Occupation densities for SPDEs with reflection.

DOI10.1214/AOP/1078415833MaRDI QIDQ1879850zbMATH OpenOpenAlexFDO

Authors L. Zambotti

Publication date 15 September 2004

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0204313, https://projecteuclid.org/euclid.aop/1078415833

zbMATH Keywords

local times and additive functionalsstochastic partial differential equations with reflection

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Local time and additive functionals (60J55)

Abstract: We consider the solution (u,eta) of the white-noise driven stochastic partial differential equation with reflection on the space interval [0,1] introduced by Nualart and Pardoux. First, we prove that at any fixed time t>0, the measure eta([0,t] imes d heta) is absolutely continuous w.r.t. the Lebesgue measure d heta on (0,1). We characterize the density as a family of additive functionals of u, and we interpret it as a renormalized local time at 0 of (u(t, heta))_{tgeq 0}. Finally we study the behaviour of eta at the boundary of [0,1]. The main technical novelty is a projection principle from the Dirichlet space of a Gaussian process, vector-valued solution of a linear SPDE, to the Dirichlet space of the process u.

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Cited in

(13)

• Quasilinear stochastic elliptic equations with reflection: The existence of a density
• On the perturbation problem for occupation densities
• White noise driven SPDEs with reflection
• Hypercontractivity for space-time white noise driven SPDEs with reflection
• Integration by parts formulae on convex sets of paths and applications to SPDEs with reflection
• Bessel SPDEs with general Dirichlet boundary conditions
• Bessel SPDEs and renormalised local times
• A brief and personal history of stochastic partial differential equations
• Conservative stochastic Cahn-Hilliard equation with reflection
• Occupation densities of stratonovitch stochastic differential equations with boundary conditions
• Rearranged stochastic heat equation
• On ergodic properties of stochastic PDEs
• Existence of invariant measures for reflected stochastic partial differential equations

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