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

DOI10.1214/EJP.V4-43zbMATH Open0922.60056MaRDI QIDQ1293636FDOQ1293636

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

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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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• On a high-dimensional nonlinear stochastic partial differential equation
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• Global solutions to stochastic reaction-diffusion equations with super-linear drift and multiplicative noise
• Spatial ergodicity of stochastic wave equations in dimensions 1, 2 and 3
• Inverse random source scattering problems in several dimensions
• Optimal Hölder continuity and hitting probabilities for SPDEs with rough fractional noises
• Geometric ergodicity of a bead-spring pair with stochastic Stokes forcing
• Parabolic Anderson model with rough or critical Gaussian noise
• Moderate deviations for a stochastic wave equation in dimension three
• Stochastic fractional heat equations driven by fractional noises
• High-frequency analysis of parabolic stochastic PDEs
• Transportation cost-information inequality for stochastic wave equation
• On a class of stochastic hyperbolic equations with double characteristics
• The Hausdorff measure of the range and level sets of Gaussian random fields with sectorial local nondeterminism
• Malliavin differentiability of solutions of SPDEs with Lévy white noise
• An approximation result for a class of stochastic heat equations with colored noise
• Random-field solutions to linear hyperbolic stochastic partial differential equations with variable coefficients
• SPDEs with fractional noise in space: continuity in law with respect to the Hurst index
• Local nondeterminism and the exact modulus of continuity for stochastic wave equation
• Talagrand concentration inequalities for stochastic partial differential equations
• Finite time blowup in \(L^2\) sense of solutions to SPDEs with Bernstein functions of the Laplacian
• On weak convergence of stochastic heat equation with colored noise
• The stochastic wave equations driven by fractional and colored noises
• Higher-order stochastic partial differential equations with branching noises
• Quantitative normal approximations for the stochastic fractional heat equation
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• Local nondeterminism and local times of the stochastic wave equation driven by fractional-colored noise
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• Intermittency for the wave equation with Lévy white noise
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• Hölder continuity for stochastic fractional heat equation with colored noise
• Correlation structure, quadratic variations and parameter estimation for the solution to the wave equation with fractional noise
• Logarithmic asymptotics of the densities of SPDEs driven by spatially correlated noise
• Sharp space-time regularity of the solution to stochastic heat equation driven by fractional-colored noise
• Fractional stochastic wave equation driven by a Gaussian noise rough in space
• A central limit theorem for the stochastic wave equation with fractional noise
• Worthy martingales and integrators
• A boundedness trichotomy for the stochastic heat equation
• Path properties of the solution to the stochastic heat equation with Lévy noise
• Continuity and strict positivity of the multi-layer extension of the stochastic heat equation
• A macroscopic multifractal analysis of parabolic stochastic PDEs
• Boundary stabilisation to non-stationary solutions for deterministic and stochastic parabolic-type equations
• Intermittency for the hyperbolic Anderson model with rough noise in space
• Second order Lyapunov exponents for parabolic and hyperbolic Anderson models
• Stochastic heat and wave equations on a Lie group
• Boundary stabilization of the stochastic heat equation by proportional feedbacks
• Nonlinear stochastic heat equation driven by spatially colored noise: moments and intermittency
• On a nonlinear stochastic pseudo-differential equation driven by fractional noise
• Non-linear noise excitation and intermittency under high disorder
• Kernel-correlated Lévy field driven forward rate and application to derivative pricing
• Nonlinear fractional stochastic heat equation driven by Gaussian noise rough in space
• On a class of mixed stochastic heat equations driven by spatially homogeneous Gaussian noise
• Non-linear rough heat equations
• Semigroups, potential spaces and applications to (S)PDE
• Initial measures for the stochastic heat equation
• Stochastic integrals for SPDEs: a comparison
• 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
• On stochastic partial differential equations with spatially correlated noise: smoothness of the law.
• Existence and blow-up of solutions to the fractional stochastic heat equations
• Hitting probabilities for systems of non-linear stochastic heat equations in spatial dimension \(k\geq 1\)
• Some properties of non-linear fractional stochastic heat equations on bounded domains
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• A fractional Brownian field indexed by \(L^2\) and a varying Hurst parameter
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• The high-order SPDEs driven by multi-parameter fractional noises
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• On the chaotic character of the stochastic heat equation. II
• The stochastic wave equation with multiplicative fractional noise: A Malliavin calculus approach
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• A note on intermittency for the fractional heat equation
• The non-Archimedean stochastic heat equation driven by Gaussian noise
• Gaussian density estimates for solutions to quasi-linear stochastic partial differential equations
• Solvability of parabolic Anderson equation with fractional Gaussian noise
• On implicit and explicit discretization schemes for parabolic SPDEs in any dimension
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• Decorrelation of total mass via energy
• Corrections to: Extending the martingale measure stochastic integral with applications to spatially homogeneous s. p. d. e. 's
• Itô's formula for linear fractional PDEs
• On pathwise uniqueness for stochastic heat equations with non-Lipschitz coefficients
• Covariance measure and stochastic heat equation with fractional noise
• Path properties of a class of Gaussian processes with applications to SPDE's
• Strong solutions to stochastic wave equations with values in Riemannian manifolds
• Hölder continuity of solutions to the Dirichlet problem for SPDEs with spatially correlated noise
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• Itô's- and Tanaka's-type formulae for the stochastic heat equation: The linear case

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