Generalized solution of some parabolic equations with a random drift
The author considers fundamental solutions of parabolic stochastic partial differential equations of the form \[ (1)\quad du=2^{-1}\nu (\partial^ 2u/\partial x^ 2)dt-(\partial u/\partial x)d\eta_ t(x),\quad u_ 0=\delta_ x, \] where \(\eta_ t(x):=\int^{t}_{0}\sigma (x,s)dB_ s\), \(B_.\) a scalar Wiener process and \(\sigma\) measurable and bounded. It is shown that (1) admits a unique solution in the space of generalized Brownian functionals (multiple Wiener integrals with singular kernels). In the spatially homogeneous case (\(\sigma\) (x,s)\(\equiv \sigma (s))\) the solution \(u^ 0\) of the Stratonovich version of (1) for \(\nu =0\) is given by Donskers delta function. If \(\nu >0\) the solution \(u^{\nu}\) is a regular \((L^ 2\)-) Brownian functional and it is shown that \(u^{\nu}\to u^ 0\) (as \(\nu\) \(\downarrow 0)\).
- Generalized solutions of linear parabolic stochastic partial differential equations
- Generalized solutions of a stochastic partial differential equation
- Some parabolic PDEs whose drift is an irregular random noise in space
- On solutions of stochastic differential equations with drift
- Stability of solutions of parabolic PDEs with random drift and viscosity limit
- scientific article; zbMATH DE number 1779809
- scientific article; zbMATH DE number 3868360
- scientific article; zbMATH DE number 3934137
- Generalized solutions of nonlinear parabolic equations and diffusion processes
- A limit theorem for turbulent diffusion
- Construction of a solution of a certain evolution equation
- Generalized multiple Wiener integrals
- scientific article; zbMATH DE number 3840995 (Why is no real title available?)
- scientific article; zbMATH DE number 3658788 (Why is no real title available?)
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 3233089 (Why is no real title available?)
- Regularity property of Donsker's delta function
- Stochastic calculus of variations for stochastic partial differential equations
- Topics in singular perturbations
- Stochastic heat equation with random coefficients
- Uncertain partial differential equation with application to heat conduction
- Stability of solutions of parabolic PDEs with random drift and viscosity limit
- Generalized Brownian functionals and the solution to a stochastic partial differential equation
- Evolution equation of a stochastic semigroup with white-noise drift.
- An improved characterisation of regular generalised functions of white noise and an application to singular SPDEs
- Reliability analysis of the uncertain heat conduction model
- Some parabolic PDEs whose drift is an irregular random noise in space
- \(L_{q}\) (\(L_{p}\)) theory and Hölder estimates for parabolic SPDEs
- On stochastic generalized functions
- scientific article; zbMATH DE number 4145045 (Why is no real title available?)
- scientific article; zbMATH DE number 4058564 (Why is no real title available?)
- scientific article; zbMATH DE number 2104024 (Why is no real title available?)
This page was built for publication: Generalized solution of some parabolic equations with a random drift
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1124211)
