + gN (x, t)) dx
4π R
consider the difference hN (x, t) − hN (x, t0 ) =: ∆N (x, t, t0 ), t, t0 ∈ [0, T ], as

a single function. Then ∆N (·, t, t0 ) ∈ L2m (R) and for a fixed N we obtain
|∆N (x, t, t0 )| < ε/2 for x ∈ R. In these notations we have
Z
4π 2 kS(t)f − S(t0 )f k2 = ∆2N (x, t, t0 ) dx
R
Z Z
2
+ 2 ∆N (x, t)gN (x, t, t0 ) dx + gN (x, t) dx.
R R
In the way described above one can show that each of these three integrals is an
infinitesimal value. This is indeed the case since the integrals over the infinite
intervals |x| > M are small due to the choice of M . This follows from their
uniform convergence with respect to t ∈ [0, T ]. The integrals over compacts
[−M, M ] are small since the integrands are small. This can be shown by the
sequential choice of M and t → t0 . This completes the proof of the strong
continuity of the operators of the family (4.2.34).
∂
Next we show that the operators obtained commute with A i ∂x on the
∂

domain of A i ∂x . By the properties of convolution, a differential operator
∂

may be applied to any component of the convolution. We apply A i ∂x to
∂

f ∈ dom A i ∂x ; then

∂ ∂ ∂
A i [S(t)f ](x) = GR (t, x) ∗ A i f (x) = S(t)A i f (x).
∂x ∂x ∂x
Thus the first equality in (4.2.37)

holds. Now we verify the second one. For
∂
an arbitrary f ∈ dom A i ∂x consider the equality
Z ∞
∂ ∂ 1 ∂
[S(t)f ](x) = [GR (t, x) ∗ f (x)] = eiσx K(σ)etA(σ) fe(σ) dσ.
∂t ∂t 2π ∂t −∞
To differentiate under the integral sign we apply the dominated convergence
theorem. Due to conditions on K(·), the difference quotient is uniformly
bounded wrt t ∈ [0, T ]:
tA(σ)
iσx e − et0 A(σ) e
e K(σ) f (σ)
t − t0

= eiσx K(σ)e(t0 +θ(t−t0 ))A(σ) A(σ)fe(σ) ≤ C A(σ)fe(σ).

The condition f ∈ dom A i ∂x ∂
provides A(·)fe(·) ∈ L2m (R). Hence, the con-
ditions of the dominated convergence theorem hold and
Z ∞
∂ 1
[S(t)f ](x) = eiσx K(σ)etA(σ) A(σ)fe(σ) dσ.
∂t 2π −∞
Taking into account that the inverse Fourier transform of A(σ)fe(σ) is

∂
A i ∂x f (x), we obtain

∂ ∂
[S(t)f ](x) = GR (t, x) ∗ A i f (x)
∂t ∂x

∂ ∂
= A i [GR (t, x) ∗ f (x)] = A i [S(t)f ](x).
∂x ∂x
Integration with respect to t gives the equality
Z t
∂
[S(t)f ](x) − [S(0)f ](x) = A i [S(τ )f ](x) dτ.
0 ∂x
∂

Since A i ∂x is closed in L2m (R) and differentiable functions form a dense
subset of Lm (R), the equality holds for any f ∈ L2m (R):
2
Z t
∂
[S(t)f ](x) − [S(0)f ](x) = A i [S(τ )f ](x) dτ, t ∈ [0, T ].
∂x 0
Let R : L2m (R) → L2m (R) be equal to S(0); then, by the strong continuity
property of S,
Z ∞
1
Rf (x) = eiσx K(σ)fe(σ) dσ, x ∈ R.
2π −∞
Thus we have
proved that operators (4.2.34) form an R-semi-group generated
∂
by A i ∂x in L2m (R) with R defined by (4.2.36).
Note that the inverse to R (unbounded) operator is obtained by solving

the equation g(x) = Rf (x) = F −1 [K(σ)fe(σ)](x) :

ge(σ)
R−1 g = F −1 .
K(σ)
Corollary 4.2.1 If the system (4.2.32) is Petrovsky correct, then the func-
tion K(σ) = 1/(1+ σ 2 )d/2+1 satisfies the conditions of the theorem with d =
h
p(m−1). If the system is conditionally correct, we can choose K(σ) = e−a|σ| ,
p0
and if the system is incorrect, we can choose K(σ) = e−a|σ| with a > a0 T ,
where parameters h and a0 = a0 (p, m, C, C1 ) are defined by the corresponding
parameters of (4.2.33) and the estimates in the classification.
In conclusion of the section we give one more example of a regularized semi-
group, which in dependence on the generator spectrum can be an integrated,
convoluted, or R-semi-group. The example is interesting for its geometric clar-
ity.
Example 4.2.3 Let a(x), x ∈ R, be a continuous C-valued function. Con-
sider the operator A: H = L2 (R) → H defined by
[Au](x) = a(x)u(x), x ∈ R, dom A = {u ∈ L2 (R) : au ∈ L2 (R)}.
We have Sp(A) = {range of a(·)} and the following semi-groups generated
by A.
1. If the set {range of a(·)} is not a subset of Λlnn, γ, ̟ for some parameters
n, γ, ̟ and
dist {range of a(·)}, Λln n, γ, ̟
does not tend to zero as |λ| → ∞, then the estimate (R2) (see Section 1.2)
holds for the resolvent of A and hence A is the generator of an n-times inte-
grated semi-group defined by
Z t
(t − s)n−1 a(x)s
[S(t)u](x) = u(x) e ds, x ∈ R, t ∈ [0, τ ).
0 (n − 1)!
2. If {range of a(·)} is not a subset of ΛMα, γ, ̟ for some parameters α, γ, ̟
and the distance between {range of a(·)} and ΛM α, γ, ̟ does not tend to
zero, then the estimate (R3) holds for the resolvent of A and hence A is the
generator of a K-convoluted semi-group. It is defined by
Z t
[S(t)u](x) = u(x) K(t − s) ea(x)s ds, x ∈ R, t ∈ [0, τ ),
0
where K is a continuous function with the Laplace transform satisfying the

estimate |L[K](λ)| = O|λ|→∞ e−βM(γ|λ| , β > ̟, which is consistent with
the estimate (R3) for the resolvent.
3. If there exists a sequence xn such that a(xn ) ∈ R and a(xn ) → +∞,
then A can generate only an R-semi-group.
Now we pass to semi-linear problems.
4.3 Solutions to Cauchy problems for semi-linear equa-

tions with multiplicative noise
In the present section we continue to investigate stochastic Cauchy prob-
lems in infinite-dimensional spaces, which is the main focus of the book. Under
consideration is the Cauchy problem for semi-linear stochastic equations with
multiplicative noise. More precisely, we consider the integral equation
Z t Z t Z t
X(t) = ζ + AX(s) ds + F (s, X(s)) ds + B(s, X(s)) dW (s), t ∈ [0, T ],
0 0 0
where A is the generator of a semi-group in a Hilbert space H, F : H → H is a

non-linear mapping, B(t, X) : H → H is a linear mapping, and the stochastic
integral is taken wrt an H-valued Wiener process W . This setting extends the
Itô approach to the case of Hilbert spaces. Similarly to the linear case, the
problem is written in the short form (4.0.1):
dX(t) = AX(t) dt + F (t, X(t)) dt + B(t, X(t)) dW (t),

t ∈ [0, T ], X(0) = ζ. (4.3.1)
4.3.1 Statement of the problem. Non-linear Cauchy prob-

lems from the point of view of the theory of non-linear
semi-groups
We consider (4.3.1) where A is the generator of a strongly continuous semi-
group of solution operators {U (t), t ∈ [0, ∞)} in a Hilbert space H or of a
regularized semi-group {S(t), t ∈ [0, τ )}. Since, generally, such an operator A
is unbounded, we consider a weak solution to (4.3.1):
Z t Z t
hX(t), yi = hζ, yi + hX(s) ds, A∗ yi + hF (s, X(s)) ds, yi
0 0
Z t
+ hB(s, X(s)) dW (s), yi, t ∈ [0, T ], X(0) = ζ, y ∈ domA∗ . (4.3.2)
0
In addition to weak solutions, for semi-linear equations we introduce the con-

cept of a mild solution. This is a stochastic process X satisfying the following
equation:
Z t Z t
X(t) = U (t)ζ + U (t − s)F (s, X(s)) ds + U (t − s)B(s, X(s)) dW (s)
0 0
=: K(X)(t). (4.3.3)
4.3. Cauchy problems with multiplicative Wiener processes 167
Taking into account numerous applications of the problem with differ-

ential operators A generating R-semi-groups (see Sections 2.3 and 4.2), we
also present weak R-solutions to (4.3.1) with A generating an R-semi-group
{S(t), t ∈ [0, τ )}, τ ≤ ∞:
Z t Z t
∗
hX(t), yi = hRζ, yi + hX(s) ds, A yi + hF (s, X(s)) ds, yi
0 0
Z t
+ hB(s, X(s)) dW (s), yi
0
and a mild R-solution. This is a stochastic process X satisfying the equation

Z t Z t
X(t) = S(t)ζ + S(t − s)F (s, X(s)) ds + S(t − s)B(s, X(s)) dW (s)
0 0
=: KR (X)(t). (4.3.4)
In the next subsection we prove the existence and uniqueness of mild solu-
tions for the classes of semi-groups identified above and show the relationships
between weak and mild solutions. Namely, we prove that if under certain con-
ditions on F and B a mild solution exists, then the unique weak solution
exists and coincides with the mild solution. Under the Lipschitz conditions on
F = F (t, X) and B = B(t, X) we construct a mild solution by the successive
approximations method based on the contraction operators technique, which
is conventional for non-linear problems. In this case, for a small T > 0, the
operator K defined by (4.3.3) and KR defined by (4.3.4) are proved to be
contractions:
kK(Y1 ) − K(Y2 )kH2 ≤ const kY1 − Y2 kH2 , where const < 1,
R 21
T
in a space H2 with the norm kY kH2 = E 0 kY (t)k2H dt . The condition
is sufficient for application of the successive approximations method. This
method gives the way of construction of approximated solutions as well. In the
case of dissipative non-linear mapping F approximations can be constructed
via Lipschitz non-linearities.
Before considering solutions to semi-linear stochastic problems in detail, let
us discuss the issues and ideas stipulating solution methods, types of solutions,
and conditions on the non-linear term F (t, X(t)) to be Lipschitz or dissipative.
Some elements of the theory of semi-groups of non-linear operators will be
helpful here.
Recall that a mapping A : dom A ⊂ H → ran A ⊂ H, generally non-linear,
satisfies the Lipschitz condition if there exists C > 0 such that
kA(x) − A(y)k ≤ Ckx − yk, x, y ∈ H.
Operator A is called m-dissipative if
kx − y − h(A(x) − A(y))k ≥ kx − yk, h > 0, x, y ∈ H. (4.3.5)
An m-dissipative operator A is dissipative if its range ran A coincides with

the whole H. Lipschitz non-linear operators, in a sense, can be considered as a
generalization of linear bounded operators and dissipative non-linear operators
as a generalization of negative linear operators.
Now, at the conceptual level, we comment on the results obtained further
for the semi-linear Cauchy problem with F satisfying the Lipschitz condition
and on the results that can be extended to the case of dissipative F . We do it
from the standpoint of generating non-linear semi-groups by non-linear gen-
erators. We begin with comparison of the known results for the homogeneous
Cauchy problem with a linear operator A:
du(t)/dt = Au(t), u(0) = ζ ∈ dom A,
and the one with a non-linear operator A:
dv(t)/dt = A(v(t)), v(0) = ζ ∈ dom A. (4.3.6)
Roughly speaking, the Crandall–Ligette theorem on generation of non-
linear semi-groups states the following. With any operator A from a certain
class of non-linear operators with dom A in a Banach space H, one can asso-
ciate a family of non-linear operators
{U(t), t ≥ 0}, U(t) : dom A → dom A,
which are solution operators to the non-linear homogeneous Cauchy problem
(4.3.6) and which are extended from dom A to dom A. It turns out that for
Lipschitz and dissipative operators A the solution operators U(t) form a non-
linear semi-group on dom A. In the case of a densely defined A the semi-group
is defined on the whole space (see, e.g., [17, 87]).
The reason for this, as noted above, is that Lipschitz non-linear operators
are in certain sense generalizations of linear bounded operators and dissipative
non-linear operators are generalizations of linear negative operators, and as is
known (see Section 1.1), both types of linear operators, bounded and negative,
generate C0 -semi-groups. Moreover, negative operators generate contraction
semi-groups.
The generator A of a contraction semi-group in the linear case has the
resolvent R that satisfies the MFPHY conditions (1.1.8):
M
∃ M > 0, ω ∈ R : kRn (λ)k ≤ , λ > ω, n = 0, 1, 2, . . . ,
(λ − ω)n
with M = 1 and ω = 0. This particular case of MFPHY conditions can be
written in the following equivalent forms:
1
kR(λ)k ≤ , λ > 0;
λ
1
kI − hAk ≥ 1, h > 0 (h = ); (4.3.7)
λ
kx − hAxk ≥ kxk, h > 0, x ∈ H .
They can be naturally generalized and used for construction of non-linear

semi-groups {U(t), t ≥ 0} with dissipative generators. In fact, we can see that
the inequality (4.3.5) in the definition of dissipative operators written for a
linear operator A takes the form of the last inequality in (4.3.7).
One way constructing approximations to the non-linear Cauchy problem
(4.3.6) under these conditions is using the implicit Euler scheme for solving
the problem. Namely, we replace dv(t)/dt in (4.3.6) by h−1 (v(t + h) − v(t)
and, starting with t = 0, obtain an approximate solution va from the equality
1
(va (h) − ζ) = A(va (h)) or ζ = (I − hA)(va (h)), h ≥ 0.
h
If we suppose that the equality has a unique solution va (h) = (I − hA)−1 ζ,
then under the condition that operators (I − nt A))−n are contractions (which
is satisfied for a dissipative A) there exists
−n
t
lim I − A ζ =: U(t)ζ. (4.3.8)
n→∞ n
It follows that for each t ≥ 0 operators U(t) are contractions and satisfy the
semi-group relation
U(t + s) = U(t)U(s), t, s ≥ 0, U(0) = I on dom A.
The equality (4.3.8) gives one way of constructing approximations to the non-
linear Cauchy problem (4.3.6) and hence to the stochastic Cauchy problem
under consideration with A := A + F .
Another way of constructing approximations to (4.3.6) is generalization to
the case of non-linear A of the Yosida approximations An defined for A, the
generator of a C0 -semi-group, as follows :
An := −λn I + λ2n RA (λn ) = λn RA (λn )A, An x λ −→∞

→ Ax, x ∈ H, (4.3.9)
n
or
1
Ah := (I − hA)−1A = (I − hA)−1 − I , Ah x h→0
−→ Ax, x ∈ H.
h
For a linear operator A generating a C0 -semi-group, the operators Ah are
bounded and bounded operators etAh give one of the known approximations
to the semi-group (see Section 1.1). These ideas can be used in construct-
ing solutions to semi-linear stochastic Cauchy problems with dissipative non-
linearities. The Yosida approximations can be defined for a non-linear term F
in (4.3.1) by
1
Fh := (I − hF )−1 − I , Fh (x) h→0
−→ F (x).
h
It is easy to see here that the operators Fh satisfy Lipschitz conditions.
Now we begin the detailed study of weak and mild solutions to semi-linear
stochastic Cauchy problems, where the non-linearity F satisfies the Lipschitz
condition. First we construct a mild solution and later we show that a mild
solution is a weak solution. Thus the construction of a weak solution will be
given as well.
4.3.2 Existence and uniqueness of mild solutions to the semi-

linear problem. Relations between mild and weak so-
lutions
Let (Ω, F , P ) be a probability space with a given filtration {Ft , t ≥ 0}.
Let H and H be separable Hilbert spaces and {W (t), t ≥ 0} be an H-valued
Q-Wiener or cylindrical (with Q = I) Wiener process.
Consider a mild solution to the Cauchy problem (4.3.1), i.e., a process X
satisfying (4.3.3). More precisely.
Definition 4.3.1 Let H-valued predictable process X = {X(t), t ∈ [0, T ]}
satisfy the conditions for the existence of the convolutions in (4.3.3):
Z !
T
E kU (t − s)F (s, X(s))k ds < ∞,
0
Z !
T
E kU (t − s)B(s, X(s))k2HS ds < ∞,
0
where k · kHS is the norm in the space of the Hilbert–Schmidt operators from
HQ = Q1/2 H to H (see Section 4.1). Then X satisfying (4.3.3) is called a
mild solution to (4.3.1).
The concept of a mild solution appears when we are trying to find a solution
of the semi-linear stochastic problem (4.3.1) using, as was done in the previous
section, the method of variation of the parameters, or the Cauchy formula from
the theory of ordinary differential equations. Contrary to the linear case, here
(4.3.3) is not a formula for a solution like (4.2.8), but the equation itself. Its
solution is called a mild solution to (4.3.1). Further we formulate conditions
on A, F , W , and B and prove that a mild solution exists and coincides with
a weak solution under these conditions.
Similar to the case of a linear Cauchy problem studied in the previous
section, for the semi-linear stochastic problem we construct solutions for the
case of semi-groups of class (1, A), here under the additional condition of
fourth degree integrability. We denote this class of semi-groups by (1, A)4 .
It is defined as the class of the families {U (t), t ≥ 0} satisfying the semi-
group conditions (U1)–(U2) from Definition 1.1.2, the condition (U3′ ) from
Definition 1.1.4, and above that the following conditions:
Z 1
(U4) kU (t)k4 dt < ∞;
0
(U5) convergence in the sense of Abel:

Z +∞
lim λ e−λt U (t)f dt = f, f ∈ H.
λ→∞ 0
As noted in Section 4.2, semi-groups of class (1, A) follow C0 -semi-groups

in the sense of more general behavior at (t + 0), keeping at the same time
“good” properties of C0 -semi-groups at t > 0. An example of a semi-group
of class (1, A) is given in Section 4.2. The example is slightly artificial, but
it shows a class of semi-groups which is wider than that of C0 -semi-groups.
These semi-groups allowed us to define the stochastic convolution in the case
of additive noise in Section 4.2 and we show that they can be used in the case
of multiplicative noise in this section. Unlike the previous section, we will not
start here with constructing solutions for the case of C0 -semi-groups and con-
tinue with the case of more general strongly continuous at t > 0 semi-groups.
Instead we construct solutions in the case of semi-groups of class (1, A)4 first
and obtain solutions in the case of C0 -semi-groups as a consequence. In ad-
dition, we show what must be changed in the proof of these constructions in
order to get an R-solution for A generating an R-semi-group.
Thus we consider the semi-linear Cauchy problem (4.3.1):
dX(t) = AX(t)dt + F (t, X(t))dt + B(t, X(t))dW (t), t ∈ [0, T ], X(0) = ζ,
where {X(t), t ∈ [0, T ]} is a sought-for solution to the problem with
F (t, X(t)) : [0, T ] × Ω × H → H and B(t, X(t)) : [0, T ] × Ω × H → L(H, H).
Theorem 4.3.1 Let A be the generator of a semi-group of the class (1, A)4
in H, W be an H-valued Q-Wiener or weak Wiener process, and the following
conditions for F and B are fulfilled:
1) F is (PT × H)| B(H)-measurable and B is (PT × H)| B(LHS (HQ , H))-
measurable;
2) there exists C > 0 such that
kF (t, ω; x) − F (t, ω; y)k2 + kB(t, ω; x) − B(t, ω; y)k2HS ≤ C 2 kx − yk2 ,
kF (t, ω; x)k2 + kB(t, ω; x)k2HS ≤ C 2 (1 + kxk2 ),
for arbitrary x, y ∈ H, t ∈ [0, T ] and ω ∈ Ω;

3) initial value ζ is F0 -measurable.
Then there exists a mild solution to (4.3.1) and it is unique.
Proof. Recall that PT is the σ-field consisting of the sets {(s, t] × G, 0 ≤ s <
t < ∞, G ∈ Fs }, where Fs is a normal filtration on (Ω, F , P ).
Let us consider the following mappings:

Z t Z t
K(Y )(t) := U (t)ξ + U (t − s)F (s, Y (s)) ds + U (t − s)B(s, Y (s)) dW (s)
0 0
=: U (t)ξ + K1 (Y )(t) + K2 (Y )(t), t ∈ [0, T ], Y ∈ H2 ,
and show that for T small enough, K is a contraction on H2 , where H2 is

a Banach space of all H-valued predictable processes {Y (t), t ∈ [0, T ]} such
R 21
T
that kY kH2 = E 0 kY (t)k2H dt < ∞.
Due to condition 1 the mappings K1 and K2 are correctly defined as su-
perpositions of measurable mappings and predictable processes.
To continue, first, consider the case when E (kζk2 ) < ∞ and show that K1
and K2 are continuous mappings from H2 to H2 , hence K continuously maps
H2 to H2 . The following estimates hold true:
Z T Z t 2

kK1 (Y )k2H2 = E
dt U (t − s)F (s, Y (s)) ds

0 0 H
Z Z !2
T T
≤ E dt kU (t − s)F (s, Y (s)k ds
0 0
Z T Z T
≤ TE dt kU (t − s)F (s, Y (s)k2 ds
0 0
Z T Z T
2
≤ TE kF (s, Y (s))k ds kU (τ )k2L(H) dτ. (4.3.10)
0 0
RT RT √
Denote 0 kU (t)k4 dt =: M 2 , then 0 kU (t)k2 dt ≤ M T . From the estimates
(4.3.10) and condition 2 we have
Z T
kK1 (Y )k2H2 ≤ M T 3/2 E kF (s, Y (s))k2 ds
0
Z T Z T
3/2 2
≤ MT E C (1 + kY (s)k2H ) ds = MT 3/2 2
C (T + E kY (s)k2 ds)
0 0
= M T 3/2 C 2 (T + kY k2H2 ). (4.3.11)
That is, K1 acts from H2 to H2 . Now, using the theorem conditions on B and
the Itô equality, we show that K2 acts from H2 to H2 too:

Z T Z t 2

2
kK2 (Y )kH2 = E
dt U (t − s)B(s, Y (s)) dW (s)

0 0 H
Z T Z t
= E dt kU (t − s)B(s, Y (s)k2HS ds
0 0
Z T Z T
≤ E kB(s, Y (s))k2HS ds kU (t − s)k2 dt
0 s
Z T Z T
1/2
≤ MT E kB(s, Y (s))k2HS ds = M T 1/2 C 2 E (1 + kY (s)k2H ) ds
0 0
= M T 1/2 C 2 (T + kY k2H2 ). (4.3.12)
Finally, using the estimates obtained for K1 and K2 , we show that K is con-
tinuous and, moreover, for T small enough it is a contraction in H2 . Let Y1
and Y2 be H2 -valued stochastic processes. Then
kK(Y1 ) − K(Y2 )kH2 ≤ kK1 (Y1 ) − K1 (Y2 )kH2 + kK2 (Y1 ) − K2 (Y2 )kH2 ,
and taking into account the estimates (4.3.11) we have
Z t Z t 2

kK1 (Y1 ) − K1 (Y2 )k2H2 = E dt
U (t − s)(F (s, Y1 (s)) − F (s, Y2 (s))) ds

0 0
Z T Z T
≤ TE dt kU (t − s)(F (s, Y1 (s)) − F (s, Y2 (s)))k2 ds
0 0
Z T Z T
2
≤ TE kF (s, Y1 (s)) − F (s, Y2 (s))k ds kS(t − s)k2 dt
0 s
Z T
≤ M T 3/2 C 2 E kY1 (s) − Y2 (s)k2 ds = M T 3/2 C 2 kY1 − Y2 k2H2 . (4.3.13)
0
Thus the continuity of K1 is proved. Let us prove the continuity of K2 . Taking

into account (4.3.12), we have
kK2 (Y1 ) − K2 (Y2 )k2H2

Z t Z t 2

=E dt U (t − s)(B(s, Y1 (s)) − B(s, Y2 (s))) dW (s)

0 0
Z T Z T
≤E kB(s, Y1 (s)) − B(s, Y2 (s))k2HS ds kU (t − s)k2 dt
0 s
Z T
≤ M T 1/2 C 2 E kY1 (s) − Y2 (s)k2 ds = M T 1/2 C 2 kY1 − Y2 k2H2 . (4.3.14)
0
From (4.3.2) and (4.3.14) it follows that

kK(Y ) − K(Y )kH2 ≤ C(M T 1/2 (T + 1))1/2 kY1 − Y2 kH2
and in addition to continuity we obtain that under a suitable choice of pa-

rameters, namely, if
C(M T 1/2 (T + 1))1/2 < 1 or C 2 M T 1/2 (T + 1) < 1, (4.3.15)
the operator K is a contraction in H2 . Hence, for T satisfying (4.3.15) the oper-

ator K has a unique fixed point X ∈ H2 , which is a solution to the semi-linear
Cauchy problem (4.3.1). We can satisfy the condition (4.3.15) considering
the problem successively on intervals [0, Te], [Te, 2T
f ], . . . , such that Te satisfies
(4.3.15).
For constructing a solution in the general case E (kζk2 ) ≤ ∞ we use the
scheme from [23] and prove that if ζ and η are initial data such that E (kζk2 ),
E (kηk2 ) < ∞, then for the corresponding solutions X, Y to (4.3.1) we have
IΓ X(t) = IΓ Y (t), where Γ = {ω ∈ Ω : ζ(ω) = η(ω)} and IΓ = 1 if ω ∈ Γ and
IΓ = 0 otherwise.
Consider the sequence {X k }:
X 0 (t) = U (t)ζ, . . . , X k+1 (t) = K(X k )(t), t ∈ [0, T ], k = 0, 1, 2, . . . ,
that is,
Z t Z t
X k+1 (t) = U (t)ζ + U (t − s)F (s, X k (s)) ds + U (t − s)B(s, X k (s)) dW (s).
0 0
Since the initial data ζ and η are F0 -measurable, the random variable IΓ
is F0 -measurable too. Hence, IΓ is Ft -measurable for any t ∈ [0, T ]. Since
B(t, X k (t)) is an LHS -measurable process and a superposition of measurable
processes is a measurable process, then IΓ B(t, X k (t)) is an LHS -predictable
Rt
process. It follows that the integral 0 U (t − s)IΓ B(s, X k (s)) dW (s) exists
and
Z t Z t
U (t − s)IΓ B(s, X k (s)) dW (s) = IΓ U (t − s)B(s, X k (s)) dW (s),
0 0
t ∈ [0, T ].
Then for t ∈ [0, T ] we have
Z t
IΓ X k+1 (t) = U (t)IΓ ζ + U (t − s)IΓ F (s, X k (s)) ds
0
Z t
+ U (t − s)IΓ B(s, X k (s)) dW (s).
0
k
Define in a similar way the sequence {Y }:
Y 0 (t) = U (t)η, Y k+1 (t) = K(Y k )(t), t ∈ [0, T ].
Then we have the equalities
IΓ F (t, X k (t)) = IΓ F (t, Y k (t)), IΓ B(t, X k (t)) = IΓ B(t, Y k (t))

for k satisfying IΓ X k (t) = IΓ Y k (t). Hence the equality IΓ X k+1 (t) = IΓ Y k+1 (t)
holds for each k. Since X and Y are limits of X k and Y k , then passing to the
limit we obtain IΓ X(t) = IΓ Y (t).
Now we are ready to construct a mild solution in the general case. Let

ζ, if kζk ≤ n,
ζn =
0, if kζk > n,
and let Xn (t) be the solution corresponding to the initial data ζn . Then
Xn (t) = Xn+1 (t) on {ω ∈ Ω : kζk ≤ n}. Passing to the limit we obtain a
solution to (4.3.1). Hence, the existence of a mild solution is proved for the
general case E (|ζ|2 ) ≤ ∞. The mild solution obtained is unique as a solution
of an equation with a contractive operator.
Thus, using the contraction operators technique and successive approxi-
mations method conventional for non-linear problems, we have constructed
a mild solution to the stochastic semi-linear Cauchy problem (4.3.1) with A
being the generator of a semi-group of class (1, A)4 in H and Lipschitz non-
linearities, in particular with A being the generator of a C0 -semi-group.
Notice once again (see the discussion in Section 4.1) the difference between
the case of a Q-Wiener and that of a cylindrical Wiener process. In Section
4.1 we commented on the difference between the conditions for the existence
of stochastic integrals with respect to a Q-Wiener and a cylindrical Wiener
process: being formally the same, the conditions are in fact different. In the
statement of Theorem 4.3.1 the norm k · kHS in condition 2 in the case of a Q-
Wiener process is the norm of the space of Hilbert–Schmidt operators acting
from HQ to H, while in the case of a cylindrical Wiener process (with Q = I)
it is the norm of the space of Hilbert–Schmidt operators from H to H. The
stochastic integral with respect to a cylindrical Wiener process W is defined
since the Hilbert–Schmidt operator B from H to H is bounded as an operator
from H to a space H1 ⊃ H, where W is well defined.
Remark 4.3.1 (On the particular case of a C0 -semi-group.) If, instead of be-
ing the generator of a semi-group of class (1, A)4 in H, the operator A satisfies
a stronger condition, namely, it is the generator of a C0 -semi-group, then the
RT
estimates in Theorem 4.3.1 become better. Instead of 0 kU (t)k4 dt =: M 2
RT √
and 0 kU (t)k2 dt ≤ M T , we have sup0≤t≤T kU (t)k ≤ M1 . In this case the
estimate (4.3.15) has the following form: C 2 M12 T (T + 1) < 1.
Remark 4.3.2 (On the case of an R-semi-group and R-solution.) If, instead
of generating a C0 -semi-group {U (t), t ∈ [0, ∞)} in H, the operator A gen-
erates an R-semi-group {S(t), t ∈ [0, τ )}, then for T < τ we can obtain esti-
mates similar to the ones obtained in Theorem 4.3.1 and get a mild R-solution
(4.3.4).
Remark 4.3.3 (On a dissipative non-linearity F .) As noted above, if the non-
linearity F is dissipative, we can construct a mild solution via approximating
F by Lipschitz non-linearities Fn , in particular by Yosida approximations

(4.3.9).
Now we consider examples of the non-linear terms F and operators B
satisfying the conditions of Theorem 4.3.1 on existence and uniqueness.
Let Q be a trace classP operator in H and, as usual, {ei } be a basis of its
∞
eigenvectors, Qei = σi2 ei , 1 σi2 < ∞. Let {gi = σi ei }, {fj } be orthonormal
base in spaces HQ , H, respectively.
Define the operator B(X) : HQ → H as follows:
X X
B(X)gi = bij (X)fj , where b2ij (X) < ∞ .
j i
For example, let

X X
bij = σi sin Xj , where X = Xj f j , Xj2 < ∞.
j j
P
Then the condition i σi2 < ∞ is sufficient for such B(X) to be a Hilbert–
Schmidt operator from HQ to H:
X XX X X
kB(X)k2HS = kB(X)gi k2H = b2ij (X) = σi2 sin2 Xj ≤ C σi2 .
i i j ij i
Let us verify the Lipschitz condition:

X
kB(X) − B(Y )k2HS = k(B(X) − B(Y ))gi k2H
i
XX X
= (bij (X) − bij (Y ))2 = σi2 (sin Xj − sin Yj )2
i j ij
X X
Xj − Yj 2 Xj + Yj
= σi2 4 sin2 cos ≤ σi2 (Xj −Yj )2 ≤ CkX−Y k2H
ij
2 2 ij
and the condition of linear growth:

X
kB(X)k2HS = kB(X)gi k2H
i
XX XX
= bij (X)2 = σi2 sin2 Xj ≤ C(1 + kXk2H ).
i j i j
P
By analogy, we can take F : H → H as F (X) = j aj (X)fj with suitable
functions aj : H → R.
To clarify the importance of the concept of a mild solution we will show
the connection between mild and weak solutions. Namely, we will show that if
a mild solution exists, then it is a weak solution. Thus the construction given
for mild solutions can be used for obtaining weak solutions, both exact and
approximate.
Theorem 4.3.2 Let the conditions of Theorem 4.3.1 be fulfilled. Then a mild
solution to the semi-linear stochastic Cauchy problem (4.3.1) exists and is a
weak solution.
Proof. Let X(t), t ∈ [0, T ], be a mild solution to the problem (4.3.1). Let us
show that X is a weak solution, i.e., X satisfies (4.3.2):
Z t
hX(t), yi = hζ, yi + hX(s), A∗ yi ds
0
Z t Z t
+ hF (s, X(s)) ds, yi + hB(s, X(s)) dW (s), yi
0 0
for each y ∈ dom A∗ .

We begin with a solution to the corresponding homogeneous problem. In
Theorem 4.2.1 we proved that the process {U (t)ζ, t ∈ [0, T ]} is a solution to
the homogenous Cauchy problem
Z t
hζ, yi + hU (r)ζ, A∗ yi dr = hU (t)ζ, yi (4.3.16)
0
for each F0 -measurable H-valued ζ. Further, let us show that the sum of
convolutions
Z t Z t
U (t−s)F (s, X(s)) ds+ U (t−s)B(s, X(s)) dW (s), t ∈ [0, T ], (4.3.17)
0 0
is a weak solution to (4.3.2) with initial data X(0) = 0, i.e., the sum satisfies
the equation
Z t Z t Z t
∗
hX(t), yi = hX(s), A yids + hF (s, X(s)) ds, yi + hB(s, X(s))dW (s), yi.
0 0 0
(4.3.18)
Since U is a semi-group of class (1, A)4 , using the condition 2 of Theorem
4.3.1, we obtain the following estimates:
Z T Z T
kU (t)F (t, X(t)k2 dt < ∞, kU (t)B(t, X(t)k2HS dt < ∞.
0 0
We have shown in Theorem 4.3.1 that these conditions imply that the paths
of the processes defined by the convolutions are integrable:
Z T Z t

dt
U (t − s)F (s, Y (s)) ds < ∞,

0 0
Z T Z t

U (t − s)B(s, X(s)) dW (s)
dt < ∞.
0 0
Now we show that the process X defined by the sum (4.3.17) satisfies (4.3.18)
for each y ∈ dom (A∗ ) (Pa.s. , of course). By the equalities valid for U , we have
Z t Z t
h U (t − s)F (s, X(s)) ds + U (t − s)B(s, X(s)) dW (s), yi
0 0
Z t Z s Z s
= h U (s − τ )F (τ, X(τ )) dτ + U (s − τ )B(τ, X(τ )) dW (τ ), A∗ yi ds
0 0 0
Z t Z t
+ hF (s, X(s)) ds, yi + hB(s, X(s)) dW (s), yi, (4.3.19)
0 0
and for the first term in the right-hand side the following equalities are true:
Z t Z s
h U (s− τ )F (τ, X(τ )) dτ, A∗ yi ds
0 0
Z tZ s
= hU (s − τ )F (τ, X(τ )) dτ, A∗ yi ds
0 0
Z t Z t
= hF (τ, X(τ )) dτ, U ∗ (s − τ )A∗ y dsi
0 τ
Z t Z t−τ
= hF (τ, X(τ )) dτ, U ∗ (s)A∗ y dsi.
0 0
As we have already mentioned, if A is the generator of a semi-group {U (t)} of

class (1, A) in H, its conjugate operator A∗ is the generator of the semi-group
{U ∗ (t)} which belongs to the same class. Since the class (1, A)4 belongs to
(1, A), for y ∈ dom A∗ the equality
Z t−τ
U ∗ (s)A∗ y ds = U ∗ (t − τ )y − y
0
is true and hence

Z t Z s Z t
h U (s − τ )F (τ, X(τ )) dτ, A∗ yi ds = hF (τ, X(τ )) dτ, U ∗ (t − τ )y − yi
0 0 0
Z t Z t
= hU (t − τ )F (τ, X(τ )) dτ, yi − hF (τ, X(τ )) dτ, yi.
0 0
4.4. Extension of the Feynman–Kac theorem to Hilbert spaces 179
For the second term of the sum of convolutions we similarly obtain

Z t Z s
h U (s− τ )B(τ, X(τ )) dW (τ ), A∗ yi ds
0 0
Z tZ s
= hU (s − τ )B(τ, X(τ )) dW (τ ), A∗ yi ds
0 0
Z t Z t
= hB(τ, X(τ )) dW (τ ), U ∗ (s − τ )A∗ y dsi
0 τ
Z t Z t−τ
= hB(τ, X(τ )) dW (τ ), U ∗ (s)A∗ y dsi
0 0
Z t Z t
∗
= hB(τ, X(τ )) dW (τ ), U (t − τ )y − yi hU (t − τ )B(τ, X(τ )) dW (τ ), yi
0 0
Z t
− hB(τ, X(τ )) dW (τ ), yi.
0
Thus the equality (4.3.19) for the sum of convolutions is true, hence the process
Z t Z t
{ U (t − s)F (s, X(s)) ds + U (t − s)B(s, X(s)) dW (s), t ∈ [0, T ]}
0 0
is a weak solution to (4.3.1) with zero initial data. Since {U (t)ζ, t ≥ 0} is a

weak solution to (4.3.16), we obtain that the mild solution
Z t Z t
X(t) = U (t)ζ + U (t − s)F (s, X(s)) ds + U (t − s)B(s, X(s)) dW (s)
0 0
is a weak solution to (4.3.1).

Thus we have constructed a mild solution to (4.3.1) and have proved that if
a mild solution X for the semi-linear stochastic Cauchy problem (4.3.1) exists,
then it is a weak solution to (4.3.1). Hence under the conditions of Theorem
4.3.1 there exists a unique weak solution equal to the mild solution obtained.
As for the converse result, we can see that if X is a weak solution for (4.3.1),
then it is represented in the form (4.3.3) and hence it is a mild solution.
4.4 Extension of the Feynman–Kac theorem to the case

of relations between stochastic equations and PDEs
in Hilbert spaces
In the previous sections we studied solutions to stochastic Cauchy prob-
lems in Hilbert spaces. Along with the study of the solutions themselves, the
important problem is to obtain probabilistic characteristics of these solutions.
It turns out that there exists a direct connection between solutions of

stochastic problems and solutions of deterministic problems for their prob-
abilistic characteristics of a certain type. In finite-dimensional spaces such a
deterministic problem is, for example, the well-known backward Cauchy prob-
lem for the Kolmogorov equation. If we refer to its solution as to temperature
of a medium, it can be treated as a deterministic characteristic of the solution
of the corresponding stochastic problem describing the motion of particles in
the medium.
4.4.1 Statement of the problem. Applications

The finite-dimensional theorem concerning the connection of stochastic
equations with partial differential equations for certain probabilistic character-
istics is known as the Feynman–Kac theorem. Its particular one-dimensional
case establishes the relationship between solutions of the Cauchy problem for
stochastic equation in R of the form
dX(τ ) = a(t, X(τ )) dτ + b(τ, X(τ )) dβ(τ ), τ ∈ [t, T ],

0 ≤ t ≤ T, X(t) = x, x ∈ R, (4.4.1)
where {β(t), t ≥ 0} is a Brownian motion, and solutions of the backward
Cauchy problem for the deterministic partial differential equation
1
gt (t, x) + a(t, x)gx (t, x) + b2 (t, x)gxx (t, x) = 0, t ∈ [0, T ],
2
g(T, x) = h(x), (4.4.2)
where h is a Borel function from H to R, g(t, x) := Et,x h(X(T )) and Et,x

denotes the expectation of h(X(T )), where X(T ) is the solution to the Cauchy
problem (4.4.1) at τ = T .
The study of the relationship between the problems (4.4.1) and (4.4.2) was
initiated by the needs of physics. For example, if the process {X(τ )} describes
random motion of a particle in a liquid or gas, the temperature g(t, x) of
the medium is described by the Kolmogorov equation. The importance of the
relationship between stochastic and deterministic problems became even more
relevant recently due to the development of numerical methods which use this
relationship in both directions: from stochastic problems to deterministic ones
and from deterministic to stochastic (see, e.g., [86]). It also has found extensive
applications in financial mathematics. For example, if X, a solution to (4.4.1),
describes a stock price at time τ then g(t, x) is the value of the stock option
determined by the famous Black–Scholes equation (see, e.g., [108]).
Moreover, there exist recent applications of infinite-dimensional stochas-
tic equations in financial mathematics. As an example we can mention the
relationship between a process {X(τ ), τ ≥ t > 0} describing evolution of a
coupon bond price and Et,x h(X(T )) describing prices of bond options with
the maturity date T .
Let us consider these applications in more detail. Let X(τ, T ), 0 ≤ τ ≤ T ,

be the price at time τ of a coupon bond with maturity date T parametrized
by X(τ, τ ) = 1 and let f (τ, T ), τ ≤ T , be the forward curve, i.e.,
Z !
T
X(τ, T ) = exp − f (τ, s) ds .
τ
Then the Musiela reparameterization r(τ, z) := f (τ, z + τ ), z ≥ 0, in the

special case of zero Heath–Jarrow–Morton shift, satisfies the following Cauchy
problem in a Hilbert space H of functions acting from R+ to R (see, e.g.,
[32, 33]):
dr(τ ) = Ar(τ )dτ + σ(τ, r(τ ))dW (τ ), τ ≥ 0, r(0) = ζ,
where A is the generator of the right-shift semi-group in H, W is an H-valued

Q-Wiener process, and σ is a random mapping from H to H. Here the value
of bond options may be calculated, at least numerically, via g(t, x) defined as
g(t, x) := Et,x h(r(T )) and the relationship between bonds and bond options
is an important particular case of the relationship which the present section
is devoted to.
In the present section we introduce a generalization of the Feynman–
Kac theorem to the case of Hilbert spaces. Namely, we establish a relation-
ship between solutions of Cauchy problems for the linear stochastic equation
dX(t) = AX(t)dt + B dW (t) studied in detail in the previous sections and
solutions to the backward and direct Cauchy problems for deterministic par-
tial differential equations for the probabilistic characteristics Et,x h(X(T )) and
E0,x h(X(t)) with derivatives in Hilbert spaces.
We prove the relationship on the basis of two different approaches. One is
based on the usage of the Itô formula in Hilbert spaces and is a generalization
of the finite-dimensional approach from [11, 108]. The other is based on the
usage of properties of the semi-group U = {Ut , t ≥ 0} defined via the solu-
tion to the stochastic problem. In addition, in this subsection we pay enough
attention to the statement of the problem and interpretation of objects in the
infinite-dimensional equations introduced.
Generalization of the Feynman–Kac theorem to the infinite-dimensional
case, besides the proof of the theorem itself, raises many questions related to
the formulation of the problem in infinite-dimensional spaces, definitions, and
rigorous justifications of relevant objects. We are going to start with these
matters.
We consider the linear stochastic Cauchy problem in a Hilbert space with
a Wiener process W , which is the infinite-dimensional generalization of (4.4.1)
in the linear case:
dX(τ ) = AX(τ ) dτ + B dW (τ ), τ ∈ [t, T ], X(t) = x. (4.4.3)
We prove the infinite-dimensional extension of the Feynman–Kac theorem

under the following standard conditions. Let A be the generator of a C0 -semi-

group in a Hilbert space H, B be a bounded linear operator from a Hilbert
space H to H, and W = {W (t), t ≥ 0} be an H-valued Q-Wiener process
or a cylindrical Wiener process, which at the same time is an HQ1 -valued
Q1 -Wiener process for a trace class operator Q1 (see Section 4.1).
We associate with the Cauchy problem (4.4.3) a problem for the following
deterministic partial differential equation:
2

∂g ∂g 1 ∗∂ g
(t, x) + (t, x)Ax + T r B (t, x)BQ = 0, t ∈ [0, T ], (4.4.4)
∂t ∂x 2 ∂x2
which is the generalization of the equation in (4.4.2) for the case of Hilbert
spaces. We will show that g(t, x) := Et,x h(X(T )) satisfies the following
infinite-dimensional deterministic backward Cauchy problem:
2

∂g ∂g 1 ∗∂ g
(t, x) + (t, x)Ax + T r B (t, x)BQ = 0, t ∈ [0, T ],
∂t ∂x 2 ∂x2
g(T, x) = h(x), x ∈ dom A, (4.4.5)
and that g(t, x) := E0,x h(X(t)) satisfies the corresponding forward Cauchy
problem with initial data g(0, x) = h(x).
First we give a rigorous interpretation of the objects included in the
stochastic and deterministic equations. Then we prove the connection between
their solutions using the two approaches mentioned above – the Itô approach
and the semi-group approach.
The Itô approach consists in successive application of the following steps.
The first is proving the Markov property for the solution X to the stochas-
tic Cauchy problem, the second is proving the martingale property for the
process g(t, X(t)) = g(t, x)|x=X(t) , t ≥ 0, and the last is applying the infinite-
dimensional Itô formula to g(t, X(t)). Particular attention is paid to the subtle
transition from zero expectation for functions of g to the equality (4.4.5) for
g itself.
The semi-group approach consists in applying semi-group techniques to
the operator family U = {Ut , t ≥ 0} defined as [Ut h](x) := E0,x h(X(t))
on a subspace of the space of bounded functions h : H → R. We calculate
the infinitesimal generator for the semi-group and write the Cauchy problem
for the generator of U, which coincides with the closure of the infinitesimal
generator.
We start with interpretation of the objects included in the stochastic prob-
lem (4.4.3). For simplicity we let the operator A be the generator of a C0 -semi-
group {U (t), t ≥ 0} in a Hilbert space H. This ensures uniform well-posedness
of the Cauchy problem for the corresponding homogeneous equation and the
existence of strongly continuous solution operators U (t), t ≥ 0, to the homo-
geneous problem, as well as the existence and uniqueness of the weak solution
to the stochastic problem
dX(t) = AX(t) dt + B dW (t), t ≥ 0, X(0) = ζ. (4.4.6)
The solution is given by the formula

Z t
X(t) = U (t)ζ + WA (t) = U (t)ζ + U (t − s) BdW (s), t ≥ 0, (4.4.7)
0
(see Section 4.1, where we discussed the conditions that ensure the existence
Rt
of the stochastic integral 0 Φ(s) dW (s), t ≥ 0 for Q-Wiener and cylindrical
Wiener processes W , in particular, the existence of stochastic convolution).
The stochastic convolution WA (t) with respect to both types of Wiener pro-
cesses formally is defined under the same condition (4.2.11). In the case of a
Q-Wiener process with a trace class operator Q to satisfy (4.2.11) it is suffi-
cient for the operators U (s)B to be bounded from H to H, while in the case
of a cylindrical Wiener process with a bounded Q, in particular for Q = I
(T r Q = ∞), the operators U (s)B have to be Hilbert–Schmidt operators from
H to H.
Now we give the interpretation for the objects of the deterministic partial
∂g
differential equation (4.4.4) in Hilbert space H. Here the derivatives ∂x and
∂2g
∂x2 are understood in the Frechet sense: for any fixed t ∈ [0, T ] and x ∈ H
∂g ∂2g
(t, x)(·) : H → R, (t, x)(·) : H → H ∗ ,
∂x ∂x2
2
∂g ∂ g
and we have ∂x (t, x) ∈ H ∗ , ∂x ∗
2 (t, x) ∈ L(H, H ) if h satisfies certain smooth-
ness conditions onh h (see, e.g.,

i [53, 106]).
2
∂ g
The term T r B ∗ ∂x 2 BQ in (4.4.4), where Q : H → H is a trace class
operator if W is a Q-Wiener process and Q = I if W is a cylindrical Wiener
process, requires special attention since the expression T r is usually defined as
the trace of an operator acting in the same Hilbert space but here the operator
∂2g
B ∗ ∂x 2 BQ under the trace sign maps Hilbert space H to its adjoint H .
∗
Using the traditional definition of the trace (see Section 4.1), we can give
meaning to it, using the Riesz theorem on the isomorphism of H and H∗ and
identifying H∗ with H. The isomorphism allows us to consider operators BQ,
∂2g ∗
∂x2 , and B as mappings from H to H, from H to H, and from H to H,
2
∂ g
respectively. Then the operator B ∗ ∂x 2 BQ maps the Hilbert space H into H
and its trace can be understood in the usual sense. Namely, in the case of
a Q-Wiener process with a trace class operator Q and bounded operators
∂2 g
B : H → H and ∂x 2 : H → H we have
X ∞ ∞ 2 2
2 ∂2g X
T r B ∗ ∂ g BQ ≤ h BQe , Be i ≤ σ 2
kBk 2 ∂ g
< ∞.
∂x 2 ∂x2 j j j ∂x
2
j=1 j=1
In hthe case iof a cylindrical Wiener process with Q = I the estimate

∂2g ∂2 g
T r B ∗ ∂x 2B < ∞ holds if the operator ∂x 2 is bounded and B is Hilbert–
Schimidt.
One can give meaning to the concept of trace without identifying H with
H∗ by considering a wider class of operators, namely, linear nuclear operators
acting from a separable Hilbert space H to H∗ . As is well
Pknown, any operator
∞
G from this class can be written in the form Gz = j=1 aj (z) bj , z ∈ H,
P∞
where aj , bj ∈ H∗ and j=1 kaj kkbj k < ∞ (see Section 4.1). In our case for
2
∂ g
G = B ∗ ∂x 2 BQ : H → H ∗ we can take aj (ek ) = δjk and bj = Gej , where
{ej } is an orthonormal basis in H consisting of eigenvectors of the trace class
operator Q (Qej = σ 2 ej ). Then kbj k ≤ c σj2 and T r[Q] is well defined and can
be understood as
X∞
T r [G] = Qej (ej ). (4.4.8)
j=1
Now we prove that g(t, x) := Et,x h(X(T )) : [0, T ] × H → R, where h

is a measurable function from H to R satisfying the conditions ensuring the
existence and boundedness of the derivatives in (4.4.4), satisfies the infinite-
dimensional deterministic problem (4.4.5).
4.4.2 Proof of the relations on the basis of the Itô approach

To determine the relationship between solutions of problems (4.4.3) and
(4.4.5) we need some properties of g(t, X(t)) = g(t, x)x=X(t) , where the pro-
cess X is a solution of (4.4.6). Let us obtain the required properties for the
class of diffusion processes, which contains solutions of (4.4.3).
An H-valued Itô process X = {X(t), t ≥ 0} is called a diffusion if it is a
solution to the Cauchy problem for the equation which can be written in the
form
dX(t) = A(X(t)) dt + B(X(t)) dW (t), t ≥ 0. (4.4.9)
We consider the diffusion processes being solutions of the Cauchy problem
for Equations (4.4.9) under the condition that the solution of the problem
exists and is unique.4 In the particular case of the problem (4.4.3) with the
generator of a C0 -semi-group {U (t), t ≥ 0} its unique solution can be written
as the sum of the term depending on initial data and the stochastic convolu-
tion, i.e., in the form (4.4.7).
To prove the relationship under study, we first prove that if X is the unique
solution to the stochastic Cauchy problem, then g(t, x) satisfies (4.4.5). To
prove this it is important to establish the Markov property for a solution
of the Cauchy problem. The following statement is the generalization of the
finite-dimensional result on the Markov property (see, e.g., [95]) to the case
of Hilbert spaces.
Proposition 4.4.1 Let X = {X(t), t ≥ 0} be the unique solution to the

4 It may be guaranteed, for example, by the following estimate of the mappings A and
B: kA(y1 ) − A(y2 )k + kB(z1 ) − B(z2 )k ≤ c(ky1 − y2 k + kz1 − z2 k), y1 , y2 ∈ H, z1 , z2 ∈ H,

c ∈ R (see Section 4.3).
Cauchy problem for (4.4.9), in particular, a solution to (4.4.6) and h : H → R

be a Borel-measurable square integrable function. Then the process X satisfies
the Markov property with respect to a filter Ft defined by the Wiener process
W:
E [h(X(t + s))|Ft ] = E0,X(t) [h(X(s))], t, s ≥ 0. (4.4.10)
Proof. Let X t,x (r) (r ≥ t, t ∈ [0, T ], x ∈ H) be the unique solution of

(4.4.9) satisfying the condition X(t) = x. By the uniqueness of a solution to
the Cauchy problem for Equation (4.4.9) we have X(r) = X t,X(t) (r), r ≥ t
almost surely, i.e., X(r)(ω) = X t,X(t)(ω) (r) for ω Pa.s. .
Fix some m ∈ N and consider the partition of the segment [t, T ] by the
points tk = t + k(Tm−t) , k = 0, . . . , m. Consider
m
X
t,X(t)
vm (τ, ω) := h(X t,X(t)(ω) (tk+1 ))χτ ∈[tk ,tk+1 )
k=0
m
X
= h(X(tk+1 )(ω))χτ ∈[tk ,tk+1 ) , (4.4.11)
k=0
where χτ ∈[tk ,tk+1 ) is a characteristic function of the semi-open interval

[tk , tk+1 ). Then we obtain the equalities for the functions defined on the in-
tervals:
" m #
h i X
t,X(t)
E vm (τ, ω) Ft = E h(X(tk+1 ))χτ ∈[tk ,tk+1 ) Ft

k=0
m
X m
X
= χτ ∈[tk ,tk+1 ) E [ h(X(tk+1 ))| Ft ] = χτ ∈[tk ,tk+1 ) E [h(X(tk+1 ))]
k=0 k=0
" m
#
X
t,X(t)
= E χτ ∈[tk ,tk+1 ) h(X(tk+1 )) = E [vm (τ, ω)]. (4.4.12)
k=0
Here the first and the last equalities follow from the equalities (4.4.11), which
t,X(t)
define vm . The second one holds since the characteristic functions of in-
tervals do not depend on the variable ω ∈ Ω. The third equality holds since
X(tk+1 ) is independent of the σ-algebra Ft for all tk+1 > t and by the unique-
ness equality: X(r) = X t,X(t) (r), r ≥ t.
t,X(t)
Further, for a Borel-measurable h we have vm (τ, ·) m→∞
−→ h(X(τ )) in
2
L (Ω; H) and, letting m tend to infinity in the equalities (4.4.12), we obtain
E [h(X(τ ))|Ft ] = E [h(X(τ ))].
Since τ = t + s, we conclude that
E [h(X(t + s))|Ft ] = E [h(X(t + s))] = E [h(X t,X(t) (t + s))]

= E [h(X t,z (t + s))]z=X(t) . (4.4.13)
Using the diffusion property of the Itô process {X(t)}, we obtain
E [h(X t,z (t + s))]z=X(t) = E [h(X 0,z (s))]z=X(t) . (4.4.14)
The equalities (4.4.13) and (4.4.14) imply (4.4.10).

Note that, if a process X is a solution to (4.4.3), it is a diffusion and,
as proved above, has the Markov property. Hence, by the homogeneity of
diffusions with respect to time, the following relation is fulfilled for a solution
of (4.4.3):
E0,X(t) [h(X(s))] = Et,X(t) [h(X(t + s))]. (4.4.15)
As a consequence of (4.4.10) and (4.4.15) we obtain the following.
Remark 4.4.1 The Markov property (4.4.10) can be written as follows
E [h(X(t + s))|Ft ] = Et,X(t) [h(X(t + s))].
Now we prove that the process {g(t, X(t))} is a martingale, which is an

important property.
Proposition 4.4.2 Let {X(t), t ≥ 0} and h satisfy the conditions of Propo-
sition 4.4.1. Then the process {g(t, X(t)) := Et,x h(X(T ))|x=X(t) , 0 ≤ t ≤ T }
is a martingale, i.e.,
E [g(t, X(t))|F (s)] = g(s, X(s)), 0 ≤ s ≤ t ≤ T.
Proof. According to Proposition 4.4.1, {X(t)} has the Markov property.

Therefore,
E [h(X(T ))|F (t)] = Et,X(t) h(X(T )) = g(t, X(t))
and we obtain the following equalities:
E [g(t, X(t))|F (s)] = E [E[h(X(T ))|F (t)]|F (s)] = E [h(X(T ))|F (s)]
= Es,X(s) h(X(T )) = g(s, X(s)).
The first equality follows from the representation obtained for the process
{g(t, X(t))} via the conditional expectation. The second equality follows from
the properties of conditional expectations. The third one is the direct conse-
quence of the Markov property for g(t, X(t)). The last equality follows from
the definition of the process g(t, X(t)) and completes the proof.
Now we can proceed to the proof of the connection between Cauchy prob-
lems for stochastic and deterministic equations. We begin with the relationship
between the Cauchy problem (4.4.3) and the problem (4.4.5).
Theorem 4.4.1 Let H and H be separable Hilbert spaces, X be the unique

solution to the stochastic Cauchy problem (4.4.3), where A is the generator
of a C0 -semi-group and B ∈ L(H, H) if W is a Q-Wiener process and B ∈
LHS (H, H) if W is a cylindrical Wiener process. Let g(t, x) := Et,x h(X(T )),
∂g ∂2g
and suppose that ∂x (t, x), ∂x 2 (t, x), t ≥ 0, x ∈ R exist and are bounded. Then
g is a solution of the infinite-dimensional backward Cauchy problem (4.4.5).

Proof. Note that under the conditions of the theorem the unique solution X
to (4.4.3) exists and all terms in (4.4.5) are well defined. Applying the Itô
formula in Hilbert spaces (Theorem 4.1.4) to g(τ, X(τ )), where {X(τ ), τ ≥ t}
is the solution to (4.4.3), we obtain

∂g ∂g
dg(τ, X(τ )) = (τ, X(τ ))B dW (τ ) + (τ, X(τ ))
∂x ∂τ

∂g 1 ∂2g
+ (τ, X(τ ))AX(τ ) + T r B ∗ 2 (τ, X(τ ))BQ dτ.
∂x 2 ∂x
This equality is written in the form of differentials. In the integral form it can
be written as
Z T Z T
∂g ∂g
g(T, X(T )) = g(t, X(t)) + (s, X(s))B dW (s) + (s, X(s))
t ∂x t ∂s
2

∂g 1 ∗∂ g
+ (s, X(s))AX(s) + T r B (s, X(s))BQ ds.
∂x 2 ∂x2
Taking the expectation of both sides of the equation, we obtain
Z t
∂g
E (s, X(s))B dW (s) = 0.
0 ∂x
This can be proved by approximating the integrand by step processes (see

Section 4.1) and using the equality E (∆W ) = 0. Further, since the process
g(t, X(t)) is a martingale and g(T, X(T )) is independent of Ft , we have
E [g(t, X(t))] = E [g(T, X(T ))|Ft] = E [g(T, X(T ))].
Using the Tonelli–Fubini theorem in Hilbert spaces (Theorem 4.1.3), we can
change the order of integration and obtain
"Z
T
∂g ∂g
0=E (s, X(s)) + (s, X(s))AX(s)
t ∂s ∂x
2

1 ∗∂ g
+ Tr B (s, X(s))BQ ds
2 ∂x2
Z T
∂g ∂g
= E (s, X(s)) + (s, X(s))AX(s)
t ∂s ∂x

1 ∂2g
+ T r B ∗ 2 (s, X(s))BQ ds.
2 ∂x
The last equality is true for all t ∈ [0, T ]. Therefore,

2

∂g ∂g 1 ∗∂ g
E (s, X(s)) + (s, X(s))AX(s) + T r B (s, X(s))BQ = 0
∂s ∂x 2 ∂x2
for s ∈ [0, T ]. Rewrite this equality at a point (t, x),

2

∂g ∂g 1 ∗∂ g
E (t, x) + (t, x)Ax + T r B (t, x)BQ = 0,
∂t ∂x 2 ∂x2
that is,
2

∂g ∂g 1 ∗∂ g
E (t, x) + E (t, x)Ax + E T r B (t, x)BQ = 0.
∂t ∂x 2 ∂x2
Since Ax does not depend on ω ∈ Ω, we have

∂g ∂g
E (t, x)Ax = E (t, x) Ax.
∂x ∂x
Using the Lebesgue dominated convergence theorem, the fact that the map-
∂ ∂ ∂2
pings ∂t , ∂x , and ∂x 2 are independent of the variable ω ∈ Ω, and that the
expectation E is an integral with respect to ω, we conclude that all these op-

erations commute with E. Furthermore, using the interpretation given above
of the trace (4.4.8), we show that it also commutes with E due to the following
equalities:
 
2
X ∞ 2
∂ g ∂ g
E T r B ∗ 2 (t, x)BQ = E  B ∗ 2 (t, x)BQej (ej )
∂x j=1
∂x
∞
X
∂2g ∂2g
= E B ∗ 2 (t, x)BQej (ej ) = T r E B ∗ 2 (t, x)BQ .
j=1
∂x ∂x
Note that if we identify H∗ with H and H ∗ with H, then
∂2g ∂2g
B∗ 2
(t, x)BQej (ej ) = hB ∗ 2 (t, x)BQej , ej i.
∂x ∂x
Further, the definition of g(t, x) implies

Eg(t, x) = E Et,x [h(X(T ))] = Et,x [h(X(T ))] = g(t, x).
It follows from the equalities

2

∂g ∂g 1 ∗∂ g
(t, x) + (t, x)Ax + T r B (t, x)BQ = 0, t ∈ [0, T ], x ∈ H.
∂t ∂x 2 ∂x2
Thus Equation (4.4.5) is proved. It remains to verify the Cauchy condition at

t = T . We have
g(T, x) = ET,x h(X(T )) = h(X(T ))|X(T )=x = h(x),
hence g(t, x) satisfies (4.4.5), which completes the proof.
Remark 4.4.2 The requirement on the function g(t, x) = Et,x h(X(T )) to

have bounded derivatives which is necessary for the proof of Theorem 4.4.1
is not usually fulfilled in applications. If the function h is not smooth enough
one has to consider some type of generalized solutions to the problem (4.4.5)
with h being a limit of smooth functions hn .
Remark 4.4.3 In Theorem 4.4.1 the backward Kolmogorov equation (4.4.4)
for the probabilistic characteristics g(t, x) = Et,x [h(X(T ))] is obtained. The
fact that the resulting deterministic problem is the backward problem is
not the specifics of the relationship studied. The proof, similar to the proof
of Theorem 4.4.1, shows that the probabilistic characteristics ĝ(t, x) :=
E0,x [h(X(t))] : [0, T ] × H → R lead to the Cauchy problem for the forward
Kolmogorov equation
2

∂ĝ ∂ĝ 1 ∗ ∂ ĝ
(t, x) = (t, x)Ax + T r B (t, x)BQ , t ∈ [0, T ], ĝ(0, x) = h(x).
∂t ∂x 2 ∂x2
We will prove this relation in the next subsection on the basis of the semi-
group approach.
Now, in addition to the result obtained in Theorem 4.4.1, we establish the
connection between solutions to the Cauchy problem (4.4.3) and the problem
(4.4.5) in the opposite direction, namely, from (4.4.5) to (4.4.3).
Theorem 4.4.2 Let g = g(t, x) be a solution of the infinite-dimensional

backward Cauchy problem (4.4.5), where A is the generator of a C0 -semi-
group, B ∈ L(H, H) in the case of Q-Wiener process W , and B ∈ LHS (H, H),
Q = I in the case of cylindrical Wiener process W . Then g(t, x) =
Et,x h(X(T )), where X(τ ), τ ∈ [t, T ], is the unique solution to the stochas-
tic Cauchy problem (4.4.3).
Proof. Let t ≥ 0 and {X(τ ), τ ∈ [t, T ]} be a weak solution of the Cauchy

problem (4.4.3). Applying the infinite-dimensional Itô formula to g(τ, X(τ )),
τ ∈ [t, T ], where g = g(t, x) is a solution to the Cauchy problem (4.4.3), we
obtain
Z T Z T
∂g ∂g
g(T, X(T )) = g(t, X(t)) + (s, X(s))B dW (s) + (s, X(s))
t ∂x t ∂s
2

∂g 1 ∗∂ g
+ (s, X(s))AX(s) + T r B (s, X(s))BQ ds.
∂x 2 ∂x2
Since g is a solution of the Cauchy problem (4.4.5), we have

Z T
∂g
g(T, X(T )) = g(t, X(t)) + (s, X(s))B dW (s).
t ∂x
Now apply the mathematical expectation to the terms in this equality. Since
the mathematical expectation of an Itô’s integral is equal to zero, we have
Et,x (g(T, X(T )) = Et,x (g(t, X(t))). (4.4.16)
Rewrite both sides of the equality (4.4.16). Since T is the end point of the
Cauchy problem (4.4.5), we can write it in another way:
Et,x (g(T, X(T ))) = Et,x (h(X(T )).
On the other hand, we have the following equality for the right-hand side:
Et,x (g(t, X(t))) = Et,x g(t, x) = g(t, x)
and as the result we obtain Et,x (h(X(T ))) = g(t, x).

Thus we have obtained the connection between solutions to (4.4.3) and
(4.4.5) in the opposite direction: if g is a solution of the Cauchy problem
(4.4.5) and X is a weak solution of the Cauchy problem (4.4.3) with operator
coefficients defined by (4.4.5), then g(t, x) = Et,x (h(X(T ))). That means that
the postulated connection between the solutions of the problems (4.4.5) and
(4.4.3) is proved.
Now show that the term T r[·] in the deterministic partial differential equa-
tion (4.4.5) obtained in Theorems 4.4.1–4.4.2 can also be written in another
form.
Let Q be a trace class operator in H such that {ei }∞i=1 is an orthonormal
basis in H and Qei = σi2 ei . For operators L, M ∈ LHS (H, H) their scalar
product is defined as
X
hL, M iLHS (H,H) := hLei , M ei i
i
X
= hM ∗ Lei , ei i = T r[M ∗ L] = T r[LM ∗ ]. (4.4.17)
i
The last equality is true since the trace of an operator is equal to the trace
of its conjugate. Let HQ = Q1/2 H with the norm kykHQ = kQ−1/2 ykH ; then
{gi = σi ei } is the orthonormal basis in HQ . Using the equalities (4.4.17), we
have
X X X
kLk2LHS (HQ ,H) = kLgi k2H = hLgi , ej i2H = hL(σi ei ), ej i2H
i i,j i,j
X
1/2
= hLQ ei , ej i2H = kLQ1/2 k2LHS (H,H) = T r[(LQ1/2 )(LQ1/2 )∗ ].
i,j
Similarly to (4.4.17) for the scalar product of operators from LHS (HQ , H), we
have the equality
hL, M iLHS (HQ ,H) = T r[(LQ1/2 )(M Q1/2 )∗ ]. (4.4.18)
Proposition 4.4.3 Let K ∈ L(H) and B ∈ L(H, H); then the following
equality holds:
T r[KBB ∗ ] = T r[B ∗ KB].
Proof. We have the following chain of equalities:
T r[KBQB ∗ ] = T r[KBQ1/2 Q1/2 B ∗ ] = T r[(KBQ1/2 )(BQ1/2 )∗ ]

= hKB, BiLHS (HQ ,H) = hB ∗ KB, IiLHS (HQ ,H)
= T r[B ∗ KBQ1/2 Q1/2 ] = T r[B ∗ KBQ].
The first and the second equalities follow from the properties of the operator
Q. The relation (4.4.18) for L = KB, M = B is used in the third one. The
fourth equality follows from the properties of a scalar product and in the fifth
one the equality (4.4.18) is used again, but for operators L = B ∗ KB, M = I.
This completes the proof.
Corollary 4.4.1 The following equalities hold true:

2
∂2g ∗ ∂ g 1/2 1/2 ∗
Tr (t, x)BQB = T r (t, x)(BQ )(BQ )
∂x2 ∂x2

∂2g
= T r B ∗ 2 (t, x)BQ .
∂x
The equalities obtained are consistent
h with the tracei property to allow a cyclic
∂2g
permutation [103] and the term T r B ∗ ∂x 2 (t, x)BQ in the deterministic PDE
(4.4.5) in Theorems 4.4.1–4.4.2 can also be written in any of the forms proven
to be equivalent.
4.4.3 Proof of the relations on the basis of the semi-group

approach
We continue to study the relationship between Cauchy problems for
stochastic equations and Cauchy problems for deterministic partial differen-
tial equations in Hilbert spaces. In contrast to (4.4.3), where “the final part”
of the Cauchy problem on [0, T ] was considered, now we consider “the initial
part”:
dX(τ ) = AX(τ ) dt + B dW (τ ), τ ∈ [0, t], t ≥ 0, X(0) = x, (4.4.19)
where A is, as above, the generator of a C0 -semi-group {U (t), t ≥ 0} in a

Hilbert space H, the operator B : H → H is linear bounded, and W is an
H-valued Q-Wiener process. (As we have already mentioned, a cylindrical

Wiener process can be treated as a Q1 -Wiener process in a suitably chosen
space HQ1 .)
Let the operator family {Ut , t ≥ 0} be defined by
[Ut h](x) := E0,x [h(X(t))] (4.4.20)
in the space B(H) of bounded functions from H to R with the norm khkB(H) =
supx∈H |h(x)|. We will show the relationship under consideration using the
semi-group property of the family U. The process X in (4.4.20) is the unique
solution to (4.4.19). As proved in the previous subsections, it may be written
in the form (4.4.7) and due to the properties of the stochastic convolution,
X(t) is a Gaussian random variable for each t ≥ 0. For the expectation of X
we have
E[X(t)] = E[U (t)x] + E[WA (t)] = U (t)x.
For the covariance operator Cov[X(t)], by the equality (4.2.18), we have
Z t
Cov[X(t)]x = Cov[WA (t)]x = U (τ )BQB ∗ U ∗ (τ )x dτ =: Qt x.
0
For the Gaussian random value X(t), it means that X(t) ∼ NU(t)x,Qt for each
t ∈ [0, T ]. Then for h ∈ B(H) we have
Z
0,x
[Ut h](x) = E [h(X(t))] = h(r)NU(t)x,Qt(r) dr
ZH
= h(U (t)x + z) N0,Qt (z) dz. (4.4.21)
H
Recall that if H is n-dimensional, then for an a ∈ R and (n × n)-matrix Q,

n 1 1 −1
Na,Q (z) = (2π)− 2 (detQ)− 2 e− 2 hQ (z−a),z−ai
, z ∈ H,
and Z
1
eihz,yi Na,Q (z) dz = eiha,yi e− 2 hQy,yi , y ∈ H. (4.4.22)
H
In the infinite-dimensional case the equality (4.4.22) is taken as the definition

of Gaussian probability distribution for an H-valued random variable z with
expectation a and covariation Q, which is denoted by z ∼ Na,Q .
Now using (4.4.21), we show that the family {Ut , t ≥ 0} defined by (4.4.20)
has the semi-group property. We will obtain its generator in the space C(H)
of uniformly continuous and bounded real-valued functions on H.
Proposition 4.4.4 The family {Ut , t ≥ 0} possesses the semi-group prop-
erty
Ut+s h = Ut Us h, t, s > 0, h ∈ C(H).
Proof. Let Z be the linear span of functions hy (x) = eihx,yi , x ∈ H, y ∈ H.

Taking h = hy (x) in the equalities (4.4.21) we have
Z Z
[Ut hy ](x) = hy (U (t)x + z)N0,Qt (z) dz = eihU(t)x+z,yi N0,Qt (z) dz
H H
Z
1
ihU(t)x,yi ihz,yi
=e e N0,Qt (z) dz = eihU(t)x,yi eih0,yi e− 2 hQt y,yi
H
ihU(t)x,yi − 21 hQt y,yi 1
=e e = e− 2 hQt y,yi hU ∗ (t)y (x). (4.4.23)
1
It follows that [Ut+s hy ](x) = e− 2 hQt+s y,yi hU ∗ (t+s)y (x). On the other hand,
we have
h 1
i
[Ut Us hy ](x) = Ut eihU(s)x,yi e− 2 hQs y,yi
Z
1
= eihU(s)U(t)x,yi eihU(s)z,yi e− 2 hQs y,yi N0,Qt (z) dz
H
Z
ihU(s)U(t)x,yi − 12 hQs y,yi
=e e eihU(s)z,yi N0,Qt (z) dz
H
ihU(t+s)x,yi − 21 hQs y,yi ih0,U ∗ (s)yi − 21 hQt U ∗ (s)y,U ∗ (s)yi
=e e e e
1 ∗
= eihU(t+s)x,yi e− 2 h(Qs +U(s)Qt U (s))y,yi
1 ∗
= e− 2 h(Qs +U(s)Qt U (s))y,yi
hU ∗ (t+s)y (x), x, y ∈ H, t, s ≥ 0. (4.4.24)
To prove that (4.4.23) coincides with (4.4.24) we have to show that Qs +

U (s)Qt U ∗ (s) = Qt+s . By the definition of Qt in (4.2.18), we have
Z s
∗
(Qs + U (s)Qt U (s))y = U (τ )BQB ∗ U ∗ (τ )y dτ
0
Z t
+ U (s + τ )BQB ∗ U ∗ (s + τ )y dτ
0
Z t+s
= U (r)BQB ∗ U ∗ (r)y dr = Qt+s y, y ∈ H.
0
Hence [Ut+s hy ](x) = [Ut Us hy ](x). Thus the semi-group property holds for
the family {Ut , t ≥ 0} on elements hy and, as a consequence, on their linear
span, i.e., on Z. Since the space C(H) of uniformly continuous and bounded
functions h from H to R (with the same norm khk = supx∈H |h(x)| as in B(H))
can be approximated by elements of Z ([20], Proposition 1.2), it follows that
{Ut , t ≥ 0} possesses the semi-group property on C(H).
Now we can proceed to the proof of the infinite-dimensional extension of
the Feynman–Kac theorem for the “initial” Cauchy problems. We will limit
ourselves to the case of a Q-Wiener process, as we have shown in the previous
theorems what changes if we replace it with a cylindrical Wiener process.
Theorem 4.4.3 Let H and H be separable Hilbert spaces, X be a unique

solution to the stochastic Cauchy problem
dX(t) = AX(t)dt + B dW (t), t ≥ 0, X(0) = x, (4.4.25)
where A is the generator of a C0 -semi-group in H, B is a bounded opera-
tor from H into H, and W is a Q-Wiener process in H. Suppose that the
∂2 g
derivatives ∂g ∂g
∂t , ∂x , and ∂x2 of g(t, x) := E
0,x
[h(X(t))] exist and are bounded
in the corresponding spaces. Then g(t, x), t ≥ 0, x ∈ R, is a solution of the
infinite-dimensional forward Cauchy problem

∂g ∂g 1 ∂ 2g
(t, x) = (t, x)Ax + T r B ∗ 2 (t, x)BQ , t ≥ 0,
∂t ∂x 2 ∂x
g(0, x) = h(x). (4.4.26)
Proof. To prove (4.4.26) we show that the left-hand side of Equation (4.4.26)
is equal to ∂[Ut hy (x)]/∂t for hy (·) = eih·,yi , where y ∈ H, and the right-hand
side is equal to A [Ut hy ](x), where A is the infinitesimal generator of the
semi-group {Ut , t ≥ 0} and A is its generator. Then the equality holds.
We start by calculating the infinitesimal generator of the semi-group. Using
the equalities (4.2.18) and (4.4.23) obtained for Qt x and [Ut hy ](x) we have
[Ut hy ](x) − hy (x) ∂[Ut hy ](x)
[Ahy ](x) := lim = t=0
t→0
t ∂t
1
= − hU (t)BQB ∗ U ∗ (t)y, yi + ihU ′ (t)x, yi [Ut hy ](x)
2 t=0

1 ∗ ihx,yi
= − hIBQB Iy, yi + ihAx, yi e
2

1
= − hBQB ∗ y, yi + ihAx, yi hy (x), x ∈ dom A. (4.4.27)
2
Now we show that the equality (4.4.27) obtained for x ∈ dom A can be written
as
2
1 ∗ ∂ hy ∂hy
[Ahy ](x) = T r (B (x)BQ + (x)Ax. (4.4.28)
2 ∂x2 ∂x
For this purpose we need to calculate the Frechet derivatives ∂hy (x)/∂x and
∂ 2 hy (x)/∂x2 . We have the Taylor expansion hy (x) = eihx,yi = 1+ihx, yi+o(x)
as x → 0. Hence
eihx+∆x,yi − eihx,yi = eihx,yi ih∆x, yi + o(∆x) as ∆x → 0
and by the definition of Frechet differentials we obtain
∂hy (x)
∆x = h∆x, yieihx,yi ,
∂x
∂ 2 hy (x) ∂ ∂hy (x)
∆x = ∆x = −yh∆x, yieihx,yi .
∂x2 ∂x ∂x
Now, using these expressions we show that for the infinitesimal genera-
tor hA of the semi-group
i {Ut , t ≥ 0} the equality (4.4.28) holds. Writing
∂ 2 h (x)
T r BQB ∗ ∂xy2 via the scalar product (i.e., identifying H with H∗ for the
sake of simplicity) we have
2
X∞
∗ ∂ hy (x)
T r BQB =− hBQB ∗ yhej , yieihx,yi , ej i
∂x2 j=1
∞
X
=− hhej , yiej , BQB ∗ yeihx,yii
j=1
∞
X
= −hBQB ∗ yeihx,yi , hej , yiej i = −hBQB ∗ y, yieihx,yi.
j=1
Hence, taking into account (4.4.27) and properties of traces, we obtain

2

1 ∗ ∂ hy ∂hy
[Ahy ](x) = T r B 2
(x)BQ + (x) Ax, x ∈ dom A.
2 ∂x ∂x
For further proof we note that dom A = H and use the fact that Z (the
linear span of the elements {eihx,yi, x ∈ H}, y ∈ H) is the core of the operator
A in the space L(H, dµ), dµ = dN0,Q∞ (see [24]). It follows that (4.4.28) can
be extended to all functions from L(H, dµ), in particular, to the functions
g(t, x) = E0,x [h(X(t))] = [Ut h](x), x ∈ H:

1 ∂2g ∂g
Ag(t, x) = T r B ∗ 2 (t, x)BQ + (t, x)Ax, x ∈ dom A.
2 ∂x ∂x
Since u(t) = [Ut h] solves the Cauchy problem u′ (t) = Au(t), t ≥ 0, u(0) = h,
with the generator A of the semi-group {Ut , t ≥ 0} in the space L(H; µ), we
have
2

∂g 1 ∗∂ g ∂g
(t, x) = T r B (t, x)BQ + (t, x)Ax, g(0, x) = h(x), x ∈ dom A.
∂t 2 ∂x2 ∂x
This is the deterministic infinite-dimensional forward Cauchy problem
(4.4.26). For functions h ∈ L(H; µ) the equation, of course, is understood
in a generalized sense.
Thus, using the Itô approach in Theorems 4.4.1–4.4.2, we have proved
the relationship between the stochastic Cauchy problem (4.4.3) and the
backward Cauchy problem for the deterministic partial differential equation
(4.4.4). Using the semi-group techniques in Theorem 4.4.3 we have proved
the relationship between the stochastic Cauchy problem (4.4.25) and the
forward Cauchy problem (4.4.26). It is well known that by the change of
variables τ = T − t the backward Cauchy problem for an abstract equation
dg(t)/dt = −Ag(t) can be transformed into the forward Cauchy problem for
the equation dg(τ )/dt = Ag(τ ). This shows the relationship between the de-
terministic Cauchy problems obtained in Theorems 4.4.1, 4.4.2, and 4.4.3.
Taylor & Francis
Chapter 5
Infinite-dimensional stochastic
Cauchy problems with white noise
processes in spaces of distributions
We continue to study infinite-dimensional stochastic Cauchy problems, now

in spaces of distributions. These problems arise in numerous applications as
mathematical models reflecting random influence of white noise type on sys-
tems that are under consideration. Among the problems, the important one
is the Cauchy problem (P.1) in Hilbert spaces H, H:
X ′ (t) = AX(t) + F (t, X) + B(t, X)W(t), t ∈ [0, T ], X(0) = ζ,
with an H-valued white noise process W, the generator A of a regularized

semi-group in H, a nonlinear term F : H → H, and B ∈ L(H, H).
As noted in the Introduction, the problem is ill-posed due to the irregular-
ity of the white noise and the unboundedness of solution operators generated
by A. In Chapter 4 we overcame these obstacles by studying the problem in
the integrated form with stochastic integrals wrt Wiener processes and by con-
structing regularized solutions. In the present chapter we study the problem
in spaces of distributions. The spaces are chosen in dependence on the type
of semi-group generated by A.
In Section 5.1, for the linear stochastic Cauchy problem in the case of A
generating an integrated or convoluted semi-group, we construct generalized
(wrt t) solutions in spaces of abstract distributions or ultra-distributions. In
the case of operators generating R-semi-groups, especially differential opera-
tors A = A (i∂/∂x), we construct generalized (wrt t and x) solutions using
Gelfand–Shilov spaces.
In Section 5.2 we construct generalized solutions to semi-linear stochastic
Cauchy problems. We overcome the additional difficulties arising here con-
nected with multiplication of distributions by the applicatio of the Colombeau
technique extended to the case of Hilbert space valued distributions.
197
198 5. Stochastic Cauchy problems in spaces of distributions
5.1 Generalized solutions to linear stochastic Cauchy

problems with generators of regularized semi-groups
In the present section we consider the linear stochastic problem with ad-
ditive noise
X ′ (t) = AX(t) + BW(t), t ≥ 0, X(0) = ζ, (5.1.1)
in space of abstract distributions. We construct generalized (wrt t) solutions
satisfying the equation
hϕ, X ′ i = Ahϕ, Xi + hϕ, δiζ + hϕ, BWi, ϕ ∈ Φ, (5.1.2)
for the case of “regularized in t” integrated and convoluted semi-groups. Here
the test function space Φ is taken in dependence on the type of the semi-
group generated by A, and white noise distribution W ∈ Φ′ (H) is defined as
a generalized derivative of a Wiener process imbedded in Φ′ (H). In the case
of differential operators A generating an R-semi-groups (“regularized in x”),
we construct solutions generalized wrt t and x.
5.1.1 Setting the problem in spaces of abstract distributions.

Generalized solutions in the case of integrated and con-
voluted semi-groups
In order to give the statement of the stochastic Cauchy problem in spaces
of abstract distributions and define white noise in these spaces, recall some
notations from the theory of abstract distributions presented in Sections 2.1
and 2.2.
Let H be a Banach space, in particular a Hilbert space. We denote by
D′ (H) the space of H-valued distributions over the space of Schwartz test
functions D and by S ′ (H) the space of H-valued tempered distributions. Un-
like distributions over R or C, such distributions are called abstract.
In this subsection Hilbert space valued distributions are of special interest.
The distribution spaces D′ (H), S ′ (H), Sω′ (H), and D{M′
q}
(H) will be taken
′
as Φ (H) for solutions to (5.1.2) with generators of integrated and convoluted
semi-groups.
Let (Ω, F , P ) be a probability space and {W (t), t ≥ 0} be a Q-Wiener
process with values in a Hilbert space H (Definition 4.1.7). We have
W (t) = W (t, ω), ω ∈ Ω; W (t, ω) ∈ H, t ≥ 0, Pa.s. ; W (t, ·) ∈ L2 (Ω; H).
A Q-white noise W in spaces of abstract distributions is defined as the
generalized t-derivative of W :
Z ∞
hϕ, Wi := −hϕ′ , W i = − W (t)ϕ′ (t) dt, ϕ ∈ Φ, (5.1.3)
0
5.1. Generalized solutions to linear stochastic Cauchy problems 199
where W is regarded as a (regular) element of Φ′0 (H) Pa.s. and of

Φ′0 L2 (Ω; H) . The integral in (5.1.3) is understood as the Bochner integral
of a function with values either in H or in L2 (Ω; H). Thus we have
W = W(·, ω) ∈ Φ′0 (H) for ω Pa.s. , and W ∈ Φ′0 (L2 (Ω; H)).
In Section 4.1 we noticed that an H-valued cylindrical Wiener process W

can be considered as an H1 -valued Q1 -Wiener process; therefore, without loss
of generality, we can confine ourselves to Q-Wiener processes.
To explain the setting (5.1.2) for the generalized Cauchy problem, we will
use the general idea of reducing boundary-value problems to equations with δ-
functions and their derivatives multiplied by boundary (initial) data in spaces
of distributions (see, e.g., [30, 79]). Within this approach we consider the
generalized wrt t stochastic Cauchy problem (5.1.1) with W = W ′ and A
generating an integrated (convoluted) semi-group as (5.1.2) taking Φ to be a
space of (ultra)differentiable functions, i.e.,
hϕ, X ′ i = Ahϕ, Xi + hϕ, δiζ + hϕ, BWi, ϕ∈D (ϕ ∈ D{Mq } ). (5.1.4)
It holds for ω a.s., that is, Pa.s. , and can be considered as a stochastic extension
of the generalized Cauchy problem (2.1.7) with initial data ζ.
The equality (5.1.4) can be obtained if we formally consider X and W in
(5.1.1) as functions, multiply the equation by a test function ϕ, and integrate
from zero to infinity:
Z ∞ Z ∞
′
X (t)ϕ(t) dt = −ϕ(0)ζ − X(t)ϕ′ (t) dt
0 0
Z ∞ Z ∞
= AX(t)ϕ(t) dt + BW(t)ϕ(t) dt.
0 0
′ ′
Taking into account the equalities hϕ, X i := −hϕ , Xi and hϕ, δiζ = ϕ(0)ζ, we
get to (5.1.4). Here, in addition to stochastic inhomogeneity, Equation (5.1.4)
has the term δζ due to the jump of the solution from zero at t < 0 up to the
initial data ζ at t = 0.
Following results from Section 2.1 we can write (5.1.4) as the equation in
convolutions:

P ∗ X = δ ⊗ ζ + BW, P := δ ′ ⊗ I − δ ⊗ A ∈ D0′ L([dom A], H) , (5.1.5)
where
hϕ, δ ′ ⊗ Ii := hϕ, δ ′ iI = ϕ′ (0), hϕ, δ ⊗ Ai := hϕ, δiA = ϕ(0)A, 1
and [dom A] is the domain of A with the graph norm kxk[dom A] = kxk+kAxk.
The convolution of distributions here and below will be understood in the
following sense (consistent with definitions in Section 2.1).
1 For u ∈ D ′ , h ∈ H, we denote by u ⊗ h the distribution from D ′ (H) defined by the
equality hθ, u ⊗ hi := hθ, uih, θ ∈ D.

Definition 5.1.1 Let X , Y, and Z be Banach spaces such that a bilinear

operation (u, v) 7→ uv ∈ Z is defined on X × Y. Then, for any distributions
G ∈ D0′ (X ) and F ∈ D0′ (Y), the convolution G ∗ F ∈ D0′ (Z) is defined by the
equality
Z ∞
hϕ, G∗F i := hϕ, (g ∗f )(n+m) i = (−1)(n+m) (g ∗f )(t)ϕ(n+m) (t) dt, ϕ ∈ D,
0
where g : R 7→ X and f : R 7→ Y are continuous functions such that

Z ∞ Z ∞
hϕ, Gi = (−1)n g(t)ϕ(n) (t) dt, hϕ, F i = (−1)m f (t)ϕ(m) (t) dt,
0 0
Rt
(g ∗ f )(t) := 0 g(t − s)f (s) ds (g, f, n, m here depend on G, F , and ϕ). If G
R∞
is a regular distribution, i.e., hϕ, Gi = 0 ϕ(t)G(t) dt, the following equality
holds: Z ∞
hϕ, G ∗ F i = G(s) hϕ(s + ·), F (·)i ds. (5.1.6)
0
Thus we will study the stochastic Cauchy problem (5.1.1) in spaces of

abstract distributions in the form (5.1.4) or in the equivalent form (5.1.5).
To obtain a generalized solution to (5.1.1), i.e., a solution to the convolution
equation (5.1.5), we need a distribution which is convolution inverse to P.
A distribution G ∈ D0′ (L(H, [dom A])) is called convolution inverse to
P ∈ D0′ (L([dom A], H)) if
G ∗ P = δ ⊗ I[dom A] , P ∗ G = δ ⊗ IH ,
where I[dom A] and IH are unit operators in [dom A] and H, respectively. Using
these equalities and the fact that the δ-function plays the role of unity wrt
convolution, we obtain that the unique solution to the equation P ∗ X = F
with an inhomogeneity term F ∈ D0′ (H) has the form X = G ∗ F. It follows
that, for ζ ∈ L2 (Ω; H),
X = G ∗ δζ + G ∗ BW, (5.1.7)
where X = X(·, ω) ∈ D0′ ([domA]) Pa.s. and X = X(·, ·) ∈ D0′ (L2 (Ω; [domA]))
is the unique solution to the Cauchy problem (5.1.5) with stochastic inhomo-
geneity F = δζ + BW ∈ D0′ (L2 (Ω; H)).
Let us show how to construct G, the convolution inverse to P. We begin
with the case of A generating a C0 -semi-group or an integrated semi-group
and arrive at the construction of the solution to (5.1.5) in the space of abstract
distributions D0′ (L2 (Ω; [dom A])) for such generators.
Theorem 5.1.1 Let H and H be Hilbert spaces, A be the generator of a C0 -

semi-group or of an n-times integrated semi-group in H, ζ ∈ L2 (Ω; H), and
W be an H-valued Q-white noise defined by (5.1.3). Then there exists a unique
generalized solution X ∈ D0′ (L2 (Ω; [dom A])) of the Cauchy problem (5.1.1),
i.e., a unique solution of (5.1.5).
Proof. Begin with the case when A is the generator of a C0 -semi-group

{S(t), t ≥ 0}. Define an operator-valued distribution G by
Z ∞
hϕ, Gi = ϕ(t)S(t) dt.
0
Let us prove that it is the convolution inverse to P and hence X = Sζ := S⊗ζ

is a solution to (5.1.5) if B = 0. Here S ∈ D0′ (H) is the H-valued regular
distribution defined by the semi-group {S(t), t ≥ 0} continued by zero for
t < 0.
By the definition of C0 -semi-groups, the operators S(t), t ≥ 0, are bounded
in H and strongly continuous wrt t ≥ 0 solution operators to the homogeneous
Cauchy problem X ′ (t) = AX(t), t ≥ 0, with initial data X(0) = ζ: X(t) =
S(t)ζ, ζ ∈ domA. From the properties of the solution operators the equalities
follow Z ∞
hϕ, Sζi = ϕ(t)S(t)ζ dt, ϕ ∈ D, ζ ∈ H,
0
and
Z ∞
Ahϕ, Sζi = −ϕ(0)ζ − ϕ′ (t)S(t)ζ dt, ϕ ∈ D, ζ ∈ dom A. (5.1.8)
0
Let us show that using closedness of A and density of dom A in H we can

extend (5.1.8) to ζ ∈ H. Let ζn ∈ dom A and ζn → ζ, then
lim S(t)ζn = S(t)ζ, lim hϕ, Sζn i = hϕ, Sζi,

n→∞ n→∞
and by (5.1.8), the sequence Ahϕ, Sζn i is convergent. Since A is closed, it

follows that hϕ, Sζi ∈ dom A for each ζ ∈ H and (5.1.8) holds for ζ ∈ H.
Now we show that Sζ, ζ ∈ L2 (Ω; H) is a generalized solution to the ho-
mogeneous Cauchy problem corresponding to (5.1.5). Since hϕ, Sζi ∈ dom A
for each ζ ∈ H, we can take convolution of the operator-distribution P ∈
D0′ L([dom A], H) with the distribution Sζ. Using the equality (5.1.6), we
obtain
Z ∞
hϕ, P ∗ Sζi = hϕ(s + ·), P(·)iS(s)ζds = −hϕ′ (s), Sζi − Ahϕ(s), Sζi
0
Z ∞ Z ∞
′
=− ϕ (s)S(s)ζ ds + ϕ(0)ζ + ϕ′ (s)S(s)ζ ds = ϕ(0)ζ = hϕ, δ ⊗ ζi.
0 0
Thus hϕ, P ∗ Sζi = hϕ, δ ⊗ ζi. Hence S is the convolution inverse to P. In this
case the solution (5.1.7) can be written as
Z ∞ Z ∞ Z t
hϕ, Xi = ϕ(t)S(t)ζ dt − ϕ′ (t) S(t − s)BW (s) ds dt,
0 0 0
Pa.s. , ϕ ∈ D, (5.1.9)
where the Q-Wiener process W extended by zero for t < 0 is a regular distri-
bution in D0′ (H) ∩ D0′ (L2 (Ω; H)) and X ∈ D0′ ([dom A]) ∩ D0′ (L2 (Ω; [dom A])).
Rigorously that means X ∈ D0′ ([dom A]) Pa.s. and X ∈ D0′ (L2 (Ω; [dom A])).
If A is the generator of an n-times integrated semi-group {Sn (t), t ≥ 0},
then the solution can be obtained by differentiating n times the regular dis-
tribution Sn (·) defined as Sn (t) for t ≥ 0 and as zero for t < 0. Hence the
convolution inverse to the distribution P is the operator-valued distribution
G defined by
Z ∞
n
hϕ, Gxi = (−1) ϕ(n) (t)Sn (t)x dt, ϕ ∈ D, x ∈ H.
0
Hence X = Gζ + G ∗ BW ∈ D0′ ([dom A]) ∩ D0′ (L2 (Ω; [dom A])) is the unique
generalized solution of the problem (5.1.1), where A is the generator of an
n-times integrated semi-group Sn and it can be written as
Z ∞ Z ∞ Z t
n (n) (n+1)
hϕ, Xi = (−1) ϕ (t)Sn (t)ζ dt− ϕ (t) dt Sn (t−s)BW (s) ds
0 0 0
for ϕ ∈ D.
Now we consider a generalized solution to the Cauchy problem (5.1.1),
where A is the generator of a K-convoluted semi-group SK .
As shown above, in order to obtain a generalized solution to (5.1.1), or
equivalently a solution to (5.1.5), it is necessary to have G, the convolution
inverse to P. We will use as G the solution operators for the Cauchy problem
with the generator of a K-convoluted semi-group. Unlike the case of n-times
integrated semi-groups, where G = S(n) , an infinite order differential opera-
tor is needed to define the solution operator via the K-convoluted semi-group.
Such an operator can be well defined only on spaces of test functions narrower
than D, namely, on the spaces of ultra-differentiable test functions. Thus the
solutions become elements of spaces which are wider than the spaces of ab-
stract distributions, namely, the spaces of abstract ultra-distributions.
In Section 2.2 we considered in detail generalized solutions to the homoge-
neous Cauchy problem on spaces of Roumier ultra-differentiable test functions
D{Mq } . Here we consider another class of ultra-differentiable test functions,
Beurling class D{Mq } . It is defined via estimates for their derivatives that de-
pend on a sequence of positive numbers {Mq } under conditions (M.1)–(M3)
(see Section 3.3):
D{Mq } = ind lim proj lim D{Mq },h,n ,
[−n,n]⊂R h→0
where D{Mq },h,n is the space of functions ϕ ∈ C ∞ (R) with compact supports
[−n, n] satisfying the inequalities kϕ(q) kC[−n,n] ≤ CMq hq with the norm
!
kϕ(q) kC[−n,n]
kϕk{Mq },h,n = sup .
q M q hq
The corresponding space of abstract ultra-distributions is the space

′
D{M q}
(H) := L(D{Mq } , H).
Thus we consider the stochastic Cauchy problem (5.1.1) with A generating
a K-convoluted semi-group in spaces of abstract ultra-distributions. In this
case the equivalent problems (5.1.4) and (5.1.5) will be considered for test
functions ϕ ∈ D{Mq } .
Theorem 5.1.2 Let H and H be Hilbert spaces and A be the generator of a
K-convoluted semi-group SK in H. Let ζ ∈ L2 (Ω; H), W be an H-valued Q-
′
white noise defined in D{Mq}
(H), and B ∈ L(H, H). Then the Cauchy problem
hϕ, P ∗ Xi = hϕ, δ ⊗ ζ + BWi, ϕ ∈ D{Mq } , (5.1.10)

′ ′
has a unique solution X ∈ D{Mq },0
([dom A]) ∩ D{Mq },0
(L2 (Ω; [dom A])).
Proof. In the case considered the unique solution Gζ of the homogeneous

Cauchy problem hϕ, P ∗ Gζi = hϕ, δ ⊗ ζi, ϕ ∈ D{Mq } , related to (5.1.10), is
defined by the equality

d ∗ d
hϕ, Gζi := hϕ, Pult SK ζi = hPult ϕ, SK ζi, ϕ ∈ D{Mq } . (5.1.11)
dt dt
′
Here SK is the regular ultra-distribution in D{M q },0
(L(H, [dom A])) defined
as the semi-group SK continued by zero as t < 0. By the properties of
K-convoluted semi-groups (see Section 2.2) the ultra-differential operator
d
P∞ di
Pult dt = i=1 αi dt i is defined via a convolution inverse to K:
* ∞ +
X
(i)
hϕ, Pult (δ) ∗ Ki = ϕ, αi δ ∗ K = hϕ, δi, ϕ ∈ D{Mq } . (5.1.12)
i=1
(Compare with n-times integrated semi-groups, where

tn−1 d dn tn−1
K(t) = , Pult = n and δ (n) ∗ = δ. )
(n − 1)! dt dt (n − 1)!
In the K-convoluted case the ultra-distribution G defined by (5.1.11) belongs

′
to the space D{Mq },0
(L(H, [dom A])) and

d ′
Gζ = Pult SK ζ ∈ D{Mq },0
([dom A])
dt
is the solution to the corresponding homogeneous Cauchy problem.

Now let us consider the stochastic part of the solution, i.e., the generalized
stochastic convolution G ∗ BW:
Z ∞
∗ d
hϕ, G ∗ BWi := − SK (t) Pult ϕ′ (t + ·), BW (·) dt, ϕ ∈ D{Mq } .
0 dt
′ ′ ′
Since G ∈ D{M q },0
(L(H, [dom A])) and BW ∈ D{M q },0
(H)∩D{M q },0
(L2 (Ω; H)),
the stochastic convolution G ∗ BW is well defined. It belongs to the space
′
D{M q },0
(L2 (Ω; [dom A])) and for X = Gζ + G ∗ BW we have the following
equalities:

∗ d
hϕ, Xi = Pult ϕ, SK ζ
dt
Z ∞
∗ d
− SK (t) Pult ϕ′ (t + s), BW (s) dt
0 dt
Z ∞
∗ d
= Pult ϕ(t)SK (t)ζ dt
0 dt
Z ∞ Z t
∗ d
+ Pult ϕ(t) dt SK (t − s)B dW (s)
0 dt 0
= hϕ, UK ζ + UK ∗ BW i, ϕ ∈ D{Mq } , (5.1.13)
d

where UK = Pult dt SK is the distribution of solution operators corre-
sponding to the K-convoluted semi-group {SK (t), t ≥ 0}. Therefore, X =
Gζ + G ∗ BW is a solution of the stochastic Cauchy problem (5.1.10).
5.1.2 Connections between weak and generalized solutions

Now we compare the generalized solutions obtained in this section for
the linear stochastic Cauchy problem (5.1.2), where A is the generator of a
C0 -semi-group (as well an integrated and a convoluted one), with weak and
regularized solutions obtained in Section 4.2 for the Itô integrated problem in
Hilbert spaces.
We prove the relationship between these solutions under the same condi-
tions on the initial data of the problem [84].
Theorem 5.1.3 Let A be the generator of a C0 -semi-group S in a Hilbert

space H and ζ be an H-valued F0 -measurable random variable. Then a weak
solution to the Itô integral Cauchy problem defined as a solution to the Cauchy
problem (4.2.3),
Z t
hX(t), yi = hζ, yi + hX(s), A∗ yi ds + hBW (t), yi Pa.s. ,
0
t ≥ 0, y ∈ dom A∗ , (5.1.14)
and continued by zero for t < 0, is a solution to the generalized Cauchy problem
(5.1.4), where Q-white noise W is the generalized derivative of the Q-Wiener
process {W (t), t ≥ 0} continued by zero for t < 0. Conversely, the generalized
solution defined by (5.1.9) is a solution to the Cauchy problem (5.1.14).
Proof. Let us verify that the solution of the Cauchy problem (5.1.14) defined
for each H-valued F0 -measurable random variable ζ as the H-valued process
Z t
X(t) = S(t)ζ + S(t − s)B dW (s), t ≥ 0, (5.1.15)
0
continued by zero as t < 0, satisfies (5.1.4). For this purpose we first prove
the important equality between the abstract Itô and Bochner integrals, which
is essentially based on the abstract formula of integration by parts for the Itô
integrals,
Z ∞ Z ∞
− W (t)ϕ′ (t) dt = ϕ(t) dW (t), ϕ ∈ D, (5.1.16)
0 0
and is closely related to (5.1.3), which is the definition of the Q-white noise
distribution W in spaces of abstract distributions
Z ∞
hϕ, Wi := − W (t)ϕ′ (t) dt, ϕ ∈ D.
0
By Definition 4.1.9 of the abstract (H-valued) Itô integral, it is a limit in the

space L2 (Ω; H) of specially constructed integral sums:
Z ∞ n−1
X
ϕ(t) dW (t) = lim ϕ(ti )∆W (ti ).
0 n→∞
i=0
By the properties of these sums we have

Z ∞ n−1
X n−1
X

ϕ(t) dW (t) = lim ∆ ϕ(ti )W (ti ) − lim W (ti+1 )∆ϕ(ti )
0 n→∞ n→∞
i=0 i=0
Z ∞ Z ∞ Z ∞

= d ϕ(t)W (t) − W (t) dϕ(t) = − W (t)ϕ′ (t) dt.
0 0 0
Now multiply by ϕ ∈ D the equality (5.1.15), which defines a weak solution,

and integrate both sides of the equality wrt t from zero to infinity. Using
change of order of integration (Theorem 4.1.3) and then applying the equality
(5.1.16), we obtain the following equalities for X:
Z ∞ Z ∞ Z t
hϕ, Xi = ϕ(t)S(t)ζ dt + ϕ(t) S(t − s)B dW (s) dt
0 0 0
Z t
= hϕ, Sζi − hϕ′ , S(t − s)B W (s)dsi Pa.s. . (5.1.17)
0
The equalities (5.1.17) can be written in the form
hϕ, Xi = hϕ, S ζi − hϕ′ , S ∗ B W i = hϕ, S ζi − hϕ, S ∗ B Wi, (5.1.18)

where S ∈ D0′ (H) is the H-valued regular distribution defined by the semi-
group of solution operators {S(t), t ≥ 0} continued by zero for t < 0. The
equality (5.1.18) means that the process (5.1.15) continued by zero for t < 0
and being a weak solution of (5.1.4) coincides with its generalized solution.
Conversely, having a C0 -semi-group S and corresponding distribution S, we
move from the bottom up in the above proof, i.e., from the equality (5.1.18)
to (5.1.17). We obtain that generalized solution X = S ζ + S ∗ B W of the
problem (5.1.4) with the generator of the semi-group {S(t), t ≥ 0} coincides
with (5.1.15), the solution of (5.1.14).
The analysis of the relations between weak and generalized solutions shows
that in the case of the generator of a C0 -semi-group {S(t), t ≥ 0} the sum
of two terms S(t)ζ + WA (t), t ≥ 0, is a weak solution for each H-valued F0 -
measurable random variable ζ, due to the fact that there is no need to apply
A to S(t)ζ or to WA (t). Instead, A∗ is applied to the elements y ∈ dom A∗ .
On the other hand, S(t)ζ + WA (t), t ≥ 0, is the generalized solution due to
the equality (5.1.8), which implies that the action of A is “relaxed” by the test
functions ϕ. More specifically, according to the properties of the semi-group
operators {S(t), t ≥ 0}, the action of the generator is transformed into the
t-differentiation, which is in turn transferred to (infinitely differentiable) test
functions ϕ due to the properties of generalized differentiation.
In the case of n-times integrated or K-convoluted semi-groups we show
that generalized solutions coincide with the nth derivative of the integrated
solution or with the ultra-differential derivative of the K-convoluted solution,
respectively (under the same conditions on ζ and W , of course).
Theorem 5.1.4 Let A be the generator of an n-times integrated semi-group
{Sn (t), t ≥ 0}. Then the nth generalized derivative of a weak n-times inte-
grated solution (continued by zero for t < 0) is a solution of the generalized
Cauchy problem (5.1.4). Conversely, a generalized solution is the nth gener-
alized derivative of a weak n-times integrated solution to the Cauchy problem
(4.2.1).
Proof. As proved in the previous chapter, the process
Z t
X(t) = Sn (t)ζ + Sn (t − s)B dW (s), t ≥ 0,
0
is a weak n-times integrated solution to the Cauchy problem (4.2.1). Similar

to (5.1.17), we have the following equalities for X:
Z ∞
(n) n
hϕ, X i = (−1) ϕ(n) (s)Sn (s)ζ ds
0
Z ∞ Z t Z ∞
(n) n
+ ϕ (t) dt Sn (t − s)B dW (s) = (−1) ϕ(n) (t)Sn (t)ζ dt
0 0 0
Z ∞ Z t
− ϕ(n+1) (t) dt Sn (t − s)BW (s) ds . (5.1.19)
0 0
Hence, by (5.1.16) and by the properties of n-times integrated solutions, for

the regular distribution defined as the X continued by zero for t < 0 we obtain
that X (n) is a solution to the problem (5.1.4). From the equalities (5.1.19) and
the properties of convolution, the converse statement follows.
Theorem 5.1.5 Let A be the generator of a K-convoluted semi-group

d
{SK (t), t ≥ 0}. Then Pult dt X(·), where X(t), t ≥ 0, is a weak K-con-
voluted solution of the Cauchy problem (4.2.1) continued by zero for t < 0,
is a generalized solution of (5.1.4). Conversely, the generalized solution of
d
(5.1.4) is the result of the action of ultra-differential operator Pult dt on a
weak K-convoluted solution.
Proof. As proved in Section 4.2, a weak K-convoluted solution to the Cauchy
problem (4.2.1), i.e., a solution to the problem (4.2.25), has the form
Z t
X(t) = SK (t)ζ + SK (t − s)B dW (s), t ≥ 0.
0
Applying to the process X continued by zero for t < 0 the ultra-differential

d
operator Pult dt defined by the equality (5.1.12), we obtain
d ∗ d
hϕ, Pult Xi = hPult ϕ(t), X(t)i
dt dt
Z t Z t Z t
∗ d ∗ d
= Pult ϕ(t)SK (t)ζ dt + Pult ϕ(t) dt SK (t − s)B dW (s).
0 dt 0 dt 0
(5.1.20)
d

Hence, by Theorem 5.1.2, Pult dt X is a solution to the problem (5.1.10).
Conversely, taking into account (5.1.11) and moving upwards in the equal-
ities (5.1.20), we obtain that a generalized solution to the problem (5.1.10)
with A being the generator of a K-convoluted semi-group {SK (t), t ≥ 0} is
equal to
d d
Pult SK ζ + Pult SK ∗ B W,
dt dt
where the regular ultra-distribution SK coincides with SK (t) as t≥ 0 and is
d
equal to zero as t < 0 and the ultra-differential operator Pult dt is defined
by the equality (5.1.12).
5.1.3 Generalized solutions in the case of R-semi-groups

Now let the operator A in the stochastic Cauchy problem (5.1.1) be the
generator of an R-semi-group {SR (t), t ≥ 0}. It follows from the results ob-
tained in this section that the problem with such an A has the generalized
solution, similar to (5.1.9), given by the formula
Z ∞ Z t
hϕ, Xi = hϕ, R−1 SR ζi − ϕ′ (t) R−1 SR (t − s)BW (s) ds dt, (5.1.21)
0 0
where SR (·) is defined as SR (t) for t ≥ 0 and zero for t < 0. However, (5.1.21)
holds under a rather restrictive condition on {R−1 SR (t)} to be bounded op-
erators, which is not typical for the case of R-semi-groups. In this case, in
addition to the regularization by test functions ϕ = ϕ(t), t ∈ R, we need a
regularization in spatial variables of A, which generates an R-semi-group.
In this subsection we study generalized solutions for (5.1.1) with abstract
operators A and differential operators A = A (i∂/∂x) generating R-semi-
groups.
We begin the study with the case of self-adjoint operators in Hilbert spaces.
We show that for (5.1.1) with the generator of an R-semi-group, a solution
can be obtained in appropriate spaces of distributions, which we denote by
H−k and H−∞ , wherein the operator R−1 is bounded.
The Ivanov spaces H−k , H−∞ are given as a generalization of the spaces
of Schwartz, Sobolev, Zemanyan, Pilipović type (see, e.g., [79, 98, 115]), which
were introduced in such a way that different differential operators are defined
in these spaces. The spaces H−k , H−∞ are constructed in such a way that an
unbounded operator P, unnecessarily differential, is used in their definition
[46]. For our purpose of solving the Cauchy problem with the generator of an
R-semi-group, this operator is P := R−1 .
Definition 5.1.2 Let P be a self-adjoint (unbounded) operator in a Hilbert
space H with eigenvectors {ek } forming an orthonormal basis in H and corre-
sponding eigenvalues |µ1 | ≤ |µ2 | ≤ . . . . We define a sequence of Hilbert spaces
Hk , k = 1, 2, . . . , and a countably normed space H∞ as follows:
k
X ∞
\
Hk := {ϕ ∈ dom P k , kϕkk = kP i ukH }, H∞ := {ϕ ∈ dom P k }.
i=0 k=0
The spaces H−k , k = 0, 1, 2, . . . , and H−∞ are defined as adjoint to the intro-
duced spaces Hk , H∞ , respectively.
An equivalent definition of such spaces
P∞ can be given via the behavior of
Fourier
P∞ coefficients of elements ϕ = 1 ϕj ej from H and formal sums f =
1 f e
j j :
∞
X ∞
X |fj |2
ϕ ∈ Hk ⇐⇒ |ϕj |2 |µj |2k < ∞, f ∈ H−k ⇐⇒ < ∞.
1 1
(1 + |µj |)2k
In these spaces for ill-posed homogeneous (deterministic) Cauchy problems

with self-adjoint operators A the following result holds.
Theorem 5.1.6 [46] Let A be a self-adjoint (unbounded) operator in a
Hilbert space H with eigenvectors {ek } forming an orthonormal basis in H
corresponding to eigenvalues |λ1 | ≤ |λ2 | ≤P. . . . Let P := eAτ , τ > 0, with
eigenvalues µj = eλj τ . Then for any ζ = j∈N ζj ej ∈ H−k there exists the
unique solution to the Cauchy problem
u′ (t) = Au(t), t ∈ [0, T ], T < τ, u(0) = ζ,
defined by X
u(t) = eλj t ζj ej ∈ H−(k+1) .
j∈N
The solution is stable with respect to ζ ∈ H−k . If ζ ∈ H−∞ , then u(t) ∈ H−∞ .
It is easy to check that, similarly to numerous examples of R-semi-groups

generated by operators presented in Sections 3.1 and 4.2, the operator A under
the conditions of Theorem 5.1.6 generates the R-semi-group in H defined
as {SR (t) = eA(t−τ ) , t ∈ [0, τ )} with R = e−Aτ . In this case the solution
operators R−1 SR (t) are bounded as operators from H−k to H−(k+1) .
Considering solutions to the stochastic Cauchy problem (5.1.1) in these
Hilbert spaces we have the following result on the generalized solution defined
by the formula (5.1.21) in the space D′ (H−(k+1) ).
Theorem 5.1.7 Let A be the generator of an R-semi-group, where R

is a self-adjoint bounded operator in a Hilbert space H with eigenvectors
{ek } forming an orthonormal basis in H corresponding to eigenvalues µi :
|µ−1 −1
1 | ≤ |µ2 | ≤ . . .. Let P := R
−1
and W be a Q-white noise de-
fined as the generalized derivative of an H-valued Q-Wiener process. Then
X ∈ D0′ (L2 (Ω; [dom A]k+1 )) defined by (5.1.21), where [dom A]k+1 is dom A
endowed with the graph-norm in H−(k+1) and B ∈ L(H), is the unique so-
lution to the stochastic Cauchy problem (5.1.1) for each ζ ∈ L2 (Ω; H−k ). In
particular, for ζ ∈ L2 (Ω; H), the solution X ∈ D0′ (L2 (Ω; [dom A]1 )).
The solution X ∈ D0′ (L2 (Ω; [dom A]k+1 )) in fact can be considered as the
solution generalized wrt t and “spatial” variables of the elements of H.
Now we consider generalized solutions to the important class of equa-
tions with differential operators A = A (i∂/∂x), which, generally, are not
self-adjoint. As shown in Section 4.2, the operators generate different R-semi-
groups in the Hilbert space H = L2m (Rn ).
Let (Ω, F , P ) be a probability space. We consider the stochastic Cauchy
problem for the system of partial differential equations

∂X(t, x, ω) ∂
=A i X(t, x, ω) + BW(t, x, ω),
∂t ∂x
t ≥ 0, x ∈ Rn , Pa.s. , X(0, x, ω) = ζ(x, ω).
Further, we usually omit ω and write the problem as

∂X(t, x) ∂
=A i X(t, x) + B W(t, x),
∂t ∂x
t ≥ 0, x ∈ Rn , X(0, x) = ζ(x), (5.1.22)
still implying the equalities hold Pa.s. . The operator of the equation is a matrix
operator producing systems of different types in the Gelfand–Shilov classifica-

tion (Definition 2.3.1) and generating corresponding R-semi-groups (Theorem
4.2.6).
Due to the singularity of white noise and the unboundedness of solution
operators generated by A, we consider (5.1.22) as a generalized problem with
W defined as the t-derivative of a Wiener process W in the sense of distribu-
tions (wrt t) and with values in an appropriate topological space Ψ′ (wrt x).
Thus we will consider the problem (5.1.22) as a generalized one wrt both t
and x.
We start the construction with generalized wrt x solutions, constructing
them on the basis of R-semi-groups generated by A (i∂/∂x). It is proved in
Theorem 4.2.6 that the family of convolution operators
[S(t)f ](x) := GR (t, x) ∗ f (x), t ∈ [0, τ ), x ∈ Rn , (5.1.23)
where
Z
1
GR (t, x) = eiσx K(σ)etA(σ) dσ, t ∈ [0, τ ), x ∈ Rn ,
(2π)n Rn
forms an R-semi-group {S(t), t ∈ [0, τ )} in L2m (Rn ) with the generator

A (i∂/∂x) and
Z
1
Rf (x) = eiσx K(σ)fe(σ) dσ, x ∈ Rn . (5.1.24)
(2π)n Rn
The semi-group is local if τ < ∞. The regularizing operators R and corre-
sponding functions K(σ), σ ∈ Rn , are defined in dependence on the type of
the system in the Gelfand–Shilov classification (see Section 2.3).
Since the operator A of the system generates only a regularized semi-group
(5.1.23), we cannot construct a solution to the Cauchy problem (5.1.22) in the
form Z t
X(t) = U (t)ζ + U (t − s)B dW (s), t≥0
0
as we did in the case of a C0 -semi-group {U (t), t ≥ 0} while constructing the
solution to the Itô integrated Cauchy problem:

∂
dX(t, x) = A i X(t, x) dt + B dW (t, x),
∂x
t ∈ [0, T ], x ∈ Rn , X(0, x) = ζ(x).
In the case of an R-semi-group {S(t), t ∈ [0, τ )}, τ > T , the solution operators
U (t) of the corresponding homogeneous Cauchy problem are not bounded.
They are defined in the spaces of distributions Ψ′ , which are related to the
classes of the systems via the R-semi-groups (5.1.23) as follows (see [71] and
Section 2.3):
∗
hψ, U (t)ζi = hψ, R−1 S(t)ζi = h R−1 ψ, S(t)ζi, ψ ∈ Ψ.
The generalized wrt x process X(t) = X(t, ·) defined by

Z t

−1 ∗

−1 ∗
hψ(·), X(t, ·)i := h R ψ(·), S(t)ζ(·)i+h R ψ(·), S(t−s)B dW (s, ·)i
0
for ψ ∈ Ψ is a solution of the generalized Cauchy problem

Z t Z t
hψ, X(t)i − hψ, ζi = hA∗ ψ, X(s)ids + hψ, B dW (s)i, t ∈ [0, T ]. (5.1.25)
0 0
The problem holds Pa.s. .

Now using the results of Section 2.3 we show how to choose the spaces Ψ
in order to construct generalized solutions for different classes of systems, and
we do it for the (important in applications) Cauchy problem with initial data
ζ ∈ L2m (R).2
For this we use the connection of the homogeneous Cauchy problem cor-
responding to (5.1.22) with its Fourier transformed one:
∂e
u(t, σ) e
= A(σ)e
u(t, σ), t ∈ [0, T ], σ ∈ R, e(t, σ) = etA(σ) ζ(σ),
u (5.1.26)
∂t
where
∗
e
hψ(σ), e
e(t, σ)i = hψ(σ),
u e
etA(σ) ζ(σ) = hetA (σ) e
ψ(σ), e
ζ(σ)i, ψe ∈ Ψ,
e
and recall the estimates for etA(·) in the Gelfand–Shilov classification.

∂
If p is the maximal order of the differential operators Ajk i ∂x , then the
solution operators of (5.1.26) satisfy the estimate

etΛ(s) ≤ etA(s) ≤ C(1+|s|)p(m−1) etΛ(s) , t ≥ 0, s = σ+iτ ∈ C. (5.1.27)
m
In the classification, these estimates

are done
more accurately:
• for a Petrovsky correct system etA(σ) m is polynomially bounded;
• for a conditionally correct system

tA(σ) h
e ≤ Cea0 t|σ| , t ≥ 0, σ ∈ R, (5.1.28)
m
where C > 0, a0 > 0, and 0 < h < 1;

• for an incorrect system

tA(σ) p0
e ≤ Ceb1 t·|σ| , t ≥ 0, σ ∈ R, (5.1.29)
m
where C > 0, b1 > 0, and p0 is the exact order of the system.

e Ψ′ ) used here
2 It is necessary to warn the reader that the designation of the space Ψ (Ψ,
differs from the designations in Section 2.3, where generalized solutions are constructed
in Φ′ . That is because in this section test functions ϕ ∈ Φ have been used as functions
ϕ = ϕ(t).
In Theorem 2.3.4 for the classes of systems (5.1.26), spaces Ψ e such that
etA(·)
are multiplication operators from Lm (R) = L (R) × · · · × L2 (R) to Ψ
2 2 e ′,
are obtained:
• for a Petrovsky correct system, etA(·) is a bounded multiplication oper-
ator acting from L2m (R) to Sm ′
= S ′ × · · · × S ′;
• for a conditionally correct system, etA(·) is a bounded multiplication
′
operator from L2m (R) to (Sα,A )m with α = 1/h, and 1/(h e Ah ) > a0 , where
the constants a0 , h are from (5.1.28);
• for an incorrect system, etA(·) is a bounded multiplication operator from
′
Lm (R) to (Sα,A )m with α = 1/p0 , 1/(p0 e Ap0 ) > b1 , where b1 , p0 are from
2
(5.1.29).
Using the spaces Ψ e ′ obtained, taking into account the relations between
the spaces Ψf and Ψ , and choosing the regularizing function K in (5.1.24) in
′ ′

such a way that K −1 (σ) grows no faster than etA(σ) m multiplied by any
polynomial, we arrive at the following result.
Theorem 5.1.8 Let the matrix-function etA(·) satisfy the estimate (5.1.27).
Then for the Cauchy problem (5.1.25) with ζ ∈ L2m (R) and A (i∂/∂x) generat-
′
ing a Petrovsky correct system, there exists a unique solution X(t, ·) ∈ Sm ; for

α,A ′ 1 1
a conditionally correct system, X(t, ·) ∈ S m
with α = h and heA h > a0 ;

α,A ′ 1 1
for an incorrect system, X(t, ·) ∈ S m
with α = p0 and p0 e Ap0 > b1 .
Now we consider the generalized wrt t and x solutions. We start with the
properties of spaces D′ (Ψ′ ), where we are going to construct the solutions.
Define D′ (Ψ′ ) as the space L(D, Ψ′ ) of linear continuous operators from
D to Ψ′ . Here Ψ is a locally convex space, and Ψ′ is its adjoint with weak
topology, i.e., topology corresponding to the convergence of a sequence on
each element of Ψ. We assume D′ (Ψ′ ) to be equipped with the topology of
the uniform convergence on bounded subsets of D (strong topology).
It is a well-known property of the Schwartz space D′ = L(D, R) that for
any compact Υ ⊂ R and any f ∈ D′ , there exist p ∈ N0 and C > 0 such that
|f (ϕ)| ≤ Ckϕkp , ϕ ∈ DΥ , where
kϕkp = supk,n≤p supx∈Υ |xk ϕ(n) (x)|.
This reflects the structure of the space

\[
D′ = ′
DΥ,p .
Υ p
We prove a similar statement for D′ (Ψ′ ).
Proposition 5.1.1 Let Υ ⊂ R be a compact set. For any f ∈ D′ (Ψ′ ) there

exists such p ∈ N0 that for any bounded set B ⊂ DΥ,p , the set f (B) is bounded
in Ψ′ .
Proof. Suppose the opposite: for each p ∈ N0 , there exists such a set Bp
bounded in DΥ,p that f (Bp ) is not bounded in Ψ′ , i.e., there exists a weak
neighborhood V in Ψ′ such that λf (Bp ) 6⊂ V for any λ > 0. Thus we obtain

′
∀ p ∈ N0 ∃ Bp ⊂ DΥ,p , ∃ V ⊂ Ψ : ∀ λ > 0 ∃ ψλ ∈ Bp : λf (ψλ ) 6∈ V .
Take λ = n1 → 0, then n1 ψn → 0 in DΥ,p since ψn belong to a bounded set.

Therefore n1 f (ψn ) = f (ψn /n) → 0 in Ψ′ weakly, that is, on each element of
Ψ. But we have a weak neighborhood V in which there are no elements of this
sequence. This contradiction ends the proof.
Due to Proposition 5.1.1, the following structure theorem is true in the
space introduced. It is similar to the one considered in [30].
Theorem 5.1.9 Let F ∈ D′ (Ψ′ ) and γ ⊂ R be an open bounded set. Then
there exist a continuous function f : R → Ψ′ and m ∈ N0 such that for any
ϕ ∈ D with supp ϕ ⊂ γ
hϕ(t), F i = hϕ(t), f (m) (t, ·)i ∈ Ψ′ .
Proof. Let Υ = γ and ε > 0. Denote Υε = {t ∈ R : ρ(t, Υ) ≤ ε} and let p

be the constant provided by Proposition 5.1.1 for Υε and F . We extend F to
DΥε ,p by continuity and save the same notation. Then for any bounded set
B ⊂ DΥε ,p the set F (B) is bounded in Ψ′ . To prove this, let
( p+1
t
η(t) = (p+1)! , t ≥ 0,
0, t < 0.
The function η is obviously p times continuously differentiable. Take χ ∈ D

with support in Υε and consider λt (s) := χ(s)η(t − s), t, s ∈ R. The function
λt (·) is p times continuously differentiable and supp λt ⊆ Υε , so λt ∈ DΥε ,p
for each t ∈ R. In addition, the function is continuous wrt t ∈ R; therefore,
f (t) := F (λt ), t ∈ R, is a well-defined continuous function with values in Ψ′ .
This function f defines a regular functional with values in Ψ′ :
Z Z
ϕ(t)f (t) dt = ϕ(t)F (λt ) dt, ϕ ∈ D.
Considering this integral as a limit of Riemann sums, we arrive at the equality

Z Z
ϕ(t)F (λt ) dt = F ϕ(t)λt dt ,
where
Z Z Z
ϕ(t)λt dt = ϕ(t)χ(s)η(t − s) dt = χ(s) ϕ(t)η(t − s) dt
is in DΥε ,p as a function of s.
To complete the proof we choose χ(s) = 1 for s ∈ Υ, take ϕ ∈ D with
supp ϕ ⊂ γ, and find the generalized derivative of f of order p + 2:
Z
f (p+2) (ϕ) := (−1)p+2 f (ϕ(p+2) ) = (−1)p+2 ϕ(p+2) (t)f (t) dt
Z
p+2 (p+2)
= (−1) U χ(s) ϕ (t)η(t − s) dt .
Integrating by parts p + 1 times, we obtain

Z Z
ϕ(p+2) (t)η(t − s) dt = (−1)p+1 ϕ′ (t)η (p+1) (t − s) dt
Z
p+1
= (−1) ϕ′ (t) dt = (−1)p+2 ϕ(s).
t≥s
Then, since χ ≡ 1 in γ, we obtain

f (p+2) (ϕ) = (−1)p+2 F χ(s)(−1)p+2 ϕ(s) = F (ϕ).

Now we return to the original problem (5.1.22). We consider W defined
by (5.1.3), assuming the equality holds Pa.s. for each x ∈ Rn . Therefore, the
problem (5.1.22) is understood in the generalized sense too:

∂
hϕ(t), Xt′ (t, x)i = hϕ(t), A i X(t, x)i
∂x
+ ϕ(0)ζ(x) + Bhϕ(t), Wt′ (t, x)i Pa.s. , ϕ ∈ D. (5.1.30)
∂

Since the differential operator A i ∂x generates in L2m (Rn ) the R-semi-
group S defined by (5.1.23), the unique solution of the homogeneous Cauchy
∂
problem corresponding to (5.1.22) exists for any ζ ∈ R dom A i ∂x and can
be found as follows:
" #
tA(σ) e
−1 −1 −1 K(σ)e ζ(σ)
R S(t, x)ζ(x) = R [GR (t, x) ∗ ζ(x)] = F
K(σ)
h i
e
= F −1 etA(σ) ζ(σ) =: Gt (x) ∗ ζ(x).
Here the Green function Gt (·) is a generalized function wrt x ∈ Rn in an

appropriate space Ψ′ depending on the properties of the system and its con-
volution with ζ is well-defined on the set R (dom A (i∂/∂x)). Nevertheless, to
obtain a solution of (5.1.22) we need to define the convolution of Gt (·) with the
stochastic inhomogeneity BW. This inhomogeneity, being an L2m (Rn )-valued
white noise, generally does not belong to the set indicated. Therefore, we need
to construct the convolution well-defined on the whole L2m (Rn ). This forces us
to consider the problem (5.1.30) generalized wrt t in a generalized sense wrt

x ∈ Rn , i.e., in the space Ψ′ . Thus we arrive at the next generalized Cauchy
problem. For each ϕ ∈ D, ψ ∈ Ψ
hψ(x), hϕ(t), Xt′ (t, x)ii = hψ(x), A (i∂/∂x) hϕ(t), X(t, x)ii
+ ϕ(0)hψ(x), ζ(x)i + hψ(x), Bhϕ(t), Wt′ (t, x)ii P a.s. . (5.1.31)
Here the notation X(t, x) means that the distribution X(·, ·) acts on ϕ(t) wrt
the first argument and on ψ(x) wrt the second one.
Theorem 5.1.10 Let W be a Q-white noise. Let A (i∂/∂x) generate an R-

semi-group {S(t, ·), t ∈ [0, ∞)} in L2m (Rn ) and R−1 S(t, ·) : L2m (Rn ) → Ψ′ be
a bounded operator for each t ∈ [0, ∞). Then
X(t, x) = R−1 S(t, x)ζ(x) + R−1 S(t, x) ∗ BW(t, x), ζ ∈ L2m (Rn ), (5.1.32)
where S is the semi-group S continued by zero for t < 0, is the solution to

(5.1.31) in D′ (Ψ′ ).
Proof. We begin with the first term of the prospective solution (5.1.32). Note
that when we write the arguments of the distributions in (5.1.32), we mean
that the distribution acts on the test function of the corresponding argument.
The properties of R-semi-groups and boundness of R−1 S(t, ·) as an operator
acting from L2m (Rn ) into Ψ′ imply that
hψ(x), R−1 S(t, x)ζ(x)i = hψ(x), Gt (x) ∗ ζ(x)i, ψ ∈ Ψ,
is a solution of the homogeneous Cauchy problem, corresponding to (5.1.22).

In particular, it is a continuous function of t, hence we can consider this
function as a regular distribution over D:
Z
hϕ(t), hψ(x), R−1 S(t, x)ζ(x)ii = ϕ(t)hψ(x), Gt (x) ∗ ζ(x)i dt
Z
= ϕ(t)hψ(x), R−1 S(t, x)ζ(x)i dt, ϕ ∈ D.
Replacing the last integral with the integral sums, we obtain

X X
ϕ(ti )hψ(x), R−1 S(ti , x)ζ(x)i∆ti = hψ(x), ϕ(ti )R−1 S(ti , x)ζ(x)∆ti i.
Since the left-hand side of the equality converges, so does the right one. Pass-
ing to the limit, we obtain the following representation of R−1 S(t, x)ζ(x) in
D′ (Ψ′ ):
hψ(x), hϕ(t), R−1 S(t, x)ζ(x)ii = hϕ(t), hψ(x), R−1 S(t, x)ζ(x)ii
Z
= ϕ(t)hψ(x), Gt (x) ∗ ζ(x)i dt, ϕ ∈ D, ψ ∈ Ψ. (5.1.33)
Now define the second term in (5.1.32). A convolution of distributions on D

is defined as a convolution of their primitives. Hence
hϕ(t), R−1 S(t, x) ∗ BWt′ (t, x)i = −hϕ′ (t), R−1 S(t, x) ∗ BW (t, x)i
Z t
′
= −hϕ (t), R−1 S(t − h, x)BW (h, x) dhi, ϕ ∈ D, (5.1.34)
0
where R S(t − h, ·)BW (h, ·) ∈ Ψ′ . Therefore, it can be considered only on

−1
ψ ∈ Ψ. We obtain from (5.1.33) and (5.1.34)
hϕ(t), hψ(x), R−1 S(t, x) ∗ BWt′ (t, x)ii

Z t
= −hϕ′ (t), hψ(x), R−1 S(t − h, x)BW (h, x)i dhi.
0
As above, hψ(x), R−1 S(t − h, x)BW (h, x)i is a continuous function wrt t,
hence it defines a regular functional on D. Using the definition of a general-
ized derivative and approximating the integrals by Riemann sums due to the
linearity property of the functionals considered, we obtain
hϕ(t), hψ(x),R−1 S(t, x) ∗ BWt′ (t, x)ii
Z Z t
′
= − ϕ (t) hψ(x), R−1 S(t − h, x)BW (h, x)i dh dt
R 0
Z t
′
= hψ(x), h−ϕ (t), R−1 S(t − h, x)BW (h, x) dhii
0
= hψ(x), h−ϕ′ (t), R−1 S(t, x) ∗ BW (t, x)ii
= hψ(x), hϕ(t), R−1 S(t, x) ∗ BWt′ (t, x)ii.
It follows the next representation of R−1 S(t, x) ∗ BWt′ (t, x) in D′ (Ψ′ ):
hψ(x), hϕ(t), R−1 S(t, x) ∗ BWt′ (t, x)ii
= hϕ(t), hψ(x), R−1 S(t, x) ∗ BWt′ (t, x)ii

Z t
= −hϕ′ (t), hψ(x), Gt−h (x) ∗ BW (h, x)i dhi. (5.1.35)
0
Now we verify that the generalized function (5.1.32) satisfies (5.1.31):

hψ(x),hϕ(t), Xt′ (t, x)ii = −hψ(x), hϕ′ (t), X(t, x)ii
= −hψ(x), hϕ′ (t), R−1 S(t, x)ζ(x) + R−1 S(t, x) ∗ BWt′ (t, x)ii
= −hψ(x), hϕ′ (t), R−1 S(t, x)ζ(x)ii
− hψ(x), hϕ′ (t), R−1 S(t, x) ∗ BWt′ (t, x)ii. (5.1.36)

Due to (5.1.33) and the properties of solutions of the homogeneous Cauchy

problem, for the first term in the right-hand side we have
−hψ(x), hϕ′ (t), R−1 S(t, x)ζ(x)ii = −hϕ′ (t), hψ(x), Gt (x) ∗ ζ(x)ii
d
= hϕ(t), hψ(x), Gt (x) ∗ ζ(x)ii + ϕ(0)hψ(x), G0 (x) ∗ ζ(x)i
dt
= hψ(x), A (i∂/∂x) hϕ(t), Gt (x) ∗ ζ(x)ii + ϕ(0)hψ(x), ζ(x)i
= hψ(x), A (i∂/∂x) hϕ(t), R−1 S(t, x)ζ(x)ii + ϕ(0)hψ(x), ζ(x)i.
Using (5.1.35), the definition of a generalized derivative, the properties of so-
lutions of the homogeneous Cauchy problem, the properties of R-semi-groups
and convolutions, and replacing the integral by Riemann sums due to linearity
of the functional for the second term of (5.1.36), we get
−hψ(x), hϕ′ (t),R−1 S(t, x) ∗ BWt′ (t, x)ii
Z t
′′
= hϕ (t), hψ(x), R−1 S(t − h, x)BW (h, x)i dhi
0
= −hϕ′ (t), hψ(x), R−1 S(0, x)BW (t, x)ii
Z t
d
− hϕ′ (t), hψ(x), Gt−h (x) ∗ BW (h, x)i dhi
0 dt
= hψ(x), hϕ(t), BWt′ (t, x)ii
+ hψ(x), A (i∂/∂x) hϕ(t), R−1 S(t, x) ∗ BWt′ (t, x)ii.
Connecting both parts of (5.1.36), we obtain
hψ(x), hϕ(t), Xt′ (t, x)ii = hψ(x), A (i∂/∂x) hϕ(t), R−1 S(t, x)ζ(x)ii
+ ϕ(0)hψ(x), ζ(x)i + hψ(x), hϕ(t), BWt′ (t, x)ii
+ hψ(x), A (i∂/∂x) hϕ(t), R−1 S(t, x) ∗ BWt′ (t, x)ii
= hψ(x), A (i∂/∂x) hϕ(t), X(t, x)ii + ϕ(0)hψ(x), ζ(x)i
+ hψ(x), hϕ(t), BWt′ (t, x)ii,

which completes the proof.
In conclusion, we note that the spaces Ψ′ defined in Theorem 5.1.8 for each
class of the Gelfand–Shilov systems provide the operators of convolution with
Green function Gt
R−1 S(t, ·) = Gt (·)∗ : L2m (Rn ) → Ψ′
to be bounded for t ≥ 0. For simplicity we considered the case of an R-semi-
group {S(t), t ≥ 0}. We can consider a local R-semi-group {S(t), t ∈ [0, τ )},
but in this case a term ϕ(T ) with T < τ has to appear in (5.1.31), or ψ has
to be taken with supp ψ ⊂ [0, τ ).
5.2 Quasi-linear stochastic Cauchy problem in abstract

Colombeau spaces
In the present section we continue to study stochastic problems in spaces of
distributions and consider generalized solutions to the quasi-linear stochastic
problem,
X ′ (t) = AX(t) + F (X) + BW(t), t ≥ 0, X(0) = ζ, (5.2.1)
where A is the generator of a C0 -semi-group or an integrated semi-group in a
Hilbert space H, F is a non-linear mapping from H to H, the operator B is
linear and bounded from a Hilbert space H to H, the initial data ζ is an H-
valued random variable, and W = {W(t), t ≥ 0} is a (generalized) stochastic
process of white noise type with values in H.
The known irregularity of the white noise makes it necessary to define the
white noise W in such a way that the problem (5.2.1) makes sense.
The approach, which reduces (5.2.1) to the corresponding integral prob-
lem, where the white noise term is replaced by the Itô integral wrt a Wiener
process W , was studied in Section 4.3. For the integrated Cauchy problem
with a generator of a strongly continuous semi-group of solution operators
and with Lipschitz non-linearity satisfying some growth conditions, we ob-
tained mild and weak solutions and for the problem with a generator of an
R-semi-group, we obtained R-solutions. Within this approach the questions
of whether the solutions obtained are t-differentiable, whether they satisfy the
problem (5.2.1), and whether these techniques can be applied for A generating
integrated and convoluted semi-groups remain open.
Another approach is to consider the stochastic Cauchy problem in spaces of
abstract distributions. It was realized in the previous section for the linear case
of (5.2.1). We are going to use and generalize this approach considering the
general problem (5.2.1), but here, due to the non-linear term F in the equation,
the problem of a product of distributions arises. The novelty proposed here is
to define an abstract stochastic Colombeau algebra G(Ω, Ha ) and extend the
distribution approach to the algebra.
5.2.1 Statement of the problem. Definition of abstract

Colombeau algebras
Let Ha be an (associative and commutative) algebra in a Hilbert space
H. In the particular case H = L2 (R) it might be the subspace of continuous
or k times differentiable functions in L2 (R) closed under the corresponding
topology of C k (R), k ∈ N0 .
We consider the Cauchy problem (5.2.1) in the abstract stochastic
Colombeau algebra G(Ω, Ha ), supposing that F is an infinitely differentiable
mapping, B ∈ L(H, Ha ), and Ha ⊂ dom A. We define the white noise W
5.2. Quasi-linear stochastic Cauchy problem in abstract Colombeau spaces 219
as an element of D0′ (H), the space of abstract distributions with values in

H and supports in [0, ∞). Then, by taking convolutions with certain func-
tions from D, we transform W ∈ D0′ (H) into H-valued infinitely differentiable
wrt t functions and obtain BW belonging to G(Ω, Ha ). Doing so we combine
the multiplication theory in Colombeau algebras, which found applications
in solving non-linear differential equations, mainly hyperbolic ones (see, e.g.,
[91, 92, 94]) with the theory of regularized semi-groups and the theory of
stochastic processes in spaces of abstract distributions. This makes it possible
to solve semi-linear abstract stochastic equations with different types of white
noise.
As examples of A satisfying the conditions and generating different inte-
grated semi-groups one can take many differential operators A = A(i∂/∂x)
generating the Petrovsky correct systems given in Section 3.2 as well as these
operators disturbed by bounded operators of any nature.
Following the presentation in [18, 19, 91], we extend Colombeau algebras to
the case of random variables that take values in spaces of abstract distributions
(generalized functions). As usual in the theory of generalized functions, we
begin with definition of test functions. These functions, in particular the ones
generating certain types of δ-shaped sequences, will be used in the construction
of the Colombeau algebras. R
Let A0 be the set of functions ϕ ∈ D such that R ϕ(t) dt = 1 and for each
q ∈ N let
Z

Aq := ϕ ∈ A0 : tk ϕ(t) dt = 0, k = 1, . . . , q .3
R
Show that the sets Aq are not void: consider continuous linear functionals
J0 , Jk on D:
J0 (ϕ) := hϕ, 1i, Jk (ϕ) := hϕ, xk i, k = 1, 2, . . . q, ϕ ∈ D.
It
Pqis easy to check that Pq these kfunctionals are linear and independent: if
k=0 ak Jk = 0, then k=0 ak x = 0, x ∈ R, hence ak = 0. That means
J0 is not a linear combination of Jk , k = 1, 2, . . . q, and by the Hahn–Banach
theorem, there exist ψ ∈ D such that J0 (ψ) = 1 and ψ(Jk ) = Jk (ψ) = 0, that
is, ψ ∈ Aq .
In addition to the sets A0 , Aq , let us introduce the important subset of the
functions ϕε ∈ A0 :

1 t
ϕε (t) := ϕ , t ∈ R, ε > 0.
ε ε
For the algebra Ha ⊂ H we define the space of Ha -valued infinitely differen-

tiable transformations u(ϕ) := u(ϕ(·), t) depending on functions ϕ ∈ A0 and
3 For simplicity we will consider D = D(Rn ) for the case of n = 1. Following [91], the
sets can be introduced for n ∈ N.

t ∈ R as follows:
E(Ha ) := (C ∞ (R; Ha ))A0 = {u : A0 → C ∞ (R; Ha )}.
By the definition, for each ϕ ∈ A0 , u(ϕ) is an infinitely differentiable Ha -
valued function of the argument t ∈ R. These functions u can be considered
as functions of two variables ϕ ∈ A0 and t ∈ R, that is,
u : A0 × R → Ha : u = u(ϕ, t), ϕ ∈ A0 , t ∈ R,
and each u ∈ C ∞ (R, Ha ) depending on ϕ as on a parameter is infinitely
differentiable wrt the second variable.
Differentiation and multiplication of the functions introduced are defined
as follows:
dn
(u v)(ϕ) := u(ϕ)v(ϕ), u(n) (ϕ) := u(ϕ), ϕ ∈ A0 . (5.2.2)
dtn
The space of the Ha -valued distributions D′ (Ha ), being a subset of the
abstract distributions space D′ (H), is embedded into E(Ha ) by the convolution
mapping
i : D′ (Ha ) → E(Ha ), (i w)(ϕ) := w ∗ ϕ, w ∈ D′ (Ha ), ϕ ∈ A0 ,
in particular, if ϕεn is a δ-shaped sequence, then w ∗ ϕεn → w as εn → 0.
Thus we have imbedded D′ (Ha ) into the differentiable algebra E(Ha ),
where the product of elements is defined by (5.2.2) and this product is consis-
tent with the differentiation introduced. The space E(Ha ) has certain neces-
sary properties to be the desirable algebra. Nevertheless, there are obstacles on
the way to taking E(Ha ) as the Colombeau algebra of abstract distributions.
They are the following:
• the way to assign the element in E(Ha ) to an element from D′ (Ha ) by
the embedding is not unique,
• if we consider infinitely differentiable (in t ∈ R) functions w1 , w2 as
elements of D′ (Ha ) and embed them into E(Ha ), then the multiplica-
tion (5.2.2) would not agree with the usual multiplication of infinitely
differentiable functions since we generally have
(w1 · w2 ) ∗ ϕ =
6 w1 ∗ ϕ · w2 ∗ ϕ, ϕ ∈ A0 .
To overcome the difficulties we take into account that (w1 · w2 ) ∗ ϕε and

w1 ∗ ϕε · w2 ∗ ϕε converge to w1 · w2 as ε → 0 and define (the crucial point
in the Colombeau theory!) the linear manifold of moderate elements EM (Ha )
from E(Ha ) consisting of u ∈ E(Ha ) satisfying the condition
(M) for each compact K ⊂ R and each n ∈ N0 , there exists q ∈ N such that
n
d
sup
n
u(ϕε , t) = Oε→0 (ε−q ) for each ϕ ∈ Aq ,

t∈K dt H
and define a “null subset” N (Ha ) consisting of elements u ∈ E(Ha ) that satisfy
the condition
(N) for each compact K ⊂ R and each n ∈ N0 , there exists p ∈ N such that
n
d
sup
n
u(ϕε , t) = Oε→0 (εq−p ) for each ϕ ∈ Aq and q ≥ p.

t∈K dt H
It is not difficult to verify that all images iw of elements from D′ (Ha )

belong to EM (Ha ). This is due to the structure theorem for abstract distri-
butions, which states that each w ∈ D′ (Ha ) is locally equal to a derivative of
some order k of a continuous function f (see, e.g., [30] and Section 3.4). We
have then
(w ∗ ϕε )(t) = hϕε (t − ·), w(·)i = hϕε (·), f (k) (t − ·)i

1 (k)
= hϕ(k)
ε (y), f (t − y)i = k hϕ (y), f (t − εy)i.
ε
Hence on a bounded set K we have
sup k(w ∗ ϕε )(t)k ≤ C(K)ε−k .

t∈K
To complete the definition of the Colombeau algebra of abstract distribu-

tions (abstract generalized functions) we introduce
G(Ha ) := EM (Ha )/N (Ha ).
Similar to G(R) (see, e.g., [91]), the algebra G(Ha ) is an associative and com-
mutative Ha -valued differential algebra. Moreover, the elements of the space
EM (Ha ) form a differential algebra. This is indeed the case since, as we have
shown, i maps the elements of D′ (Ha ) into EM (Ha ) and N (Ha ) is the differ-
ential ideal in EM (Ha ).
The set i−1 N (Ha ) consists of the null elements of D′ (Ha ). To show this
let i(w) ∈ N (Ha ), then for ϕε ∈ Aq with q large enough, w ← w ∗ ϕε → 0 as
ε → 0 in D′ (Ha ).
At last, the definition of G(Ha ) agrees with the multiplication of infinitely
differentiable functions since
(w1 · w2 ) − (w1 ∗ ϕε ) · (w2 ∗ ϕε ) ∈ N (Ha )
for all infinitely differentiable functions w1 , w2 .

The elements of the algebra G(Ha ) introduced are classes of mappings. We
denote them by capitals Y, V, . . .. We will denote a representative of a class
Y ∈ G(Ha ) by the corresponding small letter y and the class Y containing y we
will denote by {y}. Each element of D′ (Ha ) is embedded in the corresponding
class of G(Ha ) by the mapping i.
The support of an element V ∈ G(Ha ) is defined as the complement of
the widest open set, where V = 0. We say that V is equal to zero on an

open set Λ ⊂ R if its restriction to GΛ (Ha ) is equal to zero in GΛ (Ha ). The
algebra GΛ (Ha ) is defined in the same way as GΛ (R)=G(Λ). The imbedding
of any w ∈ D′ (Ha ) into GΛ (Ha ) can be done with help of a specially chosen
function ϑ(ϕ) ∈ D(Λ) such that for any compact set K ⊂ Λ, the equality
(ϑ(ϕε )w ∗ ϕε )(x) = hw(·), ϕε (x − ·)i, x ∈ K, holds for ε small enough [91].
Then, if w ∈ D′ (Ha ), like the case of D′ (R), the support of {iw} ∈ G(Ha )
coincides with that of w ∈ D′ (Ha ).
Now we define G(Ω, Ha ), the algebra of G(Ha )-valued random variables
{V = V (ω), ω ∈ (Ω, F , P )} as a mapping from (Ω, F , P ) to G(Ha ) mea-
surable in the following sense: there exists a representative v ∈ V such
that for any ϕ ∈ A0 , v −1 (ϕ, ·) maps any Borel subset of B(C ∞ (R; Ha ))
onto an element of F , in particular an Borel subset of B(Ω), where the
Borel σ-algebra B(C ∞ (R; Ha )) is generated by the system of semi-norms
pn,k (f ) = supt∈[−n,n] supi≤k kf (i) (t)kH .
To complete the setting of the problem we define the generalized white
noise process W+ = W+ (·, ω), ω ∈ Ω, as an element of the space D0′ (H)
of abstract distributions with values in H and supports in [0, ∞) and then
transform it into an element of G(Ω, Ha ).
One way to define a generalized H-valued white noise on (Ω, F , P ), more
precisely Q-white noise, is via a derivative of H-valued Q-Wiener process
{WQ (t), t ≥ 0} continued by zero on (−∞, 0):
hθ, W+ (·, ω)i := − hθ′ , WQ (·, ω)i , θ ∈ D.
Another way to do this is based on the ideas of the theory of abstract

stochastic distributions (see, e.g., [7, 80]), which we will consider in detail in
the next chapter. Let S = S(R) be the space of rapidly decreasing test func-
tions. Denote by S ′ (H) the space of H-valued distributions over S and consider
a Borel σ-algebra B(Ω) generated by the weak topology of Ω := S ′ (H). Then
by the generalization of the Bochner–Minlos theorem to the case of Hilbert
space valued generalized functions [5], there exist a unique probability measure
µ on B(Ω) and a trace class operator Q satisfying the condition4
Z
1 2
ei(hθ, ωi, h)H dµ(ω) = e− 2 kθk (Qh,h) , θ ∈ S, h ∈ H.
Ω
This makes it possible to define the white noise process on (Ω, B(Ω), µ) with
values in S ′ (H) ⊂ D′ (H) by the identical mapping:
hθ(·), W(·, ω)i := hθ, ωi , θ ∈ S.
The process defined above is the generalization of the corresponding real-

valued Gaussian process [59]; it has zero mean and Cov hθ, Wi = kθk2 Q.
4 Here and below, if it is not pointed out especially, k · k denotes the norm of L2 (R).
Define W+ with support in [0, ∞) via Ŵ+ defined as follows:

D E D E
θ(·), Ŵ+ (·, ω) := (−1)k θ(k) (·), χ f (·) , θ ∈ S,
where, according to the structure theorem for slowly decreasing distributions,

f is the (global) continuous primitive of ω ∈ S ′ (H) of an order k and χ is the
Heaviside function. Then, removing from the distribution Ŵ+ its component
with support at zero, we obtain W+ .
Finally, we map BW+ into the Colombeau algebra G(Ω, Ha ). By convo-
luting W+ with a function from A0 we transform W+ (·, ω) ∈ D0′ (H) into
w(ϕ, t, ω) := hϕ(t − ·), W+ (·, ω)i, ϕ ∈ A0 , t ∈ R, ω ∈ Ω. (5.2.3)
The function w is infinitely differentiable wrt t ∈ R and measurable wrt ω ∈ Ω.

Thus we have w(ϕ, ·, ω) ∈ C ∞ (R; H) for ϕ ∈ A0 and ω ∈ Ω a.s., and
w(ϕ, ·, ·) ∈ C ∞ (R; L2 (Ω; H)).
Let B ∈ L(H, Ha ). Then, applying B to w, we obtain that Bw(ϕ, t, ω) ∈
Ha and
Bw(ϕ, ·, ·) : A0 → C ∞ (R; L2 (Ω; Ha ))
is a representative of a class in G(Ω, Ha ). We denote the corresponding class
by BW. Since the support of W+ ∈ D′ (H) is [0, ∞), by the definition of
support of an element of G(Ω, Ha ) we have supp BW = [0, ∞). That is how
we understand the stochastic term considering (5.2.1) in G(Ω, Ha ).
5.2.2 Solutions to the stochastic Cauchy problem with in-

finitely differentiable non-linearities
Let H = H = L2 (R) and the domain of A lies in the set of all continuous
functions of L2 (R). Let Ha be the set of all finitely differentiable functions of
L2 (R) and Ha ⊆ dom A. Then multiplication of elements of Ha is well defined
as point-wise multiplication of continuous functions.
Now for the problem (5.2.1) with the stochastic term BW constructed
above and an infinitely differentiable non-linearity F , which is supposed to
be bounded with all its derivatives and satisfy the property F (0) = 0, we
will search for a solution as an element of the abstract stochastic Colombeau
algebra G(Ω, Ha ). Since Ha is chosen as the set of finitely many times differ-
entiable functions in L2 (R), then B ∈ L(H, Ha ) can be taken, for example, as
convolution with a finitely-differentiable function from L2 (R) satisfying the
condition of convolution existence.
Suppose first that A generates a C0 –semi-group {U (t), t ≥ 0} in L2 (R).
Consider the question of existence of a solution to the problem
Y ′ = AY + F (Y ) + BW + ζ{δ}, supp Y ⊆ [0, ∞), (5.2.4)
as an element of algebra G(Ω, Ha ). To do this, for an arbitrary η > 0 we

consider Bw(t) := Bw(ϕ, t, ω), ϕ ∈ A0 , ω ∈ Ω, with support in [−η, ∞) as

a representative of the white noise term BW ∈ G(Ω, Ha ) constructed above.
By the definition of elements of G(Ω, Ha ), for each fixed ϕ ∈ A0 , Bw(t) is an
infinitely differentiable function of t ∈ R with values in Ha , measurable wrt
ω ∈ Ω. Let us take an arbitrary ϕ ∈ A0 and consider the problem
y ′ (t) = Ay(t)+ F (y(t))+ Bw(t)+ ζi δ(t), t ≥ −η, y(t) = 0, t ≤ −η. (5.2.5)
We are looking for y(t) = y(ϕ, t, ω), ϕ ∈ A0 , ω ∈ Ω, a solution to this problem

belonging to C ∞ ([−η, ∞), dom A) for ω a.s.
Consider the equation
Z t Z t
y(t) = U (t − s)F (y(s)) ds + U (t − s)[Bw(s) + ζi δ(s)] ds =: Qy(t),
−η −η
(5.2.6)
t ≥ −η. The operator Q is Volterra type. Using the differentiability of F and
the boundedness of its derivative, let us show that Qk (where k = k(T )) is a
contraction on the segment [−η, T ].
Since F is differentiable, we have F (a) − F (b) = F ′ (c)(a − b), c ∈ (a, b),
for any a, b ∈ R. Then for any y(·) and z(·) we get the point-wise equality
F (y(s)) − F (z(s)) = F ′ (c(s))(y(s) − z(s)), s ∈ [−η, ∞),
where c(s) is an appropriate point from the interval (y(s), z(s)) and the fol-
lowing estimate holds:
kF (y(s)) − F (z(s))k ≤ Lky(s) − z(s)k, L = max |F ′ (c)|.

c∈R
This and the exponential boundedness of C0 -semi-groups kU (t)kL(L2 (R)) ≤

Ceat for each t ∈ [−η, ∞) imply
kQy(t) − Qz(t)k ≤ CLea(t+η) (t + η) max ky(s) − z(s)k.

s∈[−η,t]
For the squares we have

Z t Z t
Q2 y(t) − Q2 z(t) = U (t − s)F (Q(y(s))) ds − U (t − s)F (Q(z(s))) ds
Z−η
t
−η
= U (t − s) [F (Q(y(s))) − F (Q(z(s)))] ds.

−η
Then
(t + η)2
kQ2 y(t) − Q2 z(t)k ≤ C 2 L2 e2a(t+η) max ky(s) − z(s)k,
2 s∈[−η,t]
and for each k ∈ N,

(t + η)k
kQk y(t) − Qk z(t)k ≤ C k Lk eka(t+η) max ky(s) − z(s)k.
k! s∈[−η,t]
Hence
(T + η)k
max kQk y(t) − Qk z(t)k ≤ C k Lk eka(T +η) max ky(t) − z(t)k.
t∈[−η,T ] k! t∈[−η,T ]
The constant in this estimate can be made less then unity by choosing
k = k(T ). Hence, for the k chosen, the operator Qk is a contraction and
the sequence of approximations yn (t) = Qnk y0 (t) has the limit in H
y(t) = lim Qnk y0 (t).

n→∞
Note that if one takes a function y0 (·) infinitely differentiable wrt t as the
first point of the approximating sequence, then the function
Z t Z t
Qy0 (t) = U (t − s)F (y0 (s)) ds + U (t − s)[Bw(s) + ζi δ(s)] ds, t ≥ −η,
−η −η
is also infinitely differentiable wrt t. Consequently, y1 (·) = Qk y0 (·) as well as

all subsequent iterations yn (·) have this property.
It can be shown by the same argument that the sequence yn′ (·) converges
to its limit in H uniformly wrt t ∈ [−η, T ], hence y(·) is differentiable and
y ′ (t) = limn→∞ yn′ (t). Similarly it can be shown that y(·) is an infinitely
differentiable function with values in H.
Now we show that yn (t) ∈ Ha if y0 (t) ∈ Ha , t ≥ 0. Let t ≥ 0 be fixed.
First note that F (α) = O(α) as α → 0. Due to the infinite differentiability of
F and since F (0) = 0, F (α) can be decomposed into the Taylor series with
the first term proportional to α. Then, since y0 (t) = y0 (t, ·) ∈ Ha , for any
t the function y0 (t, ·) ∈ L2 (R) is differentiable wrt the second argument and
y0 (t, x) → 0 as x → ∞. Thus F (y0 (t)) = O(y0 (t)) as x (the argument of
functions from L2 (R)) tends to infinity.
Further, the semi-group of operators U (t) maps L2 (R) into L2 (R) and,
moreover, dom A ⊂ L2 (R) and some subsets Ha ⊂ dom A are invariant wrt
this mapping. It follows that if ζ ∈ dom A and Ha = dom A, then
U (t − s)F (y0 (s)) : Ha → Ha and U (t − s)[Bw(s) + ζi δ(s)] ∈ Ha ;
hence Q acts in Ha and y1 (t) = Qk y0 (t) ∈ Ha as well as yn (t) for any n ∈ N.

Thus we obtain yn (t) ∈ Ha , but in the general case limn→∞ yn (t) = y(t)
does not belong to Ha , since algebra Ha is not closed in the sense of L2 (R)-
convergence.
If y(t) ∈ Ha , then we show that it is a representative of a class from
G(Ω, Ha ). As is known (see, e.g., [79]), if F(t), t ≥ 0, is a differentiable function
or F(t) ∈ domA for any t ≥ 0, then the solution of the inhomogeneous abstract
Cauchy problem
u′ (t) = Au(t) + F(t), t ≥ 0, u(0) = 0,
with A generating a C0 –semi-group {U (t), t ≥ 0} exists and is defined by

Rt
u(t) = 0 U (t− s)F(s) ds. Since in the case that we consider, F (y(t)) as well as
any representative Bw(t) of the white noise process and ζi δ are L2 (R)-valued
infinitely differentiable wrt t functions, the solution of (5.2.6) is a solution to
the problem (5.2.5).
Let U (t) = 0 as t < 0. It follows from (5.2.6) that y(t) = 0 as t ≤ −η, i.e.,
the support of the solution obtained lies in [−η, ∞).
Now we show that y is a representative of a class Y ∈ G(Ω, Ha ), i.e., it sat-
isfies the condition (M) almost everywhere. It follows from the differentiability
of F and the condition F (0) = 0 that for each s ∈ [−η, t] the equality
F (y(ϕ, s, ω)) = F (y(ϕ, s, ω)) − F (0) = F ′ (c)y(ϕ, s, ω),
where c ∈ (0, y(ϕ, s, ω)), ϕ ∈ A0 , ω ∈ Ω, holds. Now for an arbitrary compact

K ⊂ R from (5.2.6) we obtain
max ky(ϕε , t, ω)k ≤ C max ea(t+η) kBw(ϕε , t, ω) + ζϕε (t)k

t∈K t∈K
Z t
+ C max kF ′ (c)k max ea(t+η) ky(ϕε , s, ω)k ds,
c∈R t∈K −η
and due to the boundedness of F ′ , we have

Z t
max ky(ϕε , t, ω)k ≤ C1 max kBw(ϕε , t, ω)+ζϕε (t)k+ C2 max ky(ϕε , s, ω)k ds.
t∈K t∈K t∈K −η
(5.2.7)
Since Bw is a representative of the class BW from G(Ω, Ha ), the first term
in the right-hand side of (5.2.7) for each ϕ ∈ Aq grows as ε → 0 not faster
than ε−q for some q ∈ N. Then, due to the Gronwall–Bellmann inequality,5
the left-hand side behaves in the same way. This proves the condition (M)
with n = 0. The behavior of derivatives of y(·) can be checked in the same
manner using the fact that F is infinitely differentiable and its derivatives are
bounded.
Now let us consider two solutions of (5.2.5) yη1 (·) and yη2 (·) corresponding
η1 6= η2 and verify that the difference yη1 (·)− yη1 (·) belongs to N (Ha ). Denote
η = max{η1 , η2 }. Then
yη′ 1 (t) − yη′ 2 (t) = A(yη1 (t) − yη2 (t)) + F (yη1 (t)) − F (yη2 (t)) + g(t), t ≥ −η,
yη1 (t) − yη2 (t) = 0, t ≤ −η,
where g ∈ N (Ha ) is the difference of two representatives of the stochastic

5 The Gronwall–Bellmann inequality states that if
Z t
y(t) ≤ c + f (s)y(s) ds, c > 0, t > t0 ,
t0
Rt
for positive continuous functions y and f , then y(t) ≤ c · exp( f (s) ds).
t0
term BW and the term ζ{δ} with supports in [0, ∞). Then, similar to (5.2.7),
we obtain the estimate
max kyη1 (ϕε , t, ω) − yη2 (ϕε , t, ω)k ≤ C1 max kg(ϕε , t, ω)k

t∈K t∈K
Z t
+ C2 max kyη1 (ϕε , s, ω) − yη2 (ϕε , t, ω)k ds. (5.2.8)
t∈K −η
Since the first term in this inequality satisfies the condition (N), the Gronwall–
Bellman inequality implies yη1 (t) − yη2 (t) ∈ N (Ha ). Moreover, it follows that
supp Y ⊆ [0, ∞) for Y , which representatives yη1 and yη2 are, and that the
class Y is uniquely determined. Let Y1 , Y2 ∈ G(Ω, Ha ) be two solutions of
(5.2.4) with supports in [0, ∞). Then, for any representatives y1 , y2 of these
classes and each η > 0, we have estimates similar to (5.2.8). Hence y1 (t) −
y2 (t) ∈ N (Ha ), i.e., Y1 − Y2 = 0 in G(Ω, Ha ). That is the solution of (5.2.4) is
unique in the algebra G(Ω, Ha ).
In the general case, since the limit of yn (t) ∈/ Ha , we obtain only approxi-
mated solutions of (5.2.6) given by the fundamental sequence {yn } defined by
the equalities
yn (t) = Qk yn−1 (t), t ≤ −η.
Thus we arrive at the following result.
Theorem 5.2.1 Let A be the generator of a C0 -semi-group {U (t), t ≥ 0}

in L2 (R). Let F be an infinitely differentiable function in R, bounded with all
its derivatives and F (0) = 0. Let B ∈ L(L2 (R), Ha ) and BW be an element
of G(Ω, Ha ) with representative Bw defined by (5.2.3). Then for any η > 0
and ϕ ∈ A0 there exists a unique solution of (5.2.5), y ∈ C ∞ ([−η, ∞), H). If
y ∈ C ∞ ([−η, ∞), Ha ), then Equation (5.2.4) has the unique solution Y = {y}
in the algebra G(Ω, Ha ) for any ζ ∈ Ha = dom A.
Now consider the case of A generating an integrated semi-group. If op-

erator A generates an exponentially bounded n-times integrated semi-group
{S(t), t ≥ 0}, then the solution operators U (t) of the corresponding homoge-
neous Cauchy problem are defined by hϕ, U i = (−1)n hϕ(n) , Si, ϕ ∈ D, and
instead of (5.2.6) we have the following equation:
Z t
y(ϕ, t, ω) = (−1)n S(t − s)F (n) (y(ϕ, s, ω)) ds
−η
Z t
+ (−1)n S(t − s)[(Bw)(n) (ϕ, s, ω) + ζϕ(n)
ε (s)] ds,
−η
ϕ ∈ A0 , ω ∈ Ω, t ≥ −η.
Here all derivatives exist due to the infinite differentiability of F , Bw, and
ϕε . Using the equality, similarly to the case of C0 -semi-groups, we obtain the
corresponding approximations yn and obtain a solution in G(Ω, Ha ) if the limit

of yn (t) belongs to Ha .
In conclusion, we note that the present section contains just the beginning
of the study of abstract stochastic equations with non-linearities in Colombeau
algebras. Many questions still remain open. Among them are properties of
lim yn , convergence of solutions y(ϕε ) as ε → 0, equations with generators
of wider classes than we have considered, and equations in arbitrary Hilbert
spaces.
Chapter 6
Infinite-dimensional extension of
white noise calculus with application
to stochastic problems
As we noted in the previous sections, numerous behavior patterns of sys-

tems under random perturbations suggest considering differential equations
in infinite-dimensional spaces with white noise type inhomogeneities. Among
problems for these equations, called abstract stochastic equations, the basic
one is the Cauchy problem (P.1) in Hilbert spaces H, H:
X ′ (t) = AX(t) + F (t, X) + B(t, X)W(t), t ≥ 0, X(0) = ζ, (6.0.1)
with an H-valued white noise W and A generating a regularized semigroup in

H, in particular a C0 -semigroup; F (t, X) ∈ H and B(t, X) ∈ L(H, H).
Chapter 4 was devoted to solving the problem (6.0.1) by reducing it to the
integral problem (I.1) with an Itô integral wrt a Wiener process. That was
done on the basis of generalization of the Itô integral wrt Brownian motion to
Hilbert spaces. In addition to weak and mild solutions obtained for (I.1), in
Chapter 5 we constructed generalized solutions for (6.0.1) in spaces of abstract
distributions and Gelfand–Shilov spaces. All the solutions constructed are
supposed to be predictable due to the properties of Wiener and white noise
processes.
In order to solve equations from a wider class, in particular, equations
with singular white noise and with no predictability restrictions on solutions
(the latter is connected with the adaptedness property of the processes to the
filtration generated by a Wiener process), we need a new stochastic technique.
Application of the ideas of the white noise calculus to analysis of stochastic
processes with values in Hilbert spaces leads to progress in this direction.
In the present chapter, after some comments on the finite-dimensional
white noise calculus, we present in detail its infinite-dimensional extension.
That is the theory of abstract stochastic distributions, or generalized random
variables spaces (S)−ρ (H), 0 ≤ ρ ≤ 1. In these spaces H-valued Q-Wiener and
cylindrical Wiener processes, as well as t-derivatives of these processes, will
be defined; the latter are called a Q-white noise and a singular white noise,
respectively. These spaces and analysis in these spaces presented in Sections
6.1–6.3 will be the key techniques for obtaining solutions to the stochastic
problems with singular white noise in Section 6.4.
229
230 6. Infinite-dimensional extension of white noise calculus
6.1 Spaces of Hilbert space-valued generalized random

variables: (S)−ρ (H). Basic examples
The white noise probability space plays a fundamental role in our con-
struction of spaces of Hilbert space valued random variables. We begin this
section with its definition and main properties, then give some explanation of
the finite-dimensional white noise calculus. Then we present in detail spaces
of abstract (Hilbert space valued) stochastic distributions or abstract gener-
alized random variables (S)−ρ (H), 0 ≤ ρ ≤ 1. We show that these spaces
contain the H-valued Q-Wiener and cylindrical Wiener processes, as well as
Q-white noise and singular white noise.
6.1.1 Spaces of R-valued generalized random variables

Let S ′ be the space of tempered distributions over the space of rapidly
decreasing test functions S. The space S is countably Hilbert. This means
\
S= Sp , where Sp = θ ∈ L2 (R) : (θ, η)p < ∞ , (6.1.1)
p∈N
and the scalar product (·, ·)p is defined by
d2
(θ, η)p := (D̂p θ, D̂p η)L2 (R) , where D̂ := − + x2 + 1. (6.1.2)
dx2
Denote by |·|p the norm generated by this scalar product. Under the definition
of Sp we have that for any p the injection Sp+1 ֒→ Sp is a nuclear operator,
hence the space S is nuclear. Due to this fact, by the Bochner–Minlos–Sazonov
theorem (see, e.g., [45], Theorem 4.7) there exists a unique probability measure
µ defined on the Borel σ-algebra B(S ′ ) of subsets of S ′ , satisfying the condition
Z
1 2
eihθ, ωi dµ(ω) = e− 2 |θ|0 , θ ∈ S, (6.1.3)
S′
where | · |0 is the norm of the space L2 (R).

The measure µ is called a normalized Gaussian measure on S ′ since
for any θ1 , θ2 , . . . , θn ∈ S orthogonal in L2 (R), the random variable ω 7→
(hθ1 , ωi, hθ2 , ω, i, . . . , hθn , ωi) is Gaussian with the probability density
1 1X n
x2i
n Qn exp − .
(2π) 2 i=1 |θi |0 2 i=1 |θi |20
6.1. Spaces of Hilbert space valued generalized random variables 231
Equivalently,

E f hθ1 , ·i, . . . , hθn , ·i
Z x2
1
Pn
− 12 i
i=1 |θ |2
= n Qn f (x1 , . . . , xn )e i 0 dx1 . . . dxn (6.1.4)
(2π) 2
i=1 |θi |0 Rn
for any f : Rn → R such that the integral in the right-hand side exists. (See
Section 4.1, where normalized Gaussian measures were introduced.)
The probability space (Ω, F , P ) := (S ′ , B(S ′ ), µ) is called the white noise
probability space. Why the space is so called will be clear a little later after we
show that the “primitives” of elements ω ∈ S ′ can be cosidered as the paths
of a Brownian motion.
Denote by (L2 ) the space L2 (S ′ , µ; R) of all square integrable wrt µ func-
tions defined on S ′ (random variables) with values in R. Denote by k · k0 its
norm. Using (6.1.4) we can show that for any θ, η ∈ S the following equalities
hold true:

hθ, ·i, hη, ·i (L2 ) = E hθ, ·ihη, ·i = (η, θ)L2 (R) , (6.1.5)
in particular khθ, ·ik20 = Ehθ, ·i2 = |θ|20 . It follows from here that the mapping
θ 7→ hθ, ·i can be extended by continuity from S onto L2 (R); thus hθ, ·i is well
defined as an element of the space (L2 ) for any θ ∈ L2 (R). The equalities
(6.1.5) remain valid for θ ∈ L2 (R) and (6.1.4) remains valid for θ1 , . . . , θn ∈
L2 (R). Thus for any t ≥ 0 the random variable
β(t) := h1[0,t] , ·i (6.1.6)
is well defined as an element of (L2 ).

It follows from (6.1.3) that β(t) is a Gaussian random variable with mean
zero for any t ≥ 0 and the following properties of the process follow from
(6.1.5):

E β(t)β(s) = (β(t), β(s))L2 (Ω) = (1[0,t] , 1[0,s] )L2 (R) = min{t, s}, t, s ≥ 0,

E β 2 (t) = (β(t), β(t))L2 (Ω) = k1[0,t] k2 = t,
where L2 (Ω) = (L2 ). For disjoint intervals (t3 , t4 ) and (t1 , t2 ),

E (β(t4 ) − β(t3 ))(β(t2 ) − β(t1 )) = (1[t4 ,t3 ] , 1[t2 ,t1 ] )L2 (R) = 0.
Hence the process {β(t), t ≥ 0} satisfies the properties (B1)–(B3) of the def-
inition of Brownian motion (Definition 4.1.5). Moreover, for 0 ≤ s < t we
have
Z
1 x2
4 4
E (β(t) − β(s)) = E h1[0,t] , ·i = p x4 e− 2(t−s) dx = 3(t − s)2 .
2π(t − s) R
(6.1.7)
It follows from (6.1.7) by the Kolmogorov continuity theorem (see [109], Sec-
tion 4.1.1) that {β(t), t ≥ 0} has a continuous version, which is denoted by
the same symbol and is called a Brownian motion.
Following the common practice in the theory of distributions weR can write
t
informally the right-hand side of (6.1.6) as an integral: hω, 1[0;t] i = 0 ω(s) ds.
Thus we have Z t
β(t) = ω(s) ds
0
and the elements ω ∈ S ′ , being the elementary outcomes within the white
noise probability space framework, can be thought of as the trajectories of the
white noise.
Let {ξk }∞ 2
k=1 be the orthonormal basis of the space L (R) consisting of the
Hermite functions
1 − 1 x2
ξk (x) = π − 4 (k − 1)! 2 e− 2 hk−1 (x),
where {hk (x)}∞

k=0 are the Hermite polynomials
x2 dk − x2
hk (x) = (−1)n e 2 e 2.
dxk
We will use the next well-known estimates for ξi later (see e.g., [43]):
1
Z x
3 1
|ξi (x)| = O i− 4 , ξi (s) ds = O (i− 4 ), sup |ξi (x)| = O (i− 12 ).
0 x∈R
(6.1.8)
N
Let T ⊂ N∪{0} be the set of all finite multiindices. The stochastic Hermite
polynomials are defined by the equalities
Y
hα (ω) := hαk hξk , ωi , ω ∈ S′, α ∈ T . (6.1.9)
k
The product in (6.1.9) is in fact finite since each α is finite and consequently
hαk (x) = h0 (x) = 1 for all sufficiently large k.
Let α, β ∈ T and n = max{k ∈ N : αk = 6 0 or βk 6= 0}. By equal-
ity (6.1.4) and the orthogonality of the Hermite polynomials in the space
x2
L2 R; √12π e− dx we have
2
" n n
#
Y Y
(hα , hβ )(L2 ) =E hαk hξk , ωi hβk hξk , ωi
k=1 k=1
Z n
Y n 2
1 Y − 21 Pnk=1 |ξxk|2
= n Qn hαk xk hβ k xk e k 0 dx . . . dx
1 n
(2π) 2 i=1 |ξi |0 Rn k=1 k=1
n Z
(
1 Y 1 2 0, α 6= β,
= n hαk xk hβk xk e− 2 xk dxk =
(2π) 2 k=1 R α!, α = β,
(6.1.10)
Q
where α! := k αk ! . Thus stochastic Hermite polynomials form an orthogonal
system in the space (L2 ) = L2 (S ′ , B(S ′ ), µ). Moreover, {hα : α ∈ T } is an
orthogonal basis in (L2 ) (Theorem 2.2.3 in [44]). It follows from this fact and
the equality (6.1.10) that the following equality holds for the scalar product
and the norm in (L2 ):
X X
(Φ, Ψ)(L2 ) = α!Φα Ψα , kΦk2(L2 ) = α!Φ2α ,
α∈T α∈T
where
X X 1 1
Φ= Φ α hα , Ψ = Ψ α hα , Φα = (Φ, hα)(L2 ) , Ψα = (Ψ, hα)(L2 ) .
α! α!
α∈T α∈T
2
Due to (6.1.10) one can
informally think of the space (L ) as of
Q∞ 2
xk
L2 R∞ ; k=1 √12π e− 2 dxk identifying any element ω ∈ S ′ with the sequ-
ence of its “Fourier coefficients” hω, ξk i wrt the system of Hermite functions.
Thus square integrable random variables on the white noise probability space
(S ′ , B(S ′ ), µ) can be considered as functions of infinite real variables. This
linear structure of the domain of definition of random variables leads to the
following generalization of the Schwartz theory to the infinite variables case.
Consider the construction of the Gelfand triple
(S)ρ ⊂ (L2 ) ⊂ (S)−ρ (0 ≤ ρ ≤ 1),
which is a generalization
T S parameterized by ρ of the triple S ⊂ L2 (R) ⊂ S ′ ,
′ ′
where S = Sp , S = Sp and spaces Sp are defined by (6.1.1). It was first
introduced in [55] and is used in [59, 44].
Recall that due to the fact that the Hermite functions are the eigenfunc-
tions of the differential operator
d2
D̂ = − + x2 + 1 with D̂ξi = (2i)ξi , i ∈ N,
dx2
the spaces Sp defined by (6.1.1) can be characterized in terms of expansions
with respect to Hermite functions {ξi } in the following way:
n ∞
X ∞
X o
Sp = θ = θi ξi ∈ L2 (R) : |θi |2 (2i)2p < ∞ .
i=1 i=1
The spaces (Sp ) are defined by analogy with Sp :

n X X o
(Sp ) := ϕ = ϕα hα ∈ (L2 ) : (α!)|ϕα |2 (2N)2pα < ∞ ,
α∈T α∈T
with the norms | · |p generated by the scalar products

X pα Y
(ϕ, ψ)p = (α!)ϕα ψ α (2N)2pα , 2N := (2i)pαi .
α∈T i∈N
The spaces (Sp )ρ are subspaces of (Sp ) parameterized by an additional pa-

rameter 0 ≤ ρ ≤ 1 and defined by analogy with Sp :
n X X o
(Sp )ρ = ϕ = ϕα hα ∈ (L2 ) : (α!)1+ρ |ϕα |2 (2N)2pα < ∞ ,
α∈T α∈T
with the norms | · |p,ρ generated by the scalar products

X
(ϕ, ψ)p,ρ = (α!)1+ρ ϕα ψ α (2N)2pα .
α∈T
To clarify the analogy with the definition by (6.1.1)–(6.1.2), note that the
other way to define the scalar product (·, ·)p,ρ when ρ = 0 is doing this in
terms of the so-called second quantization operator Γ(D̂), Lwhich2 is nusually
defined via identifying the space (L2 ) with the Fock space ∞ n=0 L̂ (R ) with
the help of the Wiener–Itô chaos expansion (see, e.g., [59]). To simplify our
presentation we define Γ(D̂) in an equivalent way:
∞
Y
Γ(D̂)hα := (2i)αi hαi hξi , ·i .
i=1
Then, by analogy with (6.1.1), we have

(ϕ, ψ)p,0 = Γ(D̂)p ϕ, Γ(D̂)p ψ .
(L2 )
T
The space (S)ρ is defined as (S)ρ = p∈N (Sp )ρ with the projective limit
topology and is called the space of test random variables.
The space (S)−ρ is defined by
[
(S)−ρ = (S−p )−ρ ,
p∈N
with the inductive limit topology, where (S−p )−ρ is the dual to the space
(Sp )ρ . The elements of (S)−ρ are called generalized random variables. The
space (S−p )−ρ can
Pbe identified with the Hilbert space of all formal (countable)
expansions Φ = α∈T Φα hα satisfying the condition
X
(α!)1−ρ |Φα |2 (2N)−2pα < ∞,
α∈T
with the scalar product

X
(Φ, Ψ)−p,−ρ = (α!)1−ρ Φα Ψα (2N)−2pα .
α∈T
We will denote the norm of the space (S−p )−ρ by | · |−p,−ρ .

P P
For Φ = α∈T Φα hα ∈ (S)−ρ and ϕ = α∈T ϕα hα ∈ (S)ρ , we have
X
hϕ, Φi = α!Φα ϕα .
α∈T
The notion of a bounded set plays an important role later. The way it was
defined in Section 3.3 is suitable for (S)ρ . The set M ⊆ (S)ρ is called bounded
if for any sequence {ϕn } ⊆ M and for any {εn } ⊂ R convergent to zero,
{εn ϕn } is convergent to zero in (S)ρ .
From the definition of spaces (S)ρ and the definition of bounded sets it is
easy to obtain the following characterization of bounded sets in (S)ρ .
Proposition 6.1.1 A set is bounded in (S)ρ if and only if it is bounded in
any (Sp )ρ , p ∈ N.
Now we define spaces (S)−ρ (H) of Hilbert space valued random variables
over the spaces (S)ρ of test random variables.
6.1.2 Spaces of Hilbert space valued generalized random

variables (S)−ρ (H). Examples of important generalized
random processes
Let H be a separable complex Hilbert space with the scalar product (·, ·)
and the corresponding norm k · k . By (L2 )(H) we will denote the space of all
H-valued
R functions f on S ′ , which are square Bochner integrable wrt µ, i.e.,
S ′ kf (ω)k dµ(ω) < ∞.
Let {ej }∞
j=1 be an orthonormal basis in H. The family of H-valued functions
{hα ej }α∈T ,j∈N forms an orthogonal basis in (L2 )(H). Any f ∈ (L2 )(H) can
be decomposed into the Fourier series with respect to this basis as follows:
X X ∞
X
f= fα,j hα ej = f α hα = fj ej ,
α∈T ,j∈N α∈T j=1
X X
fα,j ∈ R, fα = fα,j ej ∈ H, fj = fα,j hα ∈ (L2 ),
j α∈T
and
X X ∞
X
kf k2(L2 )(H) = α! |fα,j |2 = α! kfα k2H = kfj k2(L2 ) .
α∈T ,j∈N α∈T j=1
Denote by (S)−ρ (H) the space of all linear continuous operators Φ : (S)ρ → H
endowed with the topology of uniform convergence on bounded subsets of
the space (S)ρ . We will refer to this convergence as strong convergence in
(S)−ρ (H) and call elements of this space the H-valued generalized random
variables over the space of test functions (S)ρ . The action of Φ ∈ (S)−ρ (H)
on a test function ϕ ∈ (S)ρ will be denoted by Φ[ϕ].
To develop analysis of (S)−ρ (H)-valued functions of t ∈ R we first describe

the structure of this space. The following two propositions can be considered
as an extension of the famous structure theorems for the Shwartz spaces D′
and S ′ , which state that any element in these spaces has finite order (see
Section 3.3).
Proposition 6.1.2 Any Φ ∈ (S)−ρ (H) is a bounded operator from (Sp )ρ to
H for some p ∈ N.
Proof. Suppose the opposite is true. Let Φ ∈ (S)−ρ (H). For any p ∈ N
choose ϕp ∈ (Sp )ρ so that |ϕp |p,ρ = 1 and kΦ[ϕp ]k ≥ p. By the inequalities
ϕk
|ϕk |p,ρ ≤ |ϕk |k,ρ , which hold true for all k > p, the sequence
ϕ
k converges
to zero in the space (S)ρ . At the same time we have Φ kk ≥ 1, which
contradicts the continuity of Φ.
Note some properties of the space of test functions (S)ρ . It is a countably
Hilbert space since all spaces (Sp )ρ are Hilbert and convergence ϕn → ϕ in
(S)ρ is equivalent to convergence kϕn − ϕkp → 0 for any p. In addition, it is
a nuclear space since for any p ∈ N the embedding operator
Ip,p+1 : (Sp+1 )ρ ֒→ (Sp )ρ
is Hilbert–Schmidt. To check P this, recall that an operator L : H1 → H2 is

Hilbert–Schmidt if kLkHS = i kLei kH2 < ∞, where {ei } is a basis in H1 (see
Section 4.1.1), and take the following orthonormal basis {ep,ρ
α } of the space
(Sp+1 )ρ :
n hα o
ep,ρ
α = 1+ρ .
(α!) 2 (2N)(p+1)α
Then we have
X hα 2
X 1
kIp,p+1 k2HS = 1+ρ = =: A(p). (6.1.11)
(α!) 2 (2N)(p+1)α p,ρ (2N)pα
α∈T α∈T
It is proved in [44] that A(p) < ∞ for any p > 1. Thus the series (6.1.11) is
convergent.
Due to the nuclearity of (S)ρ , we have the following characterization of
the elements of generalized H-valued random variables.
Proposition 6.1.3 Any Φ ∈ (S)−ρ (H) is a Hilbert–Schmidt operator from
(Sp )ρ to H for some p ∈ N.
Proof. Let Φ ∈ (S)−ρ (H). By Proposition 6.1.2 Φ is bounded as an operator
acting from (Sp )ρ to H for some p ∈ N. Denote by Φ̃ its extension to (Sp )ρ
by continuity. Then, as an operator acting from (Sp+1 )ρ to H, the operator
Φ can be written as Φ̃Ip,p+1 , which is Hilbert–Schmidt as a composition of
Hilbert–Schmidt and bounded operators.
In order to investigate the topology of uniform convergence on bounded
subsets of (S)ρ that we introduced in (S)−ρ (H), we will also need the decom-
position of this space into countable unions of separable Hilbert spaces.
For any Φ ∈ (S)−ρ (H) denote by Φj the linear functional, defined on the
space (S)ρ by the equality
hϕ, Φj i := (Φ[ϕ], ej ), ϕ ∈ (S)ρ , ej ∈ H.
Let p be such that Φ is a Hilbert–Schmidt operator from (Sp )ρ to H. Then all

Φj , j ∈ N, belong to the dual space (S−p )−ρ with the same parameters p, ρ
and therefore can be decomposed into the series
X X
Φj = Φα,j hα , where (α!)1−ρ |Φα,j |2 (2N)−2pα < ∞.
α∈T α∈T
Denote by kΦk−p,−ρ the Hilbert–Schmidt norm of an operator Φ : (Sp )ρ → H

acting from (Sp )ρ to H. We have
X

h hα i 2

∞ D
XX hα E2

kΦk2−p,−ρ = Φ 1+ρ = 1+ρ , Φj
α∈T (α!) 2 (2N)pα H
α∈T j=1 (α!) 2 (2N)pα
X
= (α!)1−ρ |Φα,j |2 (2N)−2pα . (6.1.12)
α∈T ,j∈N
Denote by (S−p )−ρ (H) the space of all Hilbert–Schmidt operators acting from
(Sp )ρ to H. It is a separable Hilbert space. Operators hα ⊗ ej , α ∈ T , j ∈ N,
defined by the equality

(hα ⊗ ej )ϕ := ϕ, hα (L2 ) ej , ϕ ∈ (Sp )ρ ,
form an orthogonal basis in the space. It follows from Proposition 6.1.3 that
we have the following decomposition:
[
(S)−ρ (H) = (S−p )−ρ (H)
p∈N
and any Φ ∈ (S)−ρ (H) has the following decomposition:

X X X
Φ[·] = h·, Φj iej = Φα,j (hα ⊗ ej ) = Φα (·, hα )(L2 ) ,
j∈N α∈T ,j∈N α∈T
P
where Φj = (Φ[·], ej ) ∈ (S−p )−ρ for some p ∈ N and Φα = j∈N Φα,j ej ∈ H
with
X X
kΦk2−p,−ρ = |Φj |2−p,−ρ = (α!)1−ρ |Φα,j |2 (2N)−2pα
j∈N α∈T ,j∈N
X
1−ρ
= (α!) kΦα k2 (2N)−2pα < ∞.
α∈T
It is easy to see that
(S−p1 )−ρ (H) ⊆ (S−p2 )−ρ (H), p1 < p2 , (6.1.13)
and
kΦk−p1 ,−ρ ≥ kΦk−p2 ,−ρ , Φ ∈ (S−p1 )−ρ (H). (6.1.14)
In Section 4.1 we introduced an H-valued Q-Wiener process WQ =
{WQ (t), t ≥ 0} via the Fourier series wrt an orthonormal basis {ej } in H:
X
WQ (t) = σj βj (t)ej (Qej = σj2 ej ), (6.1.15)
j∈N
where βj are independent Brownian motions. We also introduced a cylindrical

(or weak) Wiener process W = {W (t), t ≥ 0} via the Fourier series
X
W (t) = βj (t)ej , (6.1.16)
j∈N
which is generally divergent in H,Pbut weakly convergent in the sense that for
any h ∈ H the series (h, W (t)) = j∈N βj (t)(h, ej ) is convergent.
Now we give a construction (or a constructive proof of existence) of such a
sequence of independent Brownian motions. Using this sequence we define Q-
Wiener and cylindrical Wiener processes (6.1.15)–(6.1.16) and later the series
defining Q-white noise and singular white noise processes in spaces (S−p )−ρ .
First, we introduce a sequence of independent identically distributed Brow-
nian motions on the white noise probability space. To do this, take a bijection
n(·, ·) : N × N → N satisfying the condition
n(i, j) ≥ ij, i, j ∈ N. (6.1.17)
It can be defined in different ways, for example, by the following table:

j
i 1 2 3 4 5 6 7 ···
1 1 3 6 10 15 21 28 ···
2 2 5 9 14 20 27
3 4 8 13 19 26
4 7 12 18 25
5 11 17 24 n(i, j)
6 16 23
7 22
···
Define a sequence of linear operators Ij , j ∈ N, in the space L2 (R) by

∞
X
Ij f = (f, ξi )ξn(i,j) . (6.1.18)
i=1
Let L2 (R)j be the closure of the linear span of the set {ξn(i,j) , i ∈ N}. For
any j ∈ N, the operator Ij is an isometric isomorphism of the spaces L2 (R)
and L2 (R)j since for any f, g ∈ L2 (R) we have
∞
X
(Ij f, Ij g)L2 (R)j = (f, ξi )(g, ξi ) = (f, g)L2 (R) .
i=1
Since the spaces L2 (R)j with different j are spanned by disjoint families of
{ξi }, they are pairwise orthogonal subspaces of L2 (R). Moreover, since
∞
[ ∞
M
{ξi }∞
i=1 = {ξn(i,j) }∞
i=1 , we have L (R) = 2
L2 (R)j .
j=1 j=1
Define 1j[a,b] := Jj 1[a,b] , where 1[a,b] is the indicator of [a, b]. For any a, b, c, d ∈ R
the functions 1j[a,b]
1
and 1j[c,d]
2
6 j2 are orthogonal in L2 (R).
with j1 =
Now we consider random processes defined by
βj (t) := h1j[0,t] , ·i, j = 1, 2, . . . , t ∈ R.
By (6.1.5) and (6.1.2) we have
E [βj (t)βj (s)] = (1j[0,t] , 1j[0,s] )L2 (R) = (1j[0,t] , 1j[0,s] )L2 (R)j
= (1[0,t] , 1[0,s] )L2 (R) = min{t; s}.
We also have
E [βj1 (t)βj2 (s)] = (1j[0,t]
1
, 1j[0,s]
2
)L2 (R) = 0
for j1 6= j2 . It follows that {βj (t), t ≥ 0}∞ j=1 is a sequence of independent
Brownian motions. We have the following decompositions for them:
*∞ Z +
j
X t
βj (t) = h1[0,t] , ·i = ξi (s) ds ξn(i,j) , ·
i=1 0
∞ Z
X t ∞ Z
X t
= ξi (s) ds hξn(i,j) , ·i = ξi (s) ds hǫn(i,j) ,
i=1 0 i=1 0
where ǫn := (0, 0, . . . , 1, 0, . . . ).
n
Now using these equalities we define Q-Wiener and cylindrical Wiener
processes in spaces (S)−ρ (H), 0 ≤ ρ ≤ 1.
For a cylindrical Wiener process W defined by the informal (generally
divergent) series (6.1.16) we obtain the following Fourier series with respect
to stochastic Hermit polynomials {hǫn }:
X X
W (t) = βj (t)ej = Wǫn (t) hǫn , t ∈ R, (6.1.19)
j∈N n∈N
where Z t
Wǫn (t) := ξi(n) (s) ds ej(n) ∈ H
0
and i(n), j(n) ∈ N are such that n(i(n), j(n)) = n.

Let Q be a positive trace class operator in a Hilbert space H defined by
the following decomposition:
∞
X ∞
X
Qh = σj2 (h, ej )ej , h ∈ H, or Q = σj2 (ej ⊗ ej ).1 (6.1.20)
j=1 j=1
The fact that Q ∈ P LTr (H) (the space of all trace class operators acting in
∞
H) implies T r Q = j=1 σj2 < ∞. For the Q-Wiener process WQ defined by
(6.1.15), the following equalities hold:
X X
WQ (t) = σj βj (t)ej = WǫQn (t) hǫn , (6.1.21)
j∈N n∈N
where Z t
WǫQn (t) := σj ξi(n) (s) ds ej(n) ∈ H, t ∈ R.
0
As we know, WQ (t) ∈ (L2 )(H) for all t ∈ R, but W (t) ∈ / (L2 )(H). At the
same time, for any h ∈ H, we have
2 X
E W (t), h = (ej , h)2 E βj2 (t) = tkhk2 .
j∈N

That means W (t), h ∈ (L2 ) = L2 (S ′ , B(S ′ ), µ). Moreover, using the estimate
Rt 3
ξ (s) ds = O (i− 4 ) from (6.1.8) and the condition (6.1.17), we obtain
0 i
X Z t 2
X 3
2
kW (t)k−1,−ρ = ξ (s) ds 2n(i, j) −2 ≤ O i − 2 −2 −2
j < ∞.
i
i,j∈N 0 i,j∈N
(6.1.22)
Therefore, W (t) ∈ (S−1 )−ρ (H) ⊂ (S)−ρ (H) for any 0 ≤ ρ ≤ 1.
Now define the H-valued Q-white noise by the equality obtained by infor-
mal differentiation of (6.1.21):
X X
WQ (t) := σj ξi (t) hǫn(i,j) ej = WQ
ǫn (t) hǫn , (6.1.23)
i,j∈N n∈N
where
WQ
ǫn (t) = σj ξi(n) (t) ej(n) ∈ H, t ∈ R,
1 Recall that for v ∈ V , u ∈ U , where V and U are Hilbert spaces, we denote by v ⊗ u
the operator acting from U to V , defined by the equality (v ⊗ u)h := v(u, h)U .
6.2. Analysis of (S)−ρ (H)-valued processes 241
and the cylindrical (or singular) white noise by the equality

X X
W(t) := ξi (t) hǫn(i,j) ej = Wǫn (t) hǫn , (6.1.24)
i,j∈N n∈N
Wǫn (t) = ξi(n) (t) ej(n) ∈ H, t ∈ R,

obtained by informal differentiation of (6.1.19).
1
Using the estimate ξi (t) = O i− 4 from (6.1.8), similarly to (6.1.22), we
2 2
have kWQ (t)k−1,−ρ < ∞ and kW(t)k−1,−ρ < ∞; thus both Q-white noise and
cylindrical white noise are in (S−1 )−ρ (H) ⊂ (S)−ρ (H), ρ ∈ [0, 1].
In the next section we introduce differentiation and integration for
(S)−ρ (H)-valued functions wrt parameter t and show that for all t ∈ R we
have
d d
WQ (t) = WQ (t) and W (t) = W(t).
dt dt
6.2 Analysis of (S)−ρ (H)-valued processes

To introduce differentiation and integration of (S)−ρ (H)-valued functions
of t ∈ R, we first describe in more detail the topology in (S)−ρ (H), which is
defined as the topology of uniform convergence on bounded subsets of (S)ρ .
For this we need the notion of boundedness in the space (S)−ρ (H), which is
defined in a similar way as in (S)ρ .
Definition 6.2.1 A set M ⊆ (S)−ρ (H) is called bounded if for any sequence
{Φn } ⊆ M and for any {εn } ⊂ R convergence εn → 0 implies that {εn Φn } is
convergent to zero in (S)−ρ (H).
The following propositions give characterizations of bounded sets in (S)−ρ (H).
Proposition 6.2.1 A set M is bounded in the space (S)−ρ (H) if and only
if for any bounded M ⊂ (S)ρ the set
{Φ[ϕ] : Φ ∈ M, ϕ ∈ M }
is bounded in H.
Proof. To prove the “only if” part, let M be a bounded subset of (S)−ρ (H).
Suppose there exists a bounded M ⊂ (S)ρ such that for any n ∈ N there
exist ϕn ∈ M Φn ∈ M such that kΦn [ϕn ]k > n. Then we have
and
sup 1 Φn [ϕk ] ≥ 1 Φn [ϕn ] > 1 and consequently { 1 Φn } is not uniformly
n n n
k∈N
convergent to zero on the bounded set {ϕk , k ∈ N} ⊆ M . Thus { n1 Φn } is not
convergent to zero in (S)−ρ (H).
The “if” part is evident.
Proposition 6.2.2 A set M ⊂ (S)−ρ (H) is bounded if and only if there exist
such p ∈ N and C > 0 that for any Φ ∈ M the inequality kΦ[ϕ]k ≤ C|ϕ|p,ρ
holds true for all ϕ ∈ (S)ρ .
Proof. First we prove the necessity of this condition. Suppose for any p ∈ N
there exist Φp ∈ M and ϕp ∈ M such that kΦp [ϕp ]k > p |ϕp |p,ρ . Denote
ϕn
ψn := .
|ϕn |n,ρ
The set M = {ψn : n ∈ N} is bounded in (S)ρ since for any p ∈ N we

|ϕn |p,ρ
have |ψn |p,ρ = ≤ 1 when n > p. By Proposition 6.2.1, the set
|ϕn |n,ρ
{Φ[ϕ] : Φ ∈ M, ϕ ∈ M } is bounded in H, which contradicts the inequality
kΦ [ψn ]k > n.
To prove the sufficiency, take p and C > 0 so that for any Φ ∈ M and
ϕ ∈ (S)ρ it holds that
kΦ[ϕ]k ≤ C|ϕ|p,ρ . (6.2.1)
Take a bounded M ⊂ (S)ρ . Since by Proposition 6.1.1 it is bounded in any
(Sp )ρ , it follows from (6.2.1) that the set {Φ[ϕ] : Φ ∈ M, ϕ ∈ M } is bounded
in H. By Proposition 6.2.1 the assertion follows.
Proposition 6.2.3 If a set M is bounded in (S)−ρ (H), then M ⊂

(S−p )−ρ (H) for some p ∈ N and M is bounded in (S−p )−ρ (H).
Proof. Let M be bounded in (S)−ρ (H). It follows from Proposition (6.2.2)

that any Φ ∈ M is bounded as operator from (Sp )ρ to H for some p ∈ N with
kΦkL((Sp )ρ ; H) ≤ C
for some C > 0. Denoting by Φ̃ the extension of Φ by continuity to (Sp )ρ and

taking an arbitrary orthonormal basis {ζi }∞
i=1 in (Sp+1 )ρ , we obtain
∞
X 2
= kΦ̃Ip,p+1 k2 =
kΦk2 Φ̃Ip,p+1 ζi ≤
LHS (Sp+1 )ρ ; H LHS (Sp+1 )ρ ; H H
i=1
∞
X
≤ C2
2
kIp,p+1 ζi kH = C 2 kIp,p+1 k .
LHS (Sp+1 )ρ ; (Sp )ρ
i=1
The next proposition gives a characterization of strong convergence in

(S)−ρ (H).
P P
Proposition 6.2.4 Let Φn = α Φα,n hα , Ψ = α Ψα hα ∈ (S)−ρ (H). The
following assertions are equivalent:
(i) {Φn } converges to Ψ in the space (S)−ρ (H);
(ii) for any α ∈ T lim kΦα,n − Ψα k = 0, each Φn and Ψ belong to

n→∞
(S−p )−ρ (H) for some p ∈ N and {Φn } is bounded in this space;
(iii) all elements of the sequence {Φn } and Ψ belong to (S−p )−ρ (H) for some
p ∈ N and lim kΦn − Ψk−p,−ρ = 0.
n→∞
Proof. (i) =⇒ (ii). Let {Φn } converge to Ψ in the space (S)−ρ (H). Then for
any α ∈ T we have
1
kΦα,n − Ψα k = kΦ(n) [hα ] − Ψ[hα ]k → 0 as n → ∞.
α!
By Proposition 6.1.3, Ψ ∈ (S−p )−ρ for some p ∈ N. For any bounded M ⊂
(Sρ ), for sufficiently large n, and for all ϕ ∈ M , it holds that kΦn [ϕ]−Φ[ϕ]k < 1
and consequently
kΦn [ϕ]k ≤ 1 + kΨk−p,−ρ |ϕ|p,ρ ≤ 1 + kΨk−p,−ρ Cp ,
where Cp = supϕ∈M |ϕ|p,ρ . By Proposition 6.2.1, the sequence {Φn } is

bounded in (S)−ρ (H). It follows from Proposition 6.2.3 that the sequence
belongs to some (S−q )−ρ (H) and is bounded in it.
(ii) =⇒ (iii). Let {Φn } and Ψ satisfy (ii). By (6.1.13) and (6.1.14), one
can assume that there exists such q that for all p > q the sequence {Φn } and
Ψ belong to (S−p )−ρ (H) and {Φn } are bounded by the norm of each of these
spaces by some C > 0.
Let Index α := max{n ∈ N : αn 6= 0}. The following estimate holds true:
kΦn − Ψk2−(p+1),−ρ
X
= (α!)1−ρ kΦα,n − Ψα k2 (2N)−2(p+1)α
Index α≤k
X
+ (α!)1−ρ kΦα,n − Ψα k2 (2N)−2(p+1)α
Index α>k
X
≤ max (α!)1−ρ kΦα,n − Ψα k2 · (2N)−2(p+1)α
Index α≤k
Index α≤k
X h i
+ (α!)1−ρ 2kΦα,n k2 + 2kΨα k2 (2N)−2pα (2N)−2α
Index α>k
X
≤ max (α!)1−ρ kΦα,n − Ψα k2 · A(2p + 1) + 4C 2 · (2N)−2α ,
Index α≤k
Index α>k
where A(2p + 1) is defined in (6.1.11) and A(p) < ∞ for p > 1.

Now for any ε > 0 first choose k so that
X ε
(2N)−2α < ,
8C 2
Index α>k
then choose N so that for all n > N it holds that

ε
max (α!)1−ρ kΦα,n − Ψα k2 < .
Index α≤k 2A(2p + 2)
Then kΦn − Ψk2−(p+1),−ρ < ε for all n > N .

(iii) =⇒ (i) is evident.
We will understand the limit of a function Φ(·) : R → (S)−ρ (H) at a point
t0 ∈ R in the sense of strong convergence in the space (S)−ρ (H). The derivative
will be defined as usual with the limit being understood in the above sense.
The next corollary follows from Proposition 6.2.4.
P
Corollary 6.2.1 Let t0 P ∈ (a, b) and Φ(t) = α Φα (t)hα ∈ (S)−ρ (H) for all
t ∈ (a, b) \ {t0 }. Let Ψ = α Ψα hα ∈ (S)−ρ (H), then the next assertions are
equivalent:
(i) lim Φ(t) = Ψ in the space (S)−ρ (H);
t→t0
(ii) lim kΦα (t) − Ψα k = 0 for any α ∈ T and there exist δ > 0, p ∈ N and
t→t0
M > 0 such that kΦ(t)k−p,−ρ ≤ M for any t ∈ (a, b) with 0 < |t−t0 | < δ,
Ψ ∈ (S−p )−ρ (H);
(iii) there exist δ > 0, p ∈ N such that Φ(t) ∈ (S−p )−ρ (H) for any t ∈ (a, b)
with 0 < |t − t0 | < δ, Ψ ∈ (S−p )−ρ (H) and lim kΦ(t) − Ψk−p,−ρ = 0.
t→t0
The proof entirely repeats the steps of the proof of Proposition 6.2.4 and
thus is omitted. Applying Corollary 6.2.1, we obtain the following statement.
P
Corollary 6.2.2 Let t0 ∈ (a, b) and Φ(t) = α Φα (t)hα ∈ (S)−ρ (H) for all
t ∈ (a, b) \ {t0 }, then the next assertions are equivalent:
d
(i) Φ(t) is differentiable at t0 with Φ(t0 ) = Ψ;
dt
(ii) for any α ∈ T the function Φα : (a, b) → H is differentiable at the point
t0 , X
Ψ := Φ′α (t0 )hα ∈ (S−p )−ρ (H)
α

Φ(t) − Φ(t0 )
and there exist δ > 0, p ∈ N, C > 0 such that

≤C
t − t0 −p,−ρ
for any t ∈ (a, b) with 0 < |t − t0 | < δ;
dΦ Φ(t) − Φ(t0 )
(iii) := lim exists in the space (S−p )−ρ (H) for some p.
dt t→t0 t − t0
Making use of this corollary one can prove that the cylindrical Wiener
process W (t) defined by (6.1.19) (and, of course, Q-Wiener process WQ (t) de-
fined by (6.1.21)) is differentiable everywhere in R and its derivative coincides
with the white noise W(t), defined by (6.1.24). This is indeed the case since
dWǫn
for any t0 ∈ R and any n ∈ N we have (t0 ) = Wǫn (t0 ). Moreover, using
1
dt
− 12
the estimate supt∈R |ξi (t)| = O(i ) from (6.1.8) we obtain
2
W (t) − W (t0 ) X 1 Z t
= ξi (τ ) dτ ej −2pǫn(i,j)
t − t0 t − t0 (2N)
−p,−ρ i,j∈N t0
X 2 X 1
≤ sup |ξi (t)| (2n(i, j))−2p ≤ C i−2p− 6 j −2p < ∞
i,j∈N t∈R i,j∈N
for any p ≥ 1, which shows that condition (ii) of Corollary 6.2.2 is fulfilled.
1
Similarly, using the estimate supt∈R |ξi (t)| = O (i− 12 ) and the well-known
property of Hermite functions
r r
′ ′ i i+1
ξ1 (t) = ξ2 (t), ξi (t) = ξi−1 (t) + ξi+1 (t), i = 2, 3, . . . ,
2 2
which implies the estimate
(n) 1 n
sup |ξi (t)| = O (i− 12 + 2 ), (6.2.2)
t∈R
one can show that W(t) is infinitely differentiable as a (S)−ρ (H)-valued func-
tion.
We will call a function Φ(·) : R → (S)−ρ (H) integrable on a measurable set
G ⊂ R if there exists p ∈ N such that for any t ∈ G, Φ(t) ∈ (S−p )−ρ (H) and
Φ is Bochner integrable on G as a function with values in the Hilbert space
(S−p )−ρ (H).
It follows from the equality (6.1.12) expressing the norm k · k−p,−ρ that for
any α ∈ T we have the estimate
(2N)2pα
kΦα k2H ≤ kΦk2−p,−ρ
(α!)1−ρ
P
which implies that if Φ(t) = α Φα (t)hα is integrable on G, then for any
α ∈ T the function Φα (t) is Bochner integrable on G as an H-valued function.
Moreover, we have the following sufficient condition of integrability.
Proposition 6.2.5 Let Φ(·) : R → (S)−ρ (H) be defined by decomposition
X
Φ(t) := Φα (t)hα .
α∈T
If for any α ∈ T , Φα : R → H is square Bochner integrable on G ⊂ R with the

Lebesque measure P (G) < ∞, Φ(t) ∈ (S−q )−ρ (H) for all t ∈ G, and
X Z
1−ρ
−2qα
(α!) kΦα (t)k2H dt 2N <∞ (6.2.3)
α G
for some q ∈ N, then Φ(t) is integrable on G and

Z XZ
Φ(t) dt = Φα (t) dt hα . (6.2.4)
G α G
Proof. Let {α(k) }∞

n=1 be a fixed ordering of the set T of multiindices. Let it
be such that
lim |α(k) | = ∞ and lim Index α(k) = lim max{n ∈ N : α(k)
n 6= 0} = ∞.
k→∞ k→∞ n→∞
Since Φ(t) ∈ (S−q )−ρ (H), the sequence defined by

n
X
Fn (t) := Φα(k) (t)hα(k) ,
k=1
converges to Φ(t) in this space for any t ∈ G. It follows from the equality
1−ρ
kΦα(k) (t)hα(k) k−p,−ρ = (α!) 2 kΦα(k) (t)kH (2N)−pα
that any Φα(k) (t)hα(k) , k ∈ N, and consequently all Fn (t) are Bochner in-
tegrable
Z as (S−p )−ρ (H)-valued functions for any p ∈ N ∪ {0}; thus we have
kFn (t)k−p,−ρ dt < ∞ for any p ∈ N ∪ {0}. It is also easy to see that
ZG Z
Φα(k) (t)hα(k) dt = Φα(k) (t) dthα(k) (note that the left-hand side is a
G G
Bochner integral of an (S−p )−ρ (H)-valued function and the integral in the
right-hand side is a Bochner integral of an H-valued function); thus
Z n Z
X
Fn (t) dt = Φα(k) (t) dthα(k) . (6.2.5)
G k=1 G
Using the condition (6.2.3) we obtain

Z Z 21
p
kFn (t)k−q,−ρ dt ≤ P (G) kFn (t)k2−q,−ρ dt
G G
n Z ! 21
p X 1−ρ (k)
(k)
= P (G) (α )! kΦα(k) (t)k2H dt(2N)−2qα
k=1 G
∞ Z ! 12
p X 1−ρ (k)
≤ P (G) (α(k) )! kΦα(k) (t)k2H dt(2N)−2qα =: C,
k=1 G
where P (G) is the Lebesque measure of G. It follows from here that

since
Z kFn (t)k−q,−ρ → kΦ(t)k−q,−ρ for t ∈ G, by the Fatou lemma,
kΦ(t)k−q,−ρ dt < ∞ and
G
Z Z
lim kFn (t)k−q,−ρ dt = kΦ(t)k−q,−ρ dt.
n→∞ G G
6.3. S-transform and Wick product. Hitsuda–Skorohod integral 247
Therefore, Φ(t) is Bochner

Z integrable on G as a (S−q )−ρ (H)-valued function.
We also obtain kΦ(t)k−q,−ρ dt < C and we have
G
Z Z Z
kFn (t) − Φ(t)k−q,−ρ dt ≤ kFn (t)k−q,−ρ dt + kΦ(t)k−q,−ρ dt ≤ 2M.
G G G
Since kFn (t) − Φ(t)k−q,−ρ → 0, by the Fatou lemma we deduce that

Z
kFn (t) − Φ(t)k−q,−ρ dt → 0
G
and by
Z Z Z

Fn (t) dt − Φ(t) dt ≤ kFn (t) − Φ(t)k−q,−ρ dt,

G G −q,−ρ G
Z Z
we finally obtain lim Fn (t) dt = Φ(t) dt in (S−p )−ρ (H). Therefore,
n→∞ G G
(6.2.4) follows from (6.2.5).
6.3 S-transform and Wick product. Hitsuda–Skorohod

integral. Main properties. Connection with Itô inte-
gral
1 2
Consider the function defined on S ′ by Eθ (·) := ehθ,·i− 2 |θ|0 . It is called the
exponential function associated to θ, or renormalized exponential function. It
plays an important role in white noise analysis, in particular in the definition
of the S-transform. We have the following decomposition of Eθ into the series
of the stochastic Hermite polynomials:
X
Eθ = Eα,θ hα .
α∈T
Let us show that for the Fourier coefficients the following equalities hold:
∞
1 Y
Eα,θ = (θ, ξi )α
L2 (R) .
i
(6.3.1)
α! i=1
We use the formula (6.1.4) and the following

Qn Take θ ∈ S, a
calculation.
stochastic Hermite polynomial hα (·) = i=1 hαi h·, ξi i , and consider the
decomposition
Xn
θ= (θ, ξi )L2 (R) ξi + θ⊥ ,
i=1
where θ⊥ is orthogonal to ξ1 , . . . , ξn in L2 (R). Then

Z
1 1 1 1 2
Eα,θ = Eθ , hα (L2 ) = E [Eθ hα ] = ehω,θi− 2 |θ|0 hα (ω) dµ(ω)
α! α! α!
S′
Z X
n
1 θ⊥
= exp hω, ξi i(θ, ξi )L2 (R) + hω, i|θ⊥ |0 −
α! i=1
|θ⊥ |0
S′
1 X
n
Y n

− (θ, ξi )L2 (R) + |θ⊥ |20 · hαi hω, ξi i dµ(ω),
2 i=1 i=1
and by the formula (6.1.4), where
x1 := (θ, ξ1 ), . . . , xn := (θ, ξn ), xn+1 := θ⊥ /|θ⊥ |0 ,
we obtain
X
n
f (x1 , . . . , xn+1 ) := exp xi (θ, ξi )L2 (R) + xn+1 |θ⊥ |0 −
i=1
n
1 X
n
Yn
− 12 x2i
P
2 ⊥ 2
− (θ, ξi )L2 (R) + |θ |0 · hαi (xi )e i=1 .
2 i=1 i=1
It follows that
Z
1
Eα,θ = n+1 f (x1 , . . . , xn+1 )dx1 ...dxn+1
α!(2π) 2
Rn+1
n Z
1 Y 1 1 2 − 12 x2i
= √ exp xi (θ, ξi )L2 (R) − (θ, ξi )L2 (R) hαi (xi )e dxi
α! i=1 2π 2
R
Z
1 ⊥ 1 ⊥2 1 2
· √ exp x|θ |0 − |θ |0 − x dx.
2π 2 2
R
Recalling that for the generating function of the Hermite polynomials

X∞ n
2
xt− t2 t
ψ(x, t) := e = hn (x),
n=0
n!
the following equality holds for n = 0, 1, 2, . . . :

Z
1 t2 x2
(ψ(·, t), hn ) 2 1 − x2 = √ ext− 2 hn (x)e− 2 dx = tn ,
L R; 2π e
√ 2 dx 2π R
we obtain (6.3.1)
n ∞
1 Y 1 Y
Eα,θ = (θ, ξi )αi
L2 (R) = (θ, ξi )α
L2 (R) .
i
α! i=1 α! i=1
Now taking into account the following estimate for Eθ :

h 2ρ−1 2 i
|Eθ |p,ρ ≤ 2ρ/2 exp (1 − ρ) 1−ρ |θ|p1−ρ , (6.3.2)
(see, e.g., [59]), we see that for any θ ∈ S the exponential function Eθ belongs
to (S)ρ for any 0 ≤ ρ < 1. This allows us to define the S-transform of Φ ∈
(S)−ρ (H), 0 ≤ ρ < 1, by the equality
(SΦ)(θ) := Φ[Eθ ], θ ∈ S.
We see that the S-transform of Φ ∈ (S)−ρ (H) is an H-valued function of θ ∈ S.

Note that if Φ ∈ (L2 )(H), we have
Z
(SΦ)(θ) = Φ(ω)Eθ (ω) dµ(ω) = E(ΦEθ ) (6.3.3)
S′
and the equality (6.3.3) holds for all θ ∈ L2 (R).

A very important property of the exponential functions Eθ is that they
form a linearly dense subset in (S)ρ (0 ≤ ρ < 1) and hence in (L2 ) and in any
(Sp )ρ . It follows from here that the equality (SΦ)(θ) = 0 for all θ ∈ S implies
Φ = 0. Thus any element of (S)−ρ (0 ≤ ρ < 1) is uniquely determined by its
S-transform.
Since any Φ ∈ (S)−ρ (H) belongs to (S−p )−ρ (H) for some p ∈ N, it follows
from the estimate (6.3.2) that for any Φ ∈ (S)−ρ (H) there exists p ∈ N such
that
k(SΦ)(θ)k = kΦ[Eθ ]k ≤ kΦk−p,−ρ kEθ kp,ρ

h 2ρ−1 2 i
≤ 2ρ/2 kΦk−p,−ρ exp (1 − ρ) 1−ρ |θ|p1−ρ . (6.3.4)
It happens that an estimate of this type is sufficient for an H-valued func-

tion acting from S to H to be an S-transform of a generalized H-valued random
variable. Namely, the following characteristic theorem is true.
Theorem 6.3.1 Let Φ ∈ (S)−ρ (H), 0 ≤ ρ < 1. Then a function F = SΦ
satisfies the conditions:
1) for all θ, η ∈ S the function F (θ + zη) is an entire analytic function of
z ∈ C;
2) there exist C > 0, a > 0, p ∈ N such that
2

kF (θ)k ≤ C exp a|θ|p1−ρ , θ ∈ S.
If a function F : S → H satisfies conditions 1 and 2, there exists a

unique function Φ ∈ (S)−ρ (H) such that F = SΦ and for any q such that
1−ρ P
2a ∞
e2 1−ρ i=1 (2i)
−2(q−p)
< 1 it holds that
1−ρ X
∞
!−1/2
2 2a −2(q−p)
kΦk−q,−ρ ≤ C 1−e (2i) .
1−ρ i=1
We omit the proof as it almost completely repeats the one in the R-valued
case (see, e.g., [59]).
Example 6.3.1 Consider the S-transforms of the Q-white noise and the
cylindrical white noise. We have
X
SWQ (t) (θ) = WQ (t) Eθ = ξi (t)σj ej (ξn(i,j) , θ)L2 (R) , (6.3.5)
i,j∈N
X
SW(t) (θ) = W(t) Eθ = ξi (t)ej (ξn(i,j) , θ)L2 (R) , t ∈ R.
i,j∈N
We also have
X 2
SWQ (·) (θ) 2 2 = σj2 (ξn(i,j) , θ)L2 (R)
L (R;H)
i,j∈N
and since the functions ξi (t)ej , i, j ∈ N, form an orthonormal basis in the

space L2 (R; H) , we have
X
SW(·) (θ) 2 2 = (ξn(i,j) , θ)L2 (R) 2 = |θ|2 2 .
L (R;H) L (R)
i,j∈N
Let H be another separable Hilbert space. The space LHS (H; H) of all
Hilbert–Schmidt operators acting from H to H is a separable
Hilbert space;
therefore, we can introduce the space (S)−ρ LHS (H; H) of LHS (H; H)-valued
generalized random variables over the space (S)ρ of test functions in the same
manner as was done in Section 4.1.
Consider Ψ ∈ (S)−ρ LHS (H; H) and Φ ∈ (S)−ρ (H). Their S-transforms
satisfy conditions 1 and 2 of the Theorem 6.3.1. For any θ ∈ S we have
SΨ(θ) ∈ LHS (H; H), SΦ(θ) ∈ H; therefore, the values of the function F (θ) :=
SΨ(θ)SΦ(θ) belong to H and for any θ, η ∈ S the function F (θ + zη) of z ∈ C
is analytic. We have
2

kSΨ(θ)SΦ(θ)kH ≤ kSΨ(θ)kLHS (H;H) kSΦ(θ)kH ≤ C1 C2 exp (a1 + a2 )|θ|p1−ρ ,
where C1 , C2 , a1 , a2 are the constants from condition 2 of Theorem 6.3.1, which

holds true for Ψ and Φ correspondingly (we evidently can presume these con-
ditions to be fulfilled with the same p). Thus F is an S-transform of some
generalized random variable Θ ∈ (S)−ρ (H).
This justifies the following definition.

Definition 6.3.1 Let Ψ ∈ (S)−ρ LHS (H; H) , Φ ∈ (S)−ρ (H) (0 ≤ ρ < 1). A
generalized random variable Θ ∈ (S)−ρ (H) such that
SΘ = SΨSΦ
is called the Wick product of Ψ and Φ and is denoted by Ψ ⋄ Φ.
The following equalities follow from decomposition (6.3.1):
X ∞
Y X ∞
Y
SΨ(θ) = Ψα (θ, ξi )α
L2 (R) ,
i
SΦ(θ) = Φα (θ, ξi )α
L2 (R) ,
i
α∈T i=1 α∈T i=1
where Ψα ∈ LHS (H; H), Φα ∈ H. It follows that

 
X X ∞
Y
SΨ(θ)SΦ(θ) =  Ψα Φβ  (θ, ξi )γLi2 (R) .
γ∈T α+β=γ i=1
By the uniqueness of the S-transform we obtain

 
X X
Ψ⋄Φ=  Ψ α Φ β  hγ .
γ∈T α+β=γ
Let Q be a positive trace class operator in H defined by (6.1.20), where

{ej } is the fixed orthonormal basis in H consisting of eigenvectors of Q with
1
Qej = σj2 ej . Recall the space HQ defined in Section 4.1 as the space Q 2 (H)
1 1
endowed with the scalar product (u, v)HQ = (Q− 2 u, Q− 2 v)H .
The following proposition shows that under a condition on decreasing of
the sequence {σj2 }, along with W(t) ∈ (S)−ρ (H), we have W(t) ∈ (S)−ρ (HQ ).
Proposition 6.3.1 For any t ∈ R and any positive Q ∈ LTr (H) it holds that
WQ (t) ∈ (S)−ρ (HQ ) for all ρ ∈ [0, 1). If, moreover, the condition
∞
X
σj−2 j −2p < ∞ for some p ∈ N (6.3.6)
j=1
holds, then W(t) ∈ (S)−ρ (HQ ) for all t ∈ R.

Proof. The first assertion follows from the estimate
−2pǫn(i,j) −2p |ξi (t)|2 −2p− 21 −2p

kWQ 2
ǫn(i,j)kHQ 2N = |ξi (t)|2 2n(i, j) ≤ 2p = O i j .
2ij
The second assertion follows from the estimate
−2pǫn(i,j) −2p
kWǫn(i,j) k2HQ 2N = |ξi (t)|2 σj−2 2n(i, j)
|ξi (t)|2 1
≤ 2p = O σj−2 i−2p− 2 j −2p .
σj2 2ij
We will use this property of W(t) in the construction of solutions to

stochastic Cauchy problems with singular white noise.
Let again H be another separable Hilbert space. Consider L(H; H), the
space of all linear bounded operators from H to H. Since it is not a separable
Hilbert space, we cannot introduce the space of L(H; H)-valued generalized
random variables as the space (S)−ρ LHS (H; H) above. Nevertheless, we will
introduce the notion of a generalized operator-valued random variable due to
the following proposition.
Proposition 6.3.2 Any generalized

L(H; H)-valued random variable Φ be-
longs to (S)−ρ LHS (HQ ; H) .
Proof. First note that by the same argument as in the proof of Proposition
6.1.2 one can show that any generalized L(H; H)-valued random variable Φ
belongs to L (Sp )ρ ; L(H; H) for some p ∈ N and thus we have
v
uX
u∞ 2
kΦ[ϕ]kLHS (HQ ;H) ≤ kΦk t σj · kϕkp,ρ , ϕ ∈ (S)ρ .
L (Sp )ρ ;L(H;H)
j=1
It follows that Φ is a continuous operator from (S)ρ to LHS (HQ ; H).

This justifies the following definition of a generalized operator-valued ran-
dom variable.
Definition 6.3.2 A linear continuous operator Φ : (S)ρ → L(H; H) is called

a generalized L(H; H)-valued random variable.
It follows from Propositions 6.3.1 and 6.3.2 that for any generalized
L(H; H)-valued random process Φ(t), the Wick product Φ(t) ⋄ WQ (t) is well
defined for all t and belongs
to the space (S)−ρ (H) since we can consider
Φ(t)
as an (S)−ρ LHS (HQ ; H) valued process and W (t) as an (S)−ρ HQ valued
one.
Taking the operator Q under the condition (6.3.6) and again considering
Φ(t) as an (S)−ρ LHS (HQ ; H) -valued process, we obtain that the Wick prod-
uct Φ(t) ⋄ W(t) is also well defined and belongs to the space (S)−ρ (H) for all
t ∈ R. This justifies the following definition.
Definition 6.3.3 We will call a generalized L(H; H)-valued random process

Φ(t) Hitsuda–Skorohod integrable with respect to the Q-white noise WQ (t) or
singular white noise W(t) on [0, T ] if Φ(t) ⋄ WQ (t) or Φ(t) ⋄ W(t), respectively,
is integrable on [0, T ] as an (S)−ρ (H)-valued function. In such a case we will
refer to the integrals
Z T Z T
Φ(t) ⋄ WQ (t) dt and Φ(t) ⋄ W(t) dt
0 0
as Hitsuda–Skorohod integrals of Φ(t).

6.4. Generalized solutions to stochastic Cauchy problems 253
The following result establishes the relationship between abstract Itô in-
tegrals and Hitsuda–Skorohod integrals.
Theorem 6.3.2 For any predictable LHS (HQ ; H)-valued process Φ satisfying
the condition "Z #
T
2
E kΦ(t)kLHS (HQ ;H) dt < ∞, (6.3.7)
0
any Q-Wiener process W , and the corresponding Q-white noise W, it holds

that Z T Z T
Φ(t) dW (t) = Φ(t) ⋄ W(t) dt. (6.3.8)
0 0
For any predictable LHS (H; H)-valued process Φ satisfying the condition
"Z #
T
E kΦ(t)k2LHS (H;H) dt < ∞,
0
the equality (6.3.8) holds for any cylindrical Wiener process W and the cor-
responding singular white noise W.
We will prove this important result for the special case of a deterministic
integrand Φ in the next section while studying solutions to stochastic linear
equations in spaces of generalized Hilbert space valued random processes and
the relationship between these solutions and weak solutions constructed in
Chapter 4. The proof of Theorem 6.3.2 in the general case, which is due to
[6], will be presented in the conclusion of the section.
6.4 Generalized solutions to stochastic Cauchy problems

in spaces of abstract stochastic distributions
In the present section we construct generalized wrt ω solutions to the
problem
X ′ (t) = AX(t) + BW(t), t ≥ 0, X(0) = ζ, (6.4.1)
with additive and multiplicative (B = B(t, X)) white noise defined in spaces
of generalized Hilbert space valued random variables (or abstract stochastic
distributions) introduced in Section 6.2.
To obtain generalized solutions for the problem with a white noise (Q-
white noise or singular white noise) in the spaces of generalized Hilbert space
valued random variables, we use the technique of Fourier series wrt stochastic
polynomials, Wick products, and Hitsuda–Skorohod integrals introduced in
these spaces. In the construction of generalized wrt ω solutions, a stochastic
convolution, being the main part of the solutions, is again needed. This is
similar to the case of stochastic problems in the integral form and the case
of generalized wrt t stochastic problems in differential form. The stochastic
convolution here is defined with the help of Hitsuda–Skorohod integrals.
In the case of the linear Cauchy problem with additive noise we also study
the relationship between generalized wrt ω solutions and weak solutions of the
corresponding integral problem.
6.4.1 Equations with additive noise. Example: stochastic

heat equation
In order to consider stochastic differential equations in Hilbert spaces as
differential equations in spaces of generalized Hilbert space valued random
variables, we first extend the action of linear operators acting in separable
Hilbert spaces to the corresponding spaces of generalized random variables.
Let first A ∈ L(H1 , H2 ), where H1 and H2 are separable Hilbert spaces.
Define its action as an operator from (S)−ρ (H1 ) to (S)−ρ (H2 ) by the equality
X X
AΦ := AΦα hα for Φ = Φα hα ∈ (S)−ρ (H1 ). (6.4.2)
α∈T α∈T
Defined in such a way, A becomes a linear continuous operator acting from

(S)−ρ (H1 ) to (S)−ρ (H2 ).
IfPA is unbounded, define (dom A) ⊆ (S)−ρ (H1 ), ρ ∈ [0, 1), as the set of
all α∈T Φα hα ∈ (S)−ρ (H1 ) such that Φα ∈ dom A for all α ∈ T and the
condition X −2pα
(α!)1−ρ kAΦα k2H2 2N <∞
α∈T
holds true for some p ∈ N.
Then the equality (6.4.2) defines on (dom A) a linear operator acting from
(S)−ρ (H1 ) to (S)−ρ (H2 ). It is easy to check its closedness for A being closed
as an operator from H1 to H2 . As a consequence, the following is true.
Proposition 6.4.1 Let A be a linear closed operator
from H1 to H2 . Then
for any Φ ∈ (dom A) ⊆ (S)−ρ (H1 ), we have SΦ (θ) ∈ dom A ⊆ H1 and

SAΦ (θ) = A SΦ (θ), θ ∈ S.
Now let H and H be separable Hilbert spaces, A be a closed linear operator
acting in H, and B ∈ L(H, H). Consider the stochastic Cauchy problem stud-
ied in Chapter 4, which is written in the integral form with the Itô integral as
follows:
Z t Z t
X(t) = AX(t) dt + B dW (t), t ≥ 0, X(0) = ζ,
0 0
where W (t) is an H-valued Q-Wiener or cylindrical Wiener process. It is writ-

ten via differentials:
dX(t) = AX(t)dt + BdW (t), t ≥ 0, X(0) = ζ. (6.4.3)
It follows from the relationship between the Itô and the Hitsuda–Skorohod
integrals formulated in Theorem 6.3.2 that in the spaces of generalized Hilbert
space valued random variables the problem (6.4.3) can be written as
Z t Z t
X(t) = AX(t) dt + B ⋄ W(t) dt, t ≥ 0. (6.4.4)
0 0
We begin our study of stochastic Cauchy problems in the spaces of gen-

eralized Hilbert space valued random variables with the linear equation with
additive noise. Taking into account that in this case B ⋄W(t) = BW(t) since B
is deterministic, we differentiate Equation (6.4.4) and obtain that the Cauchy
problem (6.4.3) in the spaces introduced above of generalized random variables
takes the form
X ′ (t) = AX(t) + BW(t), t ≥ 0, X(0) = ζ, (6.4.5)
where W(t), t ≥ 0, is the H-valued Q-white noise or singular white noise
defined by (6.1.23)–(6.1.24). The Cauchy problem (6.4.5) formally looks like
the generalized wrt t Cauchy problem (6.4.1); nevertheless, the white noise
and hence a solution to the problem have different senses here. In particular,
the white noise W(t) is defined for any t ≥ 0, in contrast to the case of W(·)
in the space of distributions D0′ (H).
Now we establish the existence and uniqueness of a solution to this problem
in the space (S)−ρ (H), i.e., the existence and uniqueness of an (S)−ρ (H)-
valued differentiable function X(t), t ≥ 0, satisfying (6.4.5).
Theorem 6.4.1 Let A be the generator of a C0 -semigroup {U (t), t ≥ 0} in
a separable Hilbert space H, W be a singular white noise in (S)−ρ (H), where
H is another separable Hilbert space, and B ∈ L(H, H). Then
Z t
X(t) = U (t)ζ + U (t − s)BW(s) ds (6.4.6)
0
is the unique solution

to the Cauchy problem (6.4.5) in the space (S)−ρ (H)
for any ζ ∈ dom A .
Proof. Let
X X
X(t) = Xα (t)hα ∈ (S)−ρ (H), ζ= ζα hα ∈ (dom A).
α α
The process {X(t), t ≥ 0} is a solution of the problem (6.4.5) only if the

functions Xα (t) are the solutions of the following Cauchy problems in the
space H:
Xǫ′n (t) = AXǫn (t) + BWǫn (t), t ≥ 0, Xǫn (0) = ζǫn , (6.4.7)
for any α = ǫn , where n ∈ N, and
Xα′ (t) = AXα (t), t ≥ 0, Xα (0) = ζα , (6.4.8)
for any α 6= ǫn .
Since A is the generator of a C0 -semigroup, the corresponding homoge-
neous Cauchy problem is well-posed (see Section 1.1) and Xα (t) := U (t)ζα ,
t ≥ 0, is the unique solution to the problem (6.4.8) for each α 6= ǫn , n ∈ N,
since ζα ∈ dom A for all α ∈ T .
For any n ∈ N, by (6.1.24), we have BWǫn (t) = Bej ξi (t), where i, j ∈ N
are such that n = n(i, j). Hence it is infinitely differentiable for all t ∈ R.
Therefore, the function
Z t Z t
vn (t) := U (t − s)BWǫn (s) ds = U (s)BWǫn (t − s) ds
0 0
is differentiable and by the well-known properties of C0 -semigroups is contin-

uous and belongs to dom A for t ≥ 0. Thus the Cauchy problem (6.4.7) has
the unique solution given by
Z t
Xǫn (t) = U (t)ζǫn + U (t − s)BWǫn (s) ds, n ∈ N. (6.4.9)
0
P
Consider X(t) = α Xα (t)hα with Xα (t) = U (t)ζα , t ≥ 0, for α = 6 ǫn ,
n ∈ N, and Xα (t) defined by (6.4.9) for all the other α ∈ T . Let us show that
X(t) ∈ (S)−0 (H) and the equality (6.4.6) is true.
Since U is a C0 -semigroup, there exist M > 0 and a ∈ R such that
kU (t)k ≤ M eat , t ≥ 0. (6.4.10)
It follows from the estimate

Z t Z t

U (t − s)BWǫn (s) 2 ds ≤ M 2 kBk2 e2a(t−s) |ξi(n) (s)|2 ds ≤ M 2 kBk2 e2at
H
0 0
that for p ≥ 1 we have

XZ t
U (t − s)BWǫn (s) 2 ds (2N)−2pǫn < ∞.
H
n∈N 0
Rt
By Proposition 6.2.5, it follows from here that the integral 0 U (t−s)BW(s)ds
exists as an element of (S)−0 (H) for all t ≥ 0 and
Z t ∞ Z
X t
U (t − s)BW(s)ds = U (t − s)BWǫn (s) ds.
0 n=1 0
X
We evidently have U (t)ζ = U (t)ζα hα ∈ (S)−0 (H). Thus, for Xα (t) de-
α∈TP
fined by (6.4.7)–(6.4.8), X(t) = α Xα (t)hα ∈ (S)−0 (H), t ≥ 0, and the
equality (6.4.6) holds true.
To complete the proof, it is sufficient to show that X(t) is differentiable for
t ≥ 0. Then the equality in (6.4.5) follows from (6.4.7), (6.4.8), and closedness
of A.
Let t ∈ [0, T ); then, since ζα ∈ dom A for any α ∈ T , we have
U (t + h)ζ − U (t)ζ Z t+h
α α 1

= U (s)Aζα ds ≤ M eaT kAζα k.
h |h| t
Since ζ ∈ dom A ⊂ (S)−0 (H), we have
X
kAζk2−p,−0 = (α!)kAζα k2 (2N)−2pα < ∞
α∈T
for some p ∈ N; thus, for all h ∈ R such that t + h ∈ [0, T ], we have

U (t + h)ζ − U (t)ζ
≤ M eaT kAζk−p,−0 . (6.4.11)
h
We also have
1 Z t+h Z t

U (t + h − s)Wǫn(i,j) (s) ds − U (t − s)Wǫn (s) ds
h 0 0
Z t+h
1
= U (s)ξi (t + h − s)Bej ds
|h| t
Z t

+ U (s) ξi (t + h − s) − ξi (t − s) Bej ≤
0
aT
5
≤ Me kBk sup |ξi (t)| + T sup |ξi′ (t)| = O(i 12 )
[0,T ] [0,T ]
by the estimate (6.2.2), uniformly with respect to h such that t + h ∈ [0, T ].

It follows from here that
Z t+h Z t !
1
U (t + h − s)BW(s) ds − U (t − s)BW(s) ds ≤ C,
h
0 0 −p,ρ
(6.4.12)
for p ≥ 2, some C > 0, and h such that t + h ∈ [0, T ]. It follows from
X (t + h) − X (t)
α α
(6.4.11) and (6.4.12) that is bounded for arbitrary
h −p,−0
t + h ∈ [0, T ] and for some p ∈ N. By Corollary 6.2.2, it follows from here and
the differentiability of all Xα , α ∈ T , that X ′ (t) exists.
Example 6.4.1 Consider the following Cauchy problem for the heat equa-
tion:
∂u(t, x)
= △u(t, x) =: Au(t, x), t ≥ 0, x = (x1 , . . . , xm ) ∈ G ⊂ Rm ,
∂t
u(t, x) = 0, t ≥ 0, x ∈ ∂G,
u(0, x) = ζ(x), x ∈ G,
and the following stochastic perturbation of the problem:

dX(t)
= AX(t) + W(t), u(0) = ζ. (6.4.13)
dt
By ∂G we denote the boundary of G ⊂ Rm . Then A = ∆ is the operator in
2
the Hilbert space H = L G with

dom A = u ∈ L2 G : u ∈ H2 G ∩ H01 G ,
where H2 and H01 are Sobolev spaces. Suppose G = [0, 1]m . In this case the
set of functions
n m
m
Y o
φn1 ,...,nm (x1 , . . . , xm ) := 2 2 sin (πnk xk ) , n1 , . . . , nm ∈ N ∪ {0}
k=1
consists of eigenfunctions of A and forms an orthonormal basis in H. The

corresponding eigenvalues
n X m o
− π 2 n2k , n1 , . . . , nm ∈ N ∪ {0}
k=1
form its spectrum. (Compare with Example 4.2.2, where we considered the
backward Cauchy problem.)
Let us fix an ordering of the sets of the eigenfunctions and eigenvalues,
and denote them by {ej }∞ ∞
j=1 and {λj }j=1 , respectively. Operator A generates
a C0 -semigroup, given by the formula
∞
X
U (t)u = eλj t (ej , u)H ej .
j=1
By Theorem 6.4.1, the problem (6.4.13) has a unique solution in the space
(S)−ρ (H) and we have the explicit formula (6.4.6) for it. Thus we obtain
X∞ ∞ Z t
X
X(t) = eλj t (ej , ζ)H ej + eλj (t−s) ξi (s) ds hǫn(i,j) ej .
j=1 i,j=1 0
Consider the norm of X(t) in (S−p )−ρ (H). We have

2
X Z t
kX(t)k2−p,−ρ = kU (t)ζk2H + e λj (t−s)
ξ (s) ds 2n(i, j) −2p . (6.4.14)
i
i,j∈N 0
It is easy to see that it is finite for any p ≥ 1; thus the solution lies in (S−1 )−0 .
Note that since we have
2
X Z t 2
e λj (t−s)
ξ (s) ds =
e λj (t−·)
1

2
i [0,t]
L (R)
i∈N 0
Z t
1 − e2λj t 1
= e2λj (t−s) ds = ≤ ,
0 2|λj | 2|λj |
the series in the right-hand side of equality (6.4.14) converges for p = 0 and
ρ = 0 only if m = 1. Hence this is the only case when the solution belongs to
the space (L2 )(H) = (S−0 )−0 (H).
6.4.2 Equations with multiplicative noise. Example: equa-

tion of age structured population
Let H and H be separable Hilbert
spaces, A be a linear closed operator
acting in H, B(·) ∈ L H, L(H; H) , ζ ∈ (dom A) ⊆ (S)−ρ (H). Consider the
Cauchy problem
dX(t) = AX(t) dt + B(t, X(t)) dW (t), t ≥ 0, X(0) = ζ,
where W (t) is the H-valued cylindrical Wiener process. It corresponds to the

following Itô integral equation:
Z t Z t
X(t) = ζ + AX(s) ds + B(s, X(s)) dW (s), t ≥ 0.
0 0
Replacing the Itô integral with the Hitsuda–Skorohod integral and differenti-
ating with respect to t, we come to the Cauchy problem
dX(t)
= AX(t) + B t, X(t) ⋄ W(t), t ≥ 0, X(0) = ζ. (6.4.15)
dt
We will study the existence and uniqueness of its solution in the space
(S)−ρ (H), where ρ ∈ [0, 1), i.e., the existence and uniqueness of an (S)−ρ (H)-
valued differentiable function satisfying (6.4.15). Note that if Q is a nuclear
operator acting in H and satisfying the condition of Proposition 6.3.1 for
some p ∈ N, it follows from the fact that, for any X(t) ∈ (S)−ρ (H) we have
B X(t) ∈ (S)−ρ LHS (HQ ; H) , that the Wick product in Equation (6.4.15)
is well defined.
Applying the S-transform to the problem (6.4.15), we obtain the following
problem:
d
X̂(t, θ) = AX̂(t, θ) + B X̂(t, θ) Ŵ(t, θ), t ≥ 0, θ ∈ S, X̂(0, θ) = ζ̂(θ),
dt
(6.4.16)
where X̂(t, θ) = S[X(t)](θ), Ŵ(t, θ) = S[W(t)](θ), and Φ̂(θ) = SΦ(θ).
We will suppose later that the operator B in the equation satisfies the
following condition:
(B) operator C(·) : dom A → L(H), defined by the equality
C(x)y := AB(x)y − B(Ax)y, x ∈ dom A, y ∈ H,
is bounded.
Note that, by the uniform boundedness principle, it follows from condition

(B) that there exists MAB > 0 such that the following estimate holds true:
kC(x)yk ≤ MAB kxk · kyk, x ∈ dom A, y ∈ H. (6.4.17)
Let A be the generator of a C0 -semigroup {U (t), t ≥ 0} and M > 0 and
a ∈ R be such that (6.4.10) holds. To prove the existence of a solution of the
problem (6.4.16) we introduce a sequence of linear operators {Tk (t, θ)}, t ≥ 0,
θ ∈ S, as follows:
T0 (t, θ) = U (t),
Z t

Tk (t, θ)x = U (t − s)B Tk−1 (s, θ)x Ŵ(s, θ) ds, x ∈ H, k = 1, 2, . . . .
0
To obtain the main result on existence we need some lemmas describing the
properties of Tk .
Lemma 6.4.1 For any t ≥ 0, θ ∈ S, and k ∈ N ∪ {0} the following estimate
holds true: r
k+1 k at k tk
kTk (t, θ)kL(H) ≤ M kBk e |θ|L2 (R) , (6.4.18)
k!
where M > 0 and a ∈ R are the constants from the estimate (6.4.10) and
kBk = kBkL(H,L(H;H)) .
Proof. Suppose (6.4.18) holds true for some k ∈ N; then for any x ∈ H we
have
Z t

kTk+1 (t, θ)xk = U (t − s)B Tk (s, θ)x Ŵ(s, θ) ds
0
Z t

≤ U (t − s)B Tk (s, θ)x Ŵ(s, θ) ds
0
Z t
≤ M kBk ea(t−s) kTk (s, θ)xkkŴ(s, θ)k ds
0
Z tr k
k+2 k+1 at k s
≤M kBk e |θ|L2 (R) kŴ(s, θ)k ds kxk
0 k!
Z t k 1/2 Z t 1/2
k+2 k+1 at k s 2
≤M kBk e |θ|L2 (R) ds kŴ(s, θ)k ds kxk
0 k! 0
s
tk+1
≤ M k+2 kBkk+1 eat |θ|kL2 (R) kŴ(·, θ)kL2 (R;H) kxk
(k + 1)!
s
k+2 k+1 at k+1 tk+1
≤M kBk e |θ|L2 (R) kxk.
(k + 1)!
Since the estimate (6.4.18) is true for k = 0, it follows by induction that it is

true for any k ∈ N.
Lemma 6.4.2 For any t ≥ 0, θ ∈ S, k ∈ N ∪ {0}, ζ ∈ dom A, it holds that

r
k+1 k−1 tk
kATk (t, θ)ζ̂(θ)k ≤ M kBk |θ|kL2 (R) eat
k!
· kBk · kAζ̂(θ)k + kMAB kζ̂(θ)k , (6.4.19)
where M > 0 and a ∈ R are the constants from the estimate (6.4.10), MAB
is the constant from the estimate (6.4.17), and kBk = kBkL(H,L(H;H)) .
Proof. For k = 0, using the properties of C0 -semigroups, we obtain
kAT0 (t, θ)ζ̂(θ)k = kAU (t)ζ̂(θ)k = kU (t)Aζ̂(θ)k ≤ M eat kζ̂(θ)k. (6.4.20)
We further have
Z t
ATk (t, θ)ζ̂(θ) = AU (t − s)B Tk−1 (s, θ)ζ̂(θ) Ŵ(s, θ) ds
0
Z t
= U (t − s)AB Tk−1 (s, θ)ζ̂(θ) Ŵ(s, θ) ds
0
Z t h i

= U (t − s) B ATk−1 (s, θ)ζ̂(θ) Ŵ(s, θ) + C Tk−1 (s, θ)ζ̂(θ) Ŵ(s, θ) ds.
0
If (6.4.19) is true for some k ∈ N, by the above representation and the estimate
(6.4.18), we obtain

ATk+1 (t, θ)ζ̂(θ)
Z t " r
a(t−s) k+1 k k as sk
≤ Me M kBk |θ|L2 (R) e kBkkAζ̂(θ)k + kMAB kζ̂(θ)k
0 k!
r #
s k
· kŴ(s, θ)k + MAB M k+1 kBkk eas |θ|kL2 (R) kζ̂(θ)kkŴ(s, θ)k ds
k!

= M k+2 kBkk |θ|kL2 (R) eat kBkkAζ̂(θ)k + (k + 1)MAB kζ̂(θ)k
Z tr k
s
· kŴ(s, θ)k ds
0 k!

≤ M k+2 kBkk |θ|kL2 (R) eat kBkkAζ̂(θ)k + (k + 1)MAB kζ̂(θ)k
Z t 1/2 Z t 1/2
sk 2
· ds kŴ(s, θ)k ds
0 k! 0
s
tk+1
≤M k+2
kBk k
|θ|k+1
L2 (R) e
at
kBkkAζ̂(θ)k + (k + 1)MAB kζ̂(θ)k .
(k + 1)!
The assertion follows from here and (6.4.20) by induction.

Consider the series ∞
X
T (t, θ) = Tk (t, θ). (6.4.21)
k=0
It follows from Lemma 6.4.1 that for any n, m ∈ N the following estimate is
true:
√ √
n+m
X X M 2kBk|θ|L2 (R) t k
n+m
1
at
kTk (t, θ)k ≤ M e √ ·√
k=n k=n
k! 2k
 k 1/2 n+m !1/2
n+m
X 2M 2 kBk2 |θ|2L2 (R) t X 1
≤ M eat   .
k! 2k
k=n k=n
(6.4.22)
It follows that the series (6.4.21) is absolutely convergent in L(H) for any
t ≥ 0, θ ∈ S. Thus T (t, h) ∈ L(H).
Proposition 6.4.2 For any ζ ∈ dom A and θ ∈ S the function X̂(t, θ) =

T (t, θ)ζ̂(θ) is the unique solution of the problem (6.4.16).
Proof. It follows from Proposition 6.4.1 and properties of C0 -semigroups that

T0 (t, θ)ζ̂(θ) ∈ dom A for any ζ ∈ (dom A), t ≥ 0 and θ ∈ S. The condition
(B) implies B dom A Ŵ (t, θ) ⊆ dom A for all t ≥ 0 and θ ∈ S. It follows
by induction that Tk (t, θ)ζ̂(θ) ∈ dom A for all ζ ∈ (domA), k ∈ N, t ≥ 0,
and θ ∈ S. It also follows from (B) that B Tk (s, θ)ζ̂(θ) Ŵ(t, θ) ∈ dom A.
Moreover, we have
d
U (t − s)B Tk (s, θ)ζ̂(θ) Ŵ(t, θ) = AU (t − s)B Tk (s, θ)ζ̂(θ) Ŵ(t, θ),
dt
t ≥ 0, θ ∈ S.
Thus for any ζ ∈ (dom A) we obtain
d
T0 (t, θ)ζ̂(θ) = AT0 (t, θ)ζ̂(θ), (6.4.23)
dt
Z t
d
Tk (t, θ)ζ̂(θ) = AU (t − s)B Tk−1 (s, θ)ζ̂(θ) Ŵ(s, θ) ds
dt 0

+ B Tk−1 (t, θ)ζ̂(θ) Ŵ(t, θ). (6.4.24)
Since A is closed we can rewrite the equality (6.4.24) as
d
Tk (t, θ)ζ̂(θ) = ATk (t, θ)ζ̂(θ) + B Tk−1 (t, θ)ζ̂(θ) Ŵ(t, θ). (6.4.25)
dt
By Lemma 6.4.2 we obtain the estimate

m
X
kATk (t, θ)ζ̂(θ)k
k=n+1
m √ √ !
X ( 2M kBk|θ|L2 (R) t)k 1
at
≤ Me √ ·√ kAζ̂(θ)k
k=n+1
k! 2k
m √ √ !
M at X ( 2M kBk|θ|L2 (R) t)k k
+ e √ ·√ MAB kζ̂(θ)k
kBk k! 2k
k=n+1
m
k !1/2 !1/2
at
X 2M 2 kBk2 |θ|2L2 (R) t Xm
1
≤ Me · kAζ̂(θ)k
k! 2k
k=n+1 k=n+1
m 2 2 2
k!1/2 m
!1/2
M at X 2M kBk |θ|L2 (R) t X k2
+ e · MAB kζ̂(θ)k.
kBk k! 2k
k=n+1 k=n+1
∞
X
It follows from this estimate that the series ATk (t, θ)ζ̂(θ) is convergent
k=0
in the space H for all θ ∈ S, ζ ∈ (dom A). Summing the equalities (6.4.23)
and (6.4.25) with respect to k ∈ N we obtain in the right-hand side the series
which is convergent in H for all t ≥ 0, θ ∈ S. Thus we have proved that
X̂(t, θ) = T (t, θ)ζ̂(θ) is the solution of the problem (6.4.16).
To prove uniqueness, note that if X̂(·, θ) is a solution of the problem
(6.4.16) for some θ ∈ S, then it is a solution of the equation
Zt
X̂(t, θ) = U (t)ζ̂(θ) + U (t − s)B(X̂(s, θ))Ŵ(s, θ) ds, t ≥ 0.
0
(The inverse is generally speaking not true.) Thus it is sufficient to prove that
the equation
Zt
X̂(t, θ) − U (t − s)B(X̂(s, θ))Ŵ(s, θ) ds = 0, t ≥ 0, (6.4.26)
0
has only trivial solution X̂(·, θ) ≡ 0 on [0, ∞) for any θ ∈ S.

First note that
!2
X X
2
kŴ(t, θ)kH = (ξn(i,j) , θ)ξi (t)
j∈N i∈N
is bounded on any [0, T ]. This follows from the fact that |(ξi , θ)| = O (i−p ) for
any p ∈ N, since θ ∈ S. Combined with the estimates (6.1.8) and (6.1.17) this
implies
1
(ξn(i,j) , θ)ξi (t) = O 1 for any p ∈ N.
ip+ 12 j p
It follows that there exists a constant K > 0 such that
Z t

U (t − s)B X̂(s, θ) Ŵ(s, θ) ds

0 H
Z t
≤ M ea(t−s) kBkkX̂(s, θ)kH kŴ(s, θ)kH ds
0
Z t
≤K kX̂(s, θ)kH ds, t ∈ [0, T ].
0
It is easy to prove using this estimate and the standard Volterra equations
technique that a certain power of the integral operator
Z t
U (t − s)B(·)Ŵ(s, θ) ds
0
is a contraction in the space of all continuous H-valued functions on [0, T ] en-

dowed with the norm kXk = maxt∈[0,T ] kX(t)kH . This implies the uniqueness
of the solution of (6.4.26).
Theorem 6.4.2 Let A be a linear densely defined in H generator of a C0 -

semigroup and B(·) : H → L(H; H) satisfy the conditions (B). Then the
Cauchy problem (6.4.15) has a unique solution in the space (S)−0 (H) for any
ζ ∈ (dom A) ⊆ (S)−0 (H).
Proof. It follows from Proposition 6.4.2 that under the conditions of the
theorem the problem (6.4.16) has the unique solution X̂(t, θ) = T (t, θ)ζ̂(θ)
for any ζ ∈ (dom A), θ ∈ S. From (6.4.22) the estimate follows:
∞ ∞ √ √ k
X X M 2kBk|θ|0 t 1
at
kT (t, θ)k ≤ kTk (t, θ)k ≤ M e √ ·√
k=0 k=0
k! 2k
∞
!
k 1/2 ∞ !1/2
X 2M 2 kBk2 |θ|20 t X 1
at
≤ Me
k! 2k
k=0 k=0
√ at
= M 2 e exp M 2 kBk2 |θ|20 t .
By (6.3.4) we have

kζ̂(θ)k ≤ kζk−p,−0 exp |h|2p , θ ∈ S,
for some p ∈ N. Consequently, for all t ≥ 0 we have the following estimate:

√
kX̂(t, θ)k ≤ M 2 eat exp M 2 kBk2 |θ|20 t + |θ|2p kζk−p,−0
√
≤ M 2 eat exp M 2 kBk2 t + 1 |θ|2p kζk−p,−0 , θ ∈ S.
It follows from here that, for any t ≥ 0, X̂(t, θ) is the S-transform of the unique
generalized random variable X(t) ∈ (S)−0 (H), which is the unique solution
of the problem (6.4.16).
Consider an example of introducing a multiplicative stochastic perturba-
tion into a partial differential equation.
Example 6.4.2 Equation of age structured population.
We consider a simplified example of the equation arising in population dy-

namics. Let us start with the following deterministic equation:
∂u(t, s) ∂u(t, s)
=− − m(s)u(t, s), t ≥ 0, 0 ≤ s ≤ 1. (6.4.27)
∂t ∂s
This is the McKendrick–von Foerster equation of age structured population.
Here t is time, s denotes age, u(t, s) is the density function, so that u(t, s) ds
represents the amount of species of age within the interval [s, s + ds] in the
population at the time t. The structure of the population is changing by
means of the processes of aging and death. Aging is modeled by the first term
∂
in the right-hand side since the operator − ∂s is the generator of the right-
shift semigroup. The term m(s) represents the rate of death at age s. Suppose
m ∈ L∞ [0, 1]. For simplicity consider the boundary condition
u (t, 0) = 0, t > 0. (6.4.28)
The initial structure of the population is described by condition
u(0, s) = φ(s), 0 ≤ s ≤ 1. (6.4.29)
The problem (6.4.27)–(6.4.29) can be written as the Cauchy problem
u′ (t) = Au(t), t ≥ 0, u(0) = φ, (6.4.30)
in the Hilbert space H = L2 [0, 1], where A is the operator defined by

d
[Aφ](s) = − φ(s) − m(s)φ(s),
ds
with the domain
dom A = {φ ∈ H : φ′ ∈ H, φ(0) = 0, t > 0} .
Making use of the methods of semigroup perturbation theory, one can show
that A is the generator of a C0 -semigroup in H (see, e.g., [51]).
Suppose now that the process of death is subject to random fluctuations

as a consequence of the influence of the external environment. It is natural to
suppose the function m to represent the mean value of the death rate in the
population. Thus we have to replace this function in the equation by m + µ(t),
where µ(t) is a “noise term”. We face a problem connected with the fact that
it is not possible to use the above defined Gaussian white noises (Q-white
noise and cylindrical white noise) here in a straightforward manner, as, for
any t µ(t), must be a function of s such that multiplication by it is a bounded
operator in H = L2 [0, 1]. To overcome this problem we take H = L2 [0, 1] and
consider the following operator:
Z 1

B(u)v (s) := ε(s)u(s) ψ(s − τ )v(τ ) dτ, u ∈ H, v ∈ H,
0
where ψ ∈ C0∞ (R) and ε ∈ L∞ [0, 1] are fixed functions. Taking an appropriate
function as the factor ψ in the convolution (it can be, for example, an appro-
priate member of a sequence converging in a sense to the Dirac δ-function), we
obtain that B is the operator of multiplication by a “smooth approximation
of v” as a function of u.
For any u ∈ H and v ∈ H we have
kB(u)vkH ≤ sup |ψ(t)| · kukH kvkH .

t∈R

Thus B(·) ∈ L H; L(H; H) .
Consider the stochastic perturbation of the Cauchy problem (6.4.30) hav-
ing the form (6.4.15) with the above defined operator B. Since the values of
W(t) for each t are represented by the series
X
W(t) := ξi (t)ej (s)hǫn(i,j) (ω),
i,j∈N

where {ej } is a fixed orthonormal basis in H H = L2 [0, 1] and since the series
is divergent in H for any ω ∈ S ′ , one can informally think of these values as of
irregular functions of s. When in the equation we substitute “⋄W(t)” as the v
variable of the operator B we obtain a sort of smooth approximation of these
functions. So the operator B(·) ⋄ W(t) in the equation can be thought of as an
operator of specific multiplication by smoothed values of white noise, which
seems a natural way of introducing a stochastic perturbation of the operator
of multiplication by m(s).
For any v ∈ H, u ∈ dom A we have
Z 1

C(u)v (s) := AB(u)v − B(Au)v (s) = −u(s) ψ ′ (s − τ )v(τ ) dτ.
0
Thus C(·)v is a bounded operator in H and condition (B) is fulfilled. Thus

the Cauchy problem (6.4.30) satisfies the conditions of Theorem 6.4.1 and
consequently has a unique solution in the space (S)−0 (H).
6.4.3 Relationship between weak and generalized wrt ω so-

lutions
In this subsection we establish a connection between the generalized wrt
ω solution of (6.4.1) and a weak solution of the Cauchy problem for the corre-
sponding integral Itô equation (6.4.3). Similarly to Section 5.1, where the re-
lationship between a generalized wrt t solution and a weak solution was based
on the connection between the stochastic convolution written in the form of
the Itô integral and generalized stochastic convolution, here the relationship
will be proved on the basis of the connection between the Hitsuda–Skorohod
integral and the Itô integral.
We consider the solution (6.4.6) obtained for the stochastic Cauchy prob-
lem in a space of stochastic distributions (S)−0 (H) with the generator of a
C0 -semigroup, white noise W, and initial data ζ ∈ (dom A). As noted, solu-
tions in the space (S)−0 (H) can be constructed for the problem with a Q-white
noise and singular white noise.
Now we show that the generalized wrt ω solution coincides with the cor-
responding weak solution under the conditions of existence for both of the
solutions. Since it was shown in Section 4.1 that the case of a cylindrical
Wiener process can be reduced to the case of a Q1 -Wiener process with a
specially constructed trace class operator Q1 , we restrict ourselves to the case
of Q-Wiener processes.
Theorem 6.4.3 Let A be the generator of a C0 -semigroup U , Φ(t) = U (t)B

satisfies (6.3.7), ζ ∈ (dom A), and WQ be a Q-Wiener process. Then the
generalized wrt ω solution to the Cauchy problem (6.4.5) and the weak solution
to (6.4.3) coincide.
Proof. The generalized wrt ω solution to (6.4.5) is obtained in Theorem 6.4.1

in the form (6.4.6):
Z t
X(t) = U ζ + U (t − s)BWQ (s) ds, t ≥ 0,
0
where
Z t X Z t
U (t − s)BWQ (s) ds := σj U (t − s)Bej ξi (s) dshǫn(i,j) .
0 i,j∈N 0
In the case that we consider, to prove the coincidence of the solutions it is

enough to show the coincidence of the integrals:
Z t Z t
U (t − s)B dWQ (s) = U (t − s)BWQ (s) ds. (6.4.31)
0 0
First, for WQ defined by (6.1.23) we show that the integral in the right-hand
side of (6.4.31) belongs to the space (L2 )(H) = L2 (Ω, F , µ; H), where Ω = S ′ ,
F = B(S ′ ), and µ is a Bochner–Minlos measure on B(S ′ ) (see (6.1.3)). This

result follows from the equalities
X Z
t
2

2
σj U (t − s)Bej ξi (s) ds

i,j∈N 0 H
X X Z t 2
= ξi (s) (σj U (t − s)Bej , gk )H ds
j,k∈N i∈N 0
X

= 1[0,t] (σj U (t − ·)Bej , gk )2L2 (R)
j,k∈N
X Z t
1
= |(U (t − ·)BQ 2 , gk )H |2 ds
j,k∈N 0
XZ t X 1
= (U (t − ·)BQ 2 ej , gk )2H ds
j∈N 0 k∈N
Z tX Z t
1
= kU (t − s)BQ 2 ej k2H ds = kU (t − s)Bk2LHS (HQ ,H) ds.
0 j∈N 0
Here gk = σk ek . The fact that the integrals in (6.4.31) coincide as elements

of (L2 )(H) can be proved by obtaining this equality for elementary functions
and passing to the limit. Let Φ(s) be an elementary function approximating
U (t − s)B. We have
Z t X Z t
Φ(s)W ds = σj Φ(s)ej ξi (s) dshǫn(i,j)
0 i,j∈N 0
X N
X −1 Z tk
= σj Φk ξi (s) ds ej hǫn(i,j)
i,j∈N k=0 tk−1
N
X −1 X Z tk
= Φk σj ξi (s) ds ej hǫn(i,j)
k=0 i,j∈N tk−1
N
X −1 Z t
= Φk [W (tk ) − W (tk−1 )] = Φ(t) dW (t).
k=0 0
Passing to the limit as N → ∞, we obtain (6.4.31). It follows that the gener-

alized wrt ω solution and the weak solution coincide if both exist.
Thus, while proving the connection between weak and generalized wrt ω
solutions we have proved the relationship (6.3.8) between the Itô and Hitsuda–
Skorohod integrals in the simplest case, when the integrand U (t − s)B is a
deterministic operator-valued function.
Now we present the proof of Theorem 6.3.2 in the general case, i.e., we
show that the Hitsuda–Skorohod integral is a generalization of the Itô integral
wrt a Wiener process. This relationship can be used for connection of weak and
generalized wrt ω solutions for a wider class of equations than that considered
above and not only for such considerations. The proof uses the ideas of [26],
where this connection is proved in the one-dimensional case. We generalize it
to the infinite-dimensional situation. For simplicity, we will consider the case
of a Q-Wiener process and the corresponding Q-white noise.
Let {Bt , t ≥ 0} be the σ-algebra generated by the random variables
(WQ (s), x)H , where 0 ≤ s ≤ t, x ∈ H. Recall that the family {Bt } is called the
filtration generated by the Q-Wiener process {WQ (t), t ≥ 0} (see Section 4.1).
It is easy to see that {Bt , t ≥ 0} coincides with the σ-algebra generated by
the random variables of the form (W (s), x)H , where 0 ≤ s ≤ t, x ∈ H. Recall
also that the Brownian motions βj (t), t ≥ 0, j ∈ N, are martingales wrt Bt .
Let H be a separable Hilbert space. An H-valued random process Φ(t),
t ≥ 0, is called Bt -adapted if Φ(t) is Bt -measurable for each t ≥ 0. We will fur-
ther consider Itô integrals wrt an H-valued Q-Wiener process for predictable
integrands Φ(t), t ∈ [0, T ], with values in LHS (HQ ; H). Recall that an H-
valued process is called predictable
if it is measurable as a mapping from
[0, T ] × S ′ , PT to H, B(H) , where PT is the predictable σ-algebra of sub-
sets of [0, T ] × S ′ . The latter is defined as the σ-algebra generated by the sets
of the form
(s, t] × B, 0 ≤ s < t ≤ T, B ∈ Bs .
We will further need a few lemmas which give characterization of Bt -
measurable random variables in terms of their S-transforms. They use the
operators Jj , j ∈ N, defined by (6.1.18), which are isometrical isomorphisms
of L2 (R) and the spaces L2 (R)j , and orthogonal projectors πj , j ∈ N, of L2 (R)
onto the spaces L2 (R)j defined by
(
ξn , n ∈ {n(i, j), i ∈ N},
πj ξn = (6.4.32)
0, n ∈ / {n(i, j), i ∈ N}.
2
Lemma 6.4.3 Let H be a separable Hilbert space. For any Θ, Φ ∈ (L )(H)
the equality Θ = E Φ|Bt holds true if and only if
X
∞
SΘ(θ) = SΦ θt,j , (6.4.33)
j=1

for any θ ∈ S, where θt,j := Jj J−1 j πj θ · 1[0,t] , operators Jj are defined by
(6.1.18), and πj , j ∈ N, are defined by (6.4.32).

⊥
Proof. Let θt,j = Jj J−1j πj θ · 1[0,t]c for θ ∈ S, j ∈ N. We have

πj θ = Jj J−1 −1 −1 ⊥
j πj θ = Jj Jj πj θ · 1[0,t] + Jj πj θ · 1[0,t]c = θt,j + θt,j .
⊥
Moreover, the functions θt,j and θt,j are orthogonal in L2 (R):

⊥
(θt,j , θt,j )L2 (R) = Jj J−1 −1
j πj θ · 1[0,t] , Jj Jj πj θ · 1[0,t]c
L2 (R)
−1 −1

= Jj πj θ · 1[0,t] , Jj πj θ · 1[0,t]c L2 (R) = 0.
Since for any orthogonal in L2 (R) functions θ and η we have

h·,θ+ηi− 12 kθ+ηk2L2 (R) h·,θi− 21 kθk2L2 (R) h·,ηi− 21 kηk2L2 (R) (θ,η)L2 (R)
Eθ+η = e =e e e = Eθ Eη ,
(6.4.34)
it implies that
X
n Yn Yn
SΘ πj θ = E ΘEPnj=1 πj θ = E Θ E πj θ = E Θ Eθt,j +θt,j
⊥ .
j=1 j=1 j=1
Again, using the property (6.4.34), we obtain

X
n Yn n
Y
SΘ πj θ = E Θ Eθt,j Eθt,j
⊥ .
j=1 j=1 j=1
Note that for any s ∈ [0; t] it holds that

⊥
E βj (s)h·, θt,j i = h·, Jj 1[0,s] i, ·, Jj J−1
j πj θ · 1[0,t]c
(L2 )

−1 −1
= Jj 1[0,s] , Jj Jj πj θ · 1[0,t]c = 1[0,s] , Jj πj θ · 1[0,t]c L2 (R) = 0.
L2 (R)
⊥
Thus the random variables h·, θt,j ⊥ , j ∈ N, are inde-
i, and consequently Eθt,j
pendent of Bt . Approximating θ in L2 (R) by finite step functions, one can
easily prove that the random variables h·, θt,j i, j ∈ N, and consequently the
functions Eθt,j , are Bt -measurable. Thus, if Θ = E Φ|Bt , by the properties of
conditional expectations, we have
X
n n n
Y Y
SΘ πj θ = E E Φ|Bt Eθt,j Eθt,j
⊥
j=1 j=1 j=1

Yn n Yn Y
n
Y
=E E Φ Eθt,j Bt E Eθt,j
⊥ =E Φ Eθt,j E Eθt,j
⊥ .
j=1 j=1 j=1 j=1
Again using the equality (6.4.34), we obtain

X n X
n
SΘ πj θ = E ΦE j=1 θt,j E E j=1 θt,j
P n P n ⊥ = SΦ θt,j . (6.4.35)
j=1 j=1
2
Since convergence
of a sequence θn to2 θ in L (R) implies convergence of
E ΦEθn to E ΦEθ in H for any Φ ∈ (L )(H), we obtain the equality (6.4.33)
by letting n → ∞ in the equality (6.4.35).
Corollary 6.4.1 Φ ∈ (L2 )(H) is Bt -measurable if and only if

X

SΦ(θ) = SΦ θt,j , θt,j := Jj J−1
j πj θ · 1[0,t] , θ ∈ S.
j∈N
Lemma 6.4.4 If a random variable Φ ∈ (L2 )(H) is Bt -measurable, then for

any k ∈ N, b > t > 0 it holds that

S Φh·, 1k(t,b] i (θ) = (1k(t,b] , θ)L2 (R) SΦ(θ), θ ∈ S. (6.4.36)
Proof. We have

k k − 20
|θ| d αh·,1k(t,b] i+h·,θi
S Φh·, 1(t,b] i (θ) = E Φh·, 1(t,b] iEθ = e E Φ e
dα α=0
|θ|0 d
k k 2

− 2 1
h·,α1(t,b] +θi− 2 |α1(t,b] +θ|0 1
|α1(t,b] +θ|20
k
=e E Φe ·e 2

dα α=0

|θ|0 d 1 k 2
= e− 2 e 2 |α1(t,b] +θ|0 SΦ α1k(t,b] + θ .
dα α=0
(6.4.37)
We further have

d 12 |α1k(t,b] +θ|20 d 12 α2 |1k 2 k 2
(t,b] |0 +2α(1(t,b] ,θ)L2 (R) +|θ|0
e = e
dα α=0 dα α=0
|θ|0
= 1k(t,b] , θ L2 (R) e 2 .
Moreover, by Bt -measurability of Φ, Corollary 6.4.1, and the equality

(
k −1 k
Jj 0 · 1[0,t] = 0, k 6= j,
(1(t,b] )t,j = Jj Jj πj 1(t,b] · 1[0,t] =
Jj 1(t,b] · 1[0,t] = 0, k = j,
we obtain the equality

X X
SΦ α1k(t,b] + θ = SΦ α(1k(t,b] )t,j + θt,j = SΦ θt,j ,
j∈N j∈N
d
which implies SΦ α1k(t,b] + θ = 0. Thus from the equality (6.4.37) the
dα
equality (6.4.36) follows.
Theorem 6.4.4 For any predictable LHS (HQ ; H)-valued process satisfying
the condition Z T
2
E kΦ(t)kLHS (HQ ;H) dt < ∞ (6.4.38)
0
it holds that Z Z
T T
Φ(t) dWQ (t) = Φ(t) ⋄ WQ (t) dt. (6.4.39)
0 0
Proof. To prove the assertion, recall that the Itô integral wrt the Q-Wiener
process is first defined for the so-called elementary processes, i.e., for processes
having the form
N
X −1
Φ(t) = Φk 1(tk ,tk+1 ] (t), (6.4.40)
k=0
where 0 = t0 < t1 < · · · < tN = T and Φk are L(H; H)-valued Btk -measurable
random variables for all k = 0, 1, . . . , N − 1. Then the definition is extended
to all predictable LHS (HQ ; H)-valued integrands satisfying (6.4.38). Using the
equality
Z T 2 Z T

E Φ(t) dWQ (t) = k|Φk| := E kΦ(t)k 2
dt ,
T LHS (HQ ;H)
0 H 0
which can be verified for any elementary Φ(t), and using the fact that any
predictable process Φ(t) with values in LHS (HQ ; H) can be approximated by
a sequence of elementary processes converging to Φ with respect to the norm
Z T
k| · k|T , one can define the integral Φ(t) dWQ (t) as the limit in (L2 )(H) of
0
the corresponding sequence of integrals of the elementary processes.
Thus it is sufficient for us to prove the equality (6.4.39) for an elementary
process Φ(t), given by (6.4.40). Since the operators ei ⊗ ej , i, j ∈ N, form a
linearly dense subset in LHS (HQ ; H), we can presume without loss of generality
that the Φk are of the form
M
X
Φk = Φk,i,j (ei ⊗ ej ), Φk,i,j ∈ (L2 ),
i,j=1
where the functions Φk,i,j are Btk -measurable for all i, j = 1, . . . , M and k =
0, 1, . . . N − 1. Consider the S-transform of the left-hand side of the equality
(6.4.39). For any θ ∈ S we have
Z T NX
−1

S Φ(t) dWQ (t) (θ) = S Φk WQ (tk+1 ) − WQ (tk ) (θ)
0 k=0
N
X −1 X
M h i
= σj S Φk,i,j h1j(tk ,tk+1 ] , ·i (θ)ei .
k=0 i,j=1
By Lemma 6.4.4 we obtain

Z T N
X −1 X
M

S Φ(t) dWQ (t) (θ) = σj 1j(tk ,tk+1 ] , θ L2 (R) SΦk,i,j (θ)ei
0 k=0 i,j=1
N
X −1 X
M

= σj 1(tk ,tk+1 ] , J−1
j πj θ L2 (R)
SΦk,i,j (θ)ei
k=0 i,j=1
N
X −1 X
M Z tk+1
= σj J−1
j πj θ (t) dtSΦk,i,j (θ)ei
k=0 i,j=1 tk
N
X −1 Z M X
tk+1 X M

= SΦk,i,j (θ) σj ei J−1
j πj θ (t) dt.
k=0 tk i=1 j=1
Recalling formula (6.3.5) and the definition of Φk , we finally obtain

"Z # N −1 Z tk+1
T X
S Φ(t) dWQ (t) (θ) = SΦk (θ)SWQ (t)(θ) dt
0 k=0 tk
Z T
= S Φ(t) ⋄ WQ (t) (θ) dt
0
hZ T i
=S Φ(t) ⋄ WQ (t) dt (θ).
0
By the uniqueness of the S-transform this equality implies (6.4.39).

The statement establishing a connection between the Itô integral wrt the
cylindrical Wiener process and Hitsuda–Skorohod integral wrt the singular
white noise process is proved in a similar manner.
C\ Taylor & Francis
~ Taylor & Francis Group
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Index
Q-white noise, 198, 215, 222, 250 generalized solution, 61, 66

solution, 60, 71
abstract Cauchy problem, 3, 13, 30, characteristic function, 115
43 Colombeau algebra, 218
R-well-posedness, 34 condition
n-well-posedness, 22–24 C-summability, 10
generalized, 46 A-summability, 11, 12
solution, 47 (M), 220
solution operator, 47, 48, 53, (N), 221
55, 57 (R1), 4, 15–17, 20, 48
well-posedness, 47, 57 (R2), 4, 21, 22, 40, 53
generalized well-posedness, 47, (R3), 4, 26, 27, 29, 54, 55
48, 53 (R4), 4
solution operator, 72 MFPHY, xii, 3, 9, 15, 168
uniform (n, ω)-well-posedness, convolutor, 45, 67–70
18, 20 correlation operator, 116
uniform well-posedness, 3, 5, 86, covariance operator, 116
90
abstract distribution differential system, 59, 90, 91
convolution, 44, 45, 200 conditionally correct, 63, 68, 70,
space, 44 71, 165, 211
support, 44 hyperbolic, 63, 86
incorrect, 63, 69–71, 165, 211
backward Cauchy problem, 182, 189 parabolic, 63, 84
backward Kolmogorov equation, 189 Petrovsky correct, 63, 66, 70, 71,
Bochner integral, 115 84, 86, 165, 211
Borel σ-algebra, 114, 230 diffusion, 184
Brownian motion, 123, 126–128, 180, dissipative non-linearity, 169, 175
231, 239 distribution law, 115, 120
Cauchy problem for differential equation of age structured
systems, 43, 59, 72, 209 population, 259
characteristic roots, 62 expectation, 116
Fourier transformed, 211 conditional, 120
generalized, 61
solution, 61 filtration, 132
solution operator, 62 Fourier transform, 72
283
284 Index
classical, 54, 93, 104, 106 noise

generalized, 61, 85, 88, 105 additive, 254
generalized inverse, 93, 105 multiplicative, 259
Frechet derivative, 137, 183, 194 null subset, 221
function number p0 , 62, 64
Λ(·), 62, 63
etA(·) operator
estimation, 62, 64, 66–71 compact, 117
associated, 54, 100 Hilbert–Schmidt, 117, 170, 236
functional nuclear, 118
linear continuous on Φ, 60 trace class, 118, 128
multiplication by a scalar, 60 operator A (i∂/∂x), 60
Gaussian measure, 120, 127, 230 process

Gelfand triple, 233 Q-Wiener, 123, 127, 128, 137,
Gelfand–Shilov classification, 63, 211 187, 222
Green function, 44, 61, 85, 89, 91, adapted, 132
93, 161 cylindrical Wiener, 123, 129,
130, 137, 187
Hermite functions, 232 Gaussian, 127, 128, 130
Hitsuda–Skorohod integral, 247, 252, predictable, 132, 143
253, 255 stochastic, 123
property
Itô formula, 136, 138 exponential boundedness, 3, 7,
Itô integral, 253, 255 15, 17
Itô isometry, 134, 136
random variable
Kolmogorov equation, 180 H-valued, 114
Gaussian, 120
Laplace transform real-valued, 115
classical, 52, 55, 72, 106 regularizing operator, 37, 38, 40, 41
generalized, 47, 51, 53, 55, 72, regularizing parameter, 37
107 resolvent identity, 3, 9, 16
of semi-group, 3, 8, 9, 13, 14, 32
Lipschitz condition, 167, 169, 176 S-transform, 247, 249
semi-group
Markov property, 182, 185, 186 K-convoluted, 26–28, 36, 199,
matrix function A(s), 61 202, 203, 207
characteristic roots, 62 generator, 26
its conjugate, 61 R-, 31, 33–36, 38, 75, 82, 83, 91,
moderate elements, 220 158, 161, 175, 207, 215
multiplication operator, 62, 64, generator, 32, 33, 35, 82, 83
66–70, 73 properties, 32
multiplicative stochastic n-times integrated, 27, 36, 80,
perturbation, 265 89, 91, 199, 200, 206
multiplier, 62
Index 285
exponentially bounded, 15–18, Φ′ , 44, 60, 66

20, 75 Φ′ (X ), 44
′
generator, 16, 20, 21, 35 Da q
{M }, B
(X ), 54, 57
local, 21–24, 34, 81
{Mq } ′
properties, 17 D (X ), 108
of class (1, A)4 , 170, 171 D, 94, 95, 103, 105
′
of class A, 11, 14, 147, 150 D , 107, 108
properties, 11–13 D′ (Ψ′ ), 212
of class C0 , 3, 6, 9, 38, 41, 75, D′ (X ), 53, 108
{M }, B
86, 91, 144, 175, 187, 200, Da q , 54, 55
204 DA , 94
generator, 6, 9 S, 99, 104
properties, 6–10 S ′ , 108
of class C1 , 11, 14 S ′ (X ), 108
properties, 11–13 S β , 98, 105
of growth order α, 14, 35, 75, S β,B , 98
86, 91 Sα , 95, 105
regularized, 36, 154, 156, 157, Sαβ , 99, 104, 105
159 Sω′ , 108
generator, 36 Sω′ (X ), 48, 108
relation, 3, 6, 9, 11, 192 Sα,A , 96, 105
strongly continuous, 11 β,B
Sα,A , 99, 104, 105
generator, 11 f ′
Φ , 61
infinitesimal operator, 11 e 61
Φ,
semi-linear stochastic Cauchy g′ ), 66, 105
(Φ
problem, 166
D′ (X ), 53
mild solution, 166, 170, 171, 177
Beurling, 101, 202
weak solution, 166, 177
countably Hilbert, 230
semigroup
measurable, 114
K-convoluted, 72
of abstract stochastic
R-, 72
distributions, 230, 235, 253
n-times integrated, 51, 72
probability, 114
space
Roumieu, 101, 202
(L2 ), 231
Ω stochastic Cauchy problem, 139, 198
W , 64, 102
generalized solution, 200, 203,
W Ω, b , 103
Ω,b 204, 206, 207, 212, 215, 253,
W , 106
267
WM , 64, 102
Ω quasi-linear, 218
WM , 103, 106
strong solution, 139, 141
WM,a , 106
weak regularized solution, 153,
WM, a , 102
Ω, b 156, 157
WM, a , 64, 65, 104
weak solution, 140, 141, 144,
Z, 97, 103, 105
147, 150, 267
Z b , 97
stochastic convolution, 132, 142, 143
Φ, 60
286 Index
stochastic heat equation, 254

stochastic Hermite polynomials, 232
stochastic integral, 131, 133
theorem
Bochner–Minlos–Sazonov, 230
Feynman–Kac, 179, 180, 193
MFPHY, xii, 3, 10, 20
Tonelli–Fubini, 136
topology
of countably normed space, 94
of inductive limit, 94
of projective limit, 94
trace, 118, 130
white noise, 198, 218, 232

probability space, 231
singular, 241, 250
Wick product, 247, 251
Wiener–Itô chaos expansion, 234
Yosida approximation, 169, 176

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MONOGRAPHS AND RESEARCH NOTES IN MATHEMATICS

Stochastic Cauchy Problems

No claim to original U.S. Government works

Printed on acid-free paper

International Standard Book Number-13: 978-1-4822-1050-7 (Hardback)

Symbol Description xvii

I Well-Posed and Ill-Posed Abstract Cauchy

1.1 The Cauchy problem and strongly continuous semi-groups of

2 Distribution methods for construction of generalized

2.1 Solutions in spaces of abstract distributions . . . . . . . . . . 44

3.1 Examples of regularized semi-groups and their generators . . 75

II Infinite-Dimensional Stochastic Cauchy

4.1 Hilbert space-valued variables, processes, and stochastic inte-

5 Infinite-dimensional stochastic Cauchy problems with white

5.1 Generalized solutions to linear stochastic Cauchy problems with

6 Infinite-dimensional extension of white noise calculus with

6.1 Spaces of Hilbert space-valued generalized random variables:

with numerous examples, paying special attention to differential systems in

Models of various dynamic processes with random perturbations lead to

dX(t) = AX(t) dt+F (t, X) dt+B(t, X) dW (t), t ∈ [0, T ], X(0) = ζ. (I.1)

u′ (t) = Au(t), t ∈ [0, τ ), τ ≤ ∞, u(0) = f, (I.2)

in connection with properties of the semi-group generated by A in a Banach

A large amount of work in semi-group theory was devoted to connections

uε(δ) (t) = Rε(δ) (t)fδ → u(t) as δ → 0 for each t ∈ [0, T ].

Here Rε(δ) (t) denotes the corresponding regularizing operator.

distribution applied to test functions depending on this variable.

ested in methods of constructing solutions to infinite-dimensional stochastic

hϕ, X ′ i = Ahϕ, Xi + hϕ, δiζ + hϕ, BWi, hϕ, W′ i := −hϕ′ , W i,

on test functions ϕ chosen in dependence on properties of the semi-group gen-

to the stochastic Cauchy problem with differential operators A (i∂/∂x) gener-

(S)ρ ⊂ (L2 ) ⊂ (S)−ρ , 0 ≤ ρ ≤ 1,

N (m, Q) Gaussian distribution law with mean m and covariance

ξk (·) Hermit functions

Well-Posed and Ill-Posed

u′ (t) = Au(t), t ∈ [0, τ ), τ ≤ ∞, u(0) = f. (1.0.1)

We use appropriate semi-group methods in dependence on properties of solu-

Theorem 1.0.1 (MFPHY theorem) Let A be a closed linear operator

Due to the exponential boundedness of C0 -semi-groups kU (t)k ≤ Ceωt ,

The equality (1.0.2) illustrates the following profound connection between

if and only if its Laplace transform satisfies the resolvent identity

(µ − λ)R(λ)R(µ) = R(λ) − R(µ), Reλ, Reµ > ω.

(R1) Λω = {λ ∈ C : Reλ > ω, ω ∈ R} ⊆ ρ(A) and

kR(λ)k ≤ C|λ|n , λ ∈ Λln

where M is a certain positive nondecreasing function;

Note that (R1) coincides with MFPHY condition as n = 0. Contraction

1.1 The Cauchy problem and strongly continuous semi-

1.1.1 The Cauchy problem with generators of C0 -semi-

It follows from the definition that the solution of a well-posed problem

Definition 1.1.2 A family of bounded linear operators {U (t), t ≥ 0} acting

U ′ (0)f := lim h−1 (U (h) − I)f, (1.1.4)

is called an (infinitesimal) generator of the family.

The properties of C0 -semi-groups and their generators have been thor-

1. A C0 -semi-group is non-degenerate, i.e., U (t)f = 0 for each t > 0

f = U (0)f = lim U (t)f = 0.

2. The operators of a C0 -semi-group commute with the generator on its

The properties follow from (U1) and (1.1.4):

U (t)U ′ (0)f = U (t) lim h−1 (U (h) − I)f

3. The generator of a C0 -semi-group is a closed operator.

Let fn ∈ dom U ′ (0), fn → f and U ′ (0)fn → g. Then the continuity of semi-

Passing to the limit when n → ∞ gives

The right-hand side of this equality has a limit equal to g as h → 0. Hence

and show that Xa,b is a subset of dom U ′ (0) and is dense in X .

Therefore ua,b ∈ dom U ′ (0).

Hence, F (U (0)f ) = F (f ) = 0 for any f ∈ X . The obtained contradiction