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

DOI10.1016/J.JFA.2008.04.004MaRDI QIDQ935055zbMATH OpenOpenAlexFDO

Authors Marta Sanz-Solé

Publication date 31 July 2008

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0802.1607

zbMATH Keywords

correlated noiseMaviallin calculusstochastic wave equation

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: We consider a stochastic wave equation in space dimension three driven by a noise white in time and with an absolutely continuous correlation measure given by the product of a smooth function and a Riesz kernel. Let $p_{t,x}(y)$ be the density of the law of the solution $u(t,x)$ of such an equation at points $(t,x)in]0,T]imesI{R}^3$. We prove that the mapping $(t,x)mapsto{p}_{t,x}(y)$ owns the same regularity as the sample paths of the process $u(t,x),(t,x)in]0,T]imesmathbb{R}^3$ established Dalang and Sanz-Sol'e [Memoirs of the AMS, to appear]. The proof relies on Malliavin calculus and more explicitely, Watanabe's integration by parts formula and estimates derived form it.

Review text

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.

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Cited in

(11)

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• A stochastic wave equation in dimension 3: Smoothness of the law
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