Stationary solutions of stochastic partial differential equations in the space of tempered distributions

Suprio Bhar

Published 2014-12-05Version 1

In Rajeev (2013), 'Translation invariant diffusion in the space of tempered distributions', it was shown that there is an one to one correspondence between solutions of a class of finite dimensional SDEs and solutions of a class of SPDEs in $\mathcal{S}'$, the space of tempered distributions, driven by the same Brownian motion. There the coefficients $\bar{\sigma}, \bar{b}$ of the finite dimensional SDEs were related to the coefficients of the SPDEs in $\mathcal{S}'$ in a special way, viz. through convolution with the initial value $y$ of the SPDEs. In this paper, we consider the situation where the solutions of the finite dimensional SDEs are stationary and ask whether the corresponding solutions of the equations in $\mathcal{S}'$ are also stationary. We provide an affirmative answer, when the initial random variable takes value in a certain set $\mathcal{C}$, which ensures that the coefficients of the finite dimensional SDEs are related to the coefficients of the SPDEs in the above `special' manner.