Properties of the density for a three-dimensional stochastic wave equation (Q935055)

The author considers the stochastic wave equation in space dimension \(d=3\) driven by a noise white in time and correlated in space. The author studies the properties of the density \(p_{t,x} (y)\) of the solution \(u(t,x)\) of the equation as a function of \((t,x) \in ]0,T] \times D\), where \(D\) is a bounded subset of \(\mathbb{R}^3\). She proves that the map \((t,x) \to p_{t,x} (y)\) is jointly Hölder continuous, uniformly in \(y\) on compact sets. While in the stochastic heat equation with spatial dimension \(d=1\) and in the wave equation with \(d=2\) the Hölder degree regularity of \(p_{t,x}\) in \((t,x)\) is better than for the sample paths of the solution process, in the case considered in this paper the author obtains the same order of regularity. This is owed to the degenerate character of the fundamental solution of the wave equation in dimension three. The method of the proof is based on the integration by parts formula of Malliavin calculus.