Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's

DOI10.1214/EJP.V4-43MaRDI QIDQ1293636zbMATH OpenFDO

Authors Robert C. Dalang

Publication date 8 July 1999

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/119958, http://www.emis.de/journals/EJP-ECP/EjpVol4/paper6.abs.html

zbMATH Keywords

stochastic heat equationstochastic wave equationGaussian noiseprocess solution

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic integrals (60H05)

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Cited in

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• The hyperbolic Anderson model: moment estimates of the Malliavin derivatives and applications
• Moderate deviations for stochastic heat equation with rough dependence in Space
• Deterministic and stochastic Cauchy problems for a class of weakly hyperbolic operators on \(\mathbb{R}^n\)
• Random-field solutions of weakly hyperbolic stochastic partial differential equations with polynomially bounded coefficients
• Central limit theorems for parabolic stochastic partial differential equations
• Central limit theorem for a fractional stochastic heat equation with spatially correlated noise
• Propagation of singularities for the stochastic wave equation
• Exact variations for stochastic heat equations with piecewise constant coefficients and application to parameter estimation
• Existence and uniqueness for the mild solution of the stochastic heat equation with non-Lipschitz drift on an unbounded spatial domain
• The Compact Support Property for Solutions to the Stochastic Partial Differential Equations with Colored Noise
• Comparing the stochastic nonlinear wave and heat equations: a case study
• Stochastic comparisons for stochastic heat equation
• Dense blowup for parabolic SPDEs
• Central limit theorems for stochastic wave equations in dimensions one and two
• Fractional kinetic equation driven by general space-time homogeneous Gaussian noise
• Moderate deviations for a fractional stochastic heat equation with spatially correlated noise
• Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
• Spatial stationarity, ergodicity, and CLT for parabolic Anderson model with delta initial condition in dimension \(d \geq 1\)
• Local solution to an energy critical 2-D stochastic wave equation with exponential nonlinearity in a bounded domain
• Continuity in law for solutions of SPDES with space-time homogeneous Gaussian noise
• From directed polymers in spatial-correlated environment to stochastic heat equations driven by fractional noise in \(1 + 1\) dimensions
• Global solutions for the stochastic reaction-diffusion equation with super-linear multiplicative noise and strong dissipativity
• Exact asymptotics of the stochastic wave equation with time-independent noise
• A forward-backward SDE from the 2D nonlinear stochastic heat equation
• Quantitative central limit theorems for the parabolic Anderson model driven by colored noises
• On the necessary and sufficient conditions to solve a heat equation with general additive Gaussian noise
• The Osgood condition for stochastic partial differential equations
• A regularity theory for stochastic partial differential equations with a super-linear diffusion coefficient and a spatially homogeneous colored noise
• Chung-type law of the iterated logarithm and exact moduli of continuity for a class of anisotropic Gaussian random fields
• Central limit theorems for heat equation with time-independent noise: The regular and rough cases
• Hölder regularity for the nonlinear stochastic time-fractional slow \& fast diffusion equations on \({\mathbb{R}}^d\)
• Free energy in a mean field of Brownian particles
• SPDEs with colored Gaussian noise: a survey
• Scaling limits of directed polymers in spatial-correlated environment
• Gaussian fluctuation for spatial average of parabolic Anderson model with Neumann/Dirichlet/periodic boundary conditions
• Limit theorems for time-dependent averages of nonlinear stochastic heat equations
• An almost sure central limit theorem for the stochastic heat equation
• Dissipation in parabolic SPDEs
• Spatial averages for the Parabolic Anderson model driven by rough noise
• Chaotic characterization of one dimensional stochastic fractional heat equation
• Spatial ergodicity for SPDEs via Poincaré-type inequalities
• Hyperbolic Anderson Model with space-time homogeneous Gaussian noise
• A solution theory for a general class of SPDEs
• Transportation inequalities for stochastic heat equation with rough dependence in space
• Large deviation principle for a space-time fractional stochastic heat equation with fractional noise
• A stochastically perturbed fluid-structure interaction problem modeled by a stochastic viscous wave equation
• Gaussian fluctuations for the stochastic heat equation with colored noise
• Markovian lifts of positive semidefinite affine Volterra-type processes
• Averaging Gaussian functionals
• Stratonovich solution for the wave equation
• Averaging 2D stochastic wave equation
• On the large-scale structure of the tall peaks for stochastic heat equations with fractional Laplacian
• Absolute continuity of solutions to reaction-diffusion equations with multiplicative noise
• Global solutions to stochastic wave equations with superlinear coefficients
• Central limit theorems for spatial averages of the stochastic heat equation via Malliavin-Stein's method
• Stochastic integrals for SPDEs: a comparison
• Spatial asymptotic of the stochastic heat equation with compactly supported initial data
• Existence and smoothness of the density for spatially homogeneous SPDEs
• Itô's formula for linear fractional PDEs
• SPDEs with rough noise in space: Hölder continuity of the solution
• Pathwise uniqueness for stochastic heat equations with Hölder continuous coefficients: The white noise case
• The 1-d stochastic wave equation driven by a fractional Brownian sheet
• Solving a nonlinear fractional stochastic partial differential equation with fractional noise
• Hitting probabilities and the Hausdorff dimension of the inverse images of a class of anisotropic random fields
• Stochastic partial differential equations driven by general stochastic measures
• Some properties of non-linear fractional stochastic heat equations on bounded domains
• Blow-up solutions of the stochastic nonlocal heat equations
• Linear SPDEs driven by stationary random distributions
• Nonlinear stochastic time-fractional slow and fast diffusion equations on \(\mathbb{R}^d\)
• Gaussian estimates for the density of the non-linear stochastic heat equation in any space dimension
• Solution theory to semilinear hyperbolic stochastic partial differential equations with polynomially bounded coefficients
• Nonlinear noise excitation of intermittent stochastic PDEs and the topology of LCA groups
• Limit theorems for occupation time fluctuations of branching systems. II: Critical and large dimensions
• Non-linear rough heat equations
• On a stochastic heat equation with first order fractional noises and applications to finance
• Parabolic Anderson model with space-time homogeneous Gaussian noise and rough initial condition
• On a nonlinear stochastic pseudo-differential equation driven by fractional noise
• On the existence and position of the farthest peaks of a family of stochastic heat and wave equations
• Intermittency and Chaos for a Nonlinear Stochastic Wave Equation in Dimension 1
• Parabolic Anderson model with a fractional Gaussian noise that is rough in time
• Gaussian density estimates for solutions to quasi-linear stochastic partial differential equations
• Recent developments on stochastic heat equation with additive fractional-colored noise
• Strong solutions to stochastic wave equations with values in Riemannian manifolds
• Second-order linear hyperbolic SPDEs driven by isotropic Gaussian noise on a sphere.
• Semigroups, potential spaces and applications to (S)PDE
• Solvability of parabolic Anderson equation with fractional Gaussian noise
• On pathwise uniqueness for stochastic heat equations with non-Lipschitz coefficients
• The Wiener integral with respect to second order processes with stationary increments
• The high-order SPDEs driven by multi-parameter fractional noises
• Kernel-correlated Lévy field driven forward rate and application to derivative pricing
• On stochastic partial differential equations with spatially correlated noise: smoothness of the law.
• Nonlinear fractional stochastic heat equation driven by Gaussian noise rough in space
• On implicit and explicit discretization schemes for parabolic SPDEs in any dimension
• A note on intermittency for the fractional heat equation
• Some non-linear s. p. d. e's that are second order in time
• On a stochastic partial differential equation with non-local diffusion
• Chung's law of the iterated logarithm for anisotropic Gaussian random fields
• Existence and blow-up of solutions to the fractional stochastic heat equations
• Uniqueness for stochastic non-linear wave equations
• On the solvability of degenerate stochastic partial differential equations in Sobolev spaces

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