Ito formula for mild solutions of SPDEs with Gaussian and non-Gaussian noise and applications to stability properties

Abstract

We use Yosida approximation to find an It\^o formula for mild solutions $\left\{X^x(t), t\geq 0\right\}$ of SPDEs with Gaussian and non-Gaussian coloured noise, the non Gaussian noise being defined through compensated Poisson random measure associated to a L\'evy process. The functions to which we apply such It\^o formula are in $C^{1,2}([0,T]\times H)$, as in the case considered for SDEs in [9]. Using this It\^o formula we prove exponential stability and exponential ultimate boundedness properties in mean square sense for mild solutions. We also compare such It\^o formula to an It\^o formula for mild solutions introduced by Ichikawa in [8], and an It\^o formula written in terms of the semigroup of the drift operator [11] which we extend before to the non Gaussian case.