Malliavin calculus for parabolic SPDEs with jumps. (Q1877393)

Let \(W\) be a Brownian sheet on \([0,T]\times [0,L]\), \(N\) a Poisson measure on \([0,T]\times [0,L]\times \mathbb R\) independent of \(W\) with an intensity measure \(\nu (dt,dx,dz)= dt\,dx\, dq(z)\), where \(q\) is a positive \(\sigma \)-finite measure on \(\mathbb R\). Denote by \(\widetilde N\) the compensated Poisson measure, \(\widetilde N = N-\nu \). A semilinear stochastic heat equation \[ \begin{gathered} {\partial V\over \partial t} - {\partial ^ 2 V\over \partial x^ 2} = g(V)\,dt\,dx + f(V)\; W(dt,dx) + \int _ {\mathbb R} h(V,z)\,\widetilde N(dt,dx,dz), \tag{1} \\ V(0,\cdot ) = V_ 0, \quad {\partial V\over \partial x}(t,0) = {\partial V\over \partial x}(t,L) = 0, \quad t\in [0,T], \;x\in [0,L], \end{gathered} \] with Neumann boundary conditions driven by both \(W\) and \(N\) is considered. Suppose that \(V_ 0\) is a (deterministic) bounded Borel function, the functions \(f\), \(g\) are globally Lipschitz continuous on \(\mathbb R\) and \(h\) is a Borel function on \(\mathbb R^ 2\) such that \(| h(0,z)| \leq \eta (z)\) and \(| h(x,z)-h(y,z)| \leq \eta (z) | x-y | \) for a function \(\eta \in L^ 2(q)\) and all \(x,y,z\in \mathbb R\). Under these assumptions it is proven that there exists a unique mild solution \(V\) to (1). Further, Malliavin calculus is developed for the problem (1) to show that under suitable non-degeneracy hypotheses on \(f\), \(g\), \(h\) and \(q\) the law of \(V(t,x)\) admits a density with respect to the Lebesgue measure on \(\mathbb R\) for every \((t,x)\in [0,T] \times [0,L]\).