Stochastic integrals for SPDEs: a comparison (Q533110)

The paper investigates the links between two approaches to the theory of stochastic partial differential equations (SPDEs). The first approach was introduced by \textit{J. B. Walsh} [``An introduction to stochastic partial differential equations'', Lect. Notes Math. 1180, 265--437 (1986; Zbl 0608.60060)]. This emphasizes stochastic integration with respect to worthy martingale measures. Both authors of this paper have contributed to this theory. The other approach to stochastic evolution equations in Hilbert spaces is based on a theory of integration with respect to Hilbert-space valued processes. A systematic treatment of this approach is given in the monograph [\textit{G. Da Prato} and \textit{J. Zabczyk}, Stochastic equations in infinite dimensions. Cambridge etc.: Cambridge University Press (1992; Zbl 0761.60052)] (see also [\textit{D. A. Dawson}, ``Stochastic evolution equations'', Math. Biosci. 15, 287--316 (1972; Zbl 0251.60040); \textit{N. V. Krylov} and \textit{B. L. Rozovskij}, ``Über stochastische Evolutionsgleichungen'' (Russian), Itogi Nauki Tekh., Ser. Sovrem. Probl. Mat. 14, 71--146 (1979; Zbl 0436.60047)]). The authors show that several results of both theories turn out to be essentially equivalent. For instance, in Section 2, they consider a spatially homogeneous Gaussian noise that is white in time, and show how to interpret this as a cylindrical Wiener process used by G. Da Prato and J. Zabczyk. Moreover, extensions of Walsh's theory allow to link the stochastic integral with respect to this particular cylindrical Wiener process and Walsh's martingale measure stochastic integral. The last part of the paper is devoted to study a class of stochastic partial differential equations driven by a spatially homogeneous noise. This includes the stochastic heat equation in any spatial dimension and the stochastic wave equation in spatial dimension \(d=1, 2, 3\). The random field approach is compared with the infinite-dimensional formulation for these equations. The authors show that they are equivalent.