A nonlinear stochastic heat equation: Hölder continuity and smoothness of the density of the solution (Q1940243)

The authors first consider the nonlinear stochastic heat equation \[ \frac{\partial u}{\partial t}=\frac{1}{2}\triangle u +b(u)+\sigma(u) \dot{W}(t,x), \quad t\geq 0,\;x\in \mathbb{R}^d \] with initial condition \[ u(0,x)=u_0(x), \] where \(\Delta=\sum_{i=1}^d \frac{\partial ^2}{\partial x_i^2}\) is the Laplace operator, \(b\) and \(\sigma\) are globally Lipschitz continuous functions, and \(W\) is a zero mean Gaussian random field, which is a Brownian motion in the time variable and has a nonhomogeneous spatial covariance with density \(q(x,y)\); \(\dot{W}(t,x)\) denotes the generalized random field \(\frac {\partial^{d+1} W}{\partial t \partial x_1 \dots \partial x_d}\). The authors define \[ V_{s,\xi}(t,x)= \int_{\mathbb{R}^d} c(\xi, y) D_{s,y}u(t,x) dy, \] where \(c\) is the square root of the kernel \(q\) as an operator. Then, for any fixed \((s,\xi)\), \(V_{s,\xi}(t,x)\) satisfies the linear stochastic heat equation with random coefficients \[ \frac{\partial V_{s,\xi}}{\partial t}=\frac{1}{2}\triangle V_{s,\xi}+b'(u)V_{s,\xi}+\sigma'(u) V_{s,\xi} \dot {W}(t,x), \quad t\geq s,\;x\in \mathbb{R}^d, \] with initial condition \[ V_{s,\xi}(s,x)= c(\xi,x)\sigma(u(s,x)). \] They establish a version of the Feynman-Kac formula for the above multidimensional stochastic heat equation driven by a general semimartingale and apply it to study the smoothness properties of the density of the law of the solution to above nonlinear stochastic heat equation.