Particle representations for stochastic partial differential equations with boundary conditions

DOI10.1214/18-EJP186zbMATH Open1430.60054arXiv1607.08909MaRDI QIDQ1663890FDOQ1663890

Authors: Dan Crisan, Christopher Janjigian, Thomas G. Kurtz 

Publication date: 24 August 2018

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

Abstract: In this article, we study a weighted particle representation for a class of stochastic partial differential equations with Dirichlet boundary conditions. The locations and weights of the particles satisfy an infinite system of stochastic differential equations (SDEs). The evolution of the particles is modeled by an infinite system of stochastic differential equations with reflecting boundary condition and driven by independent finite dimensional Brownian motions. The weights of the particles evolve according to an infinite system of stochastic differential equations driven by a common cylindrical noise $W$ and interact through $V$, the associated weighted empirical measure. When the particles hit the boundary their corresponding weights are assigned a pre-specified value. We show the existence and uniqueness of a solution of the infinite dimensional system of stochastic differential equations modeling the location and the weights of the particles. We also prove that the associated weighted empirical measure $V$ is the unique solution of a nonlinear stochastic partial differential equation driven by $W$ with Dirichlet boundary condition. The work is motivated by and applied to the stochastic Allen-Cahn equation and extends the earlier of work of Kurtz and Xiong.

Full work available at URL: https://arxiv.org/abs/1607.08909

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zbMATH Keywords

stochastic partial differential equationsinteracting particle systemsstochastic Allen-Cahn equationdiffusions with reflecting boundaryEuclidean quantum field theory equation with quartic interaction

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12) (L^p)-limit theorems (60F25)

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Cited In (8)

• On the Hahn-Jordan decomposition for signed measure valued stochastic partial differential equations
• Weak existence and uniqueness for McKean-Vlasov SDEs with common noise
• Particle representations for a class of nonlinear SPDEs
• Consensus-based global optimization with personal best
• Particle approximations for a class of stochastic partial differential equations
• Stochastic PDEs on graphs as scaling limits of discrete interacting systems
• New particle representations for ergodic McKean-Vlasov SDEs
• A CLASS OF NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS(SDES) WITH JUMPS DERIVED BY PARTICLE REPRESENTATIONS

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