Pathwise Taylor expansions for Itô random fields

DOI10.3934/MCRF.2011.1.437MaRDI QIDQ427951zbMATH OpenOpenAlexFDO

Authors Rainer Buckdahn, Ingo Bulla, Jin Ma

Publication date 18 June 2012

Published in Mathematical Control and Related Fields (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1008.3221

zbMATH Keywords

pathwise stochastic Taylor expansionstochastic characteristicsstochastic viscosity solutionsWick-square

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: In this paper we study the {it pathwise stochastic Taylor expansion}, in the sense of our previous work cite{Buckdahn_Ma_02}, for a class of It^o-type random fields in which the diffusion part is allowed to contain both the random field itself and its spatial derivatives. Random fields of such an "self-exciting" type particularly contains the fully nonlinear stochastic PDEs of curvature driven diffusion, as well as certain stochastic Hamilton-Jacobi-Bellman equations. We introduce the new notion of "$n$-fold" derivatives of a random field, as a fundamental device to cope with the special self-exciting nature. Unlike our previous work cite{Buckdahn_Ma_02}, our new expansion can be defined around any random time-space point $(,xi)$, where the temporal component ${\displaystyle }$ does not even have to be a stopping time. Moreover, the exceptional null set is independent of the choice of the random point $(,xi)$. As an application, we show how this new form of pathwise Taylor expansion could lead to a different treatment of the stochastic characteristics for a class of fully nonlinear SPDEs whose diffusion term involves both the solution and its gradient, and hence lead to a definition of the {it stochastic viscosity solution} for such SPDEs, which is new in the literature.

Review text

This article is devoted to the following pathwise stochastic Taylor expansion result. Let \(\xi\equiv\xi^{(0)}= \xi(t,x)\) be a random field on \([0,T]\times \mathbb{R}^d\) which is three-differentiable, in the sense that (roughly), for \(0\leq i\leq 2\) and smooth \(\xi^i_0\), \(F_i\), \(G_i\), one has NEWLINE\[NEWLINE\xi^{(i)}(t,x)= \xi^i_0(x)+ \int^t_0 F_i(x, \xi^{(i+1)}(s,x))\,ds+ \int^t_0 G_i(x, \xi^{(i+1)}(s, x))\,dB_s.NEWLINE\]NEWLINE Then, for any \(\alpha\in \;]\frac{1}{3},\frac{1}{2}[\) and \(m\in\mathbb{N}\), there exists an almost sure event \(\Omega_{\alpha,m}\) such that, for all \((t,x,\omega)\in [0,T]\times\overline B(0; m)\times \Omega_{\alpha, m}\) and \((t+ h,x+k)\in [0,T]\times\overline B(0,m)\), the following Taylor expansion holds: NEWLINE\[NEWLINE\begin{multlined} \xi(t+ h,x+ k)= \xi(t,x)+ ah+\langle p, k\rangle+ (b+\langle q,k\rangle)(B_{t+ h}- B_t)+ c(B_{t+h}-B_t)^2+\\ +\langle Xk,k\rangle+ (|h|+ |k|^2)^{3\alpha} R_{\alpha,m}(t,t+h,x,x+k),\end{multlined}NEWLINE\]NEWLINE for explicit coefficients \(a\), \(b\), \(c\), \(p\), \(q\), \(X\), and a locally bounded remainder term \(R_{\alpha, m}\).NEWLINENEWLINE Finally, the authors apply their result to stochastic PDEs and their stochastic viscosity solutions.

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• Pathwise Taylor expansions for random fields on multiple dimensional paths
• Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs
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Cited in

(7)

• Taylor expansions of solutions of stochastic partial differential equations
• A stochastic Taylor-like expansion in the rough path theory
• Fully nonlinear stochastic and rough PDEs: classical and viscosity solutions
• Pathwise Taylor expansions for random fields on multiple dimensional paths
• Probabilistic interpretation for solutions of fully nonlinear stochastic pdes
• Strong convergence of stochastic taylor expansions of two-parameter random fields
• A mild Itô formula for SPDEs

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