Existence and smoothness of the density for spatially homogeneous SPDEs (Q2385208): Difference between revisions

The authors extended Walsh's stochastic integral with respect to a space-time Gaussian noise, in order to integrate some random measure-valued processes. This extension turns out to be equivalent to Dalang's one, under mild conditions on the integrand. They studied general second-order stochastic partial differential equations driven by such noise. Taking the semigroup formulation of the equation, they show the existence of the solution, and using the techniques of the Malliavin calculus they obtain regularity results on the density of the probability law of the solution. In particular, the stochastic heat equation in any space dimension and the stochastic wave equation in space dimension \(d= 1,2,3\) are presented as examples.