Existence and uniqueness of solutions to a class of stochastic functional partial differential equations via integral contractors

DOI10.4171/ZAA/873MaRDI QIDQ1284530zbMATH OpenFDO

Authors Jan Turo

Publication date 7 November 1999

Published in Zeitschrift für Analysis und ihre Anwendungen (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/48281

zbMATH Keywords

Brownian motionintegral contractorstochastic functional partial differential equationsstochastic integral equation

Mathematics Subject Classification ID

Partial functional-differential equations (35R10) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Review text

Using the characteristic and integral contractor methods, the author obtains conditions for the existence and uniqueness of solutions to the equation \[ \begin{gathered} u(t,x)= \varphi(0, y(0;t,x))+\\ \int_0^t f(s,y(s;t,x), u_{(s,y(s;t,x))})ds+ \int_0^t g(s,y(s;t,x), u_{(s,y(s;t,x))}) dw(s), \end{gathered} \] \((t,x)\in [0,T]\times \mathbb{R}^m\), \(u(t,x)= \varphi(t,x)\), \((t,x)\in [-r,0]\times \mathbb{R}^m\), \(r\geq 0\), \(T>0\), where \(y(s;t,x)\) is a solution of the stochastic integral equation \(y(s)= x+\int_s^t a(v,y(v))dv+ \int_s^t b(v,y(v)) dw(v)\), \(w(t)\) is a Brownian motion, \(u_{(t,x)}(\omega) (\tau,\theta)= u(t+\tau,x+\theta;\omega)\), \((\tau,\theta)\in [-r,0]\times [-d,d]\), \(d\in \mathbb{R}_+^m\), \(\omega\in\Omega\), for any function \(u\) and fixed \((t,x,\omega)\in [0,T]\times \mathbb{R}^m\times \Omega\).

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Cites work

• A partial differential equation with the white noise as a coefficient
• Construction of a solution of random transport equation with boundary condition
• scientific article; zbMATH DE number 3858100 (Why is no real title available?)
• scientific article; zbMATH DE number 794380 (Why is no real title available?)
• Inverse differentiability contractors and equations in Banach spaces
• Stochastic functional partial differential equations of first order
• STUDY OF A STOCHASTIC INTEGRAL EQUATION USING INTEGRAL CONTRACTORS

Cited in

(4)

• Solutions of stochastic differential-functional equations via bounded stochastic integral contractors
• scientific article; zbMATH DE number 1102866 (Why is no real title available?)
• scientific article; zbMATH DE number 2003624 (Why is no real title available?)
• Study of first order stochastic partial differential equations using integral contractors

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