A nonlinear stochastic heat equation: Hölder continuity and smoothness of the density of the solution
The authors first consider the nonlinear stochastic heat equation \[ \frac{\partial u}{\partial t}=\frac{1}{2}\triangle u +b(u)+\sigma(u) \dot{W}(t,x), \quad t\geq 0,\;x\in \mathbb{R}^d \] with initial condition \[ u(0,x)=u_0(x), \] where \(\Delta=\sum_{i=1}^d \frac{\partial ^2}{\partial x_i^2}\) is the Laplace operator, \(b\) and \(\sigma\) are globally Lipschitz continuous functions, and \(W\) is a zero mean Gaussian random field, which is a Brownian motion in the time variable and has a nonhomogeneous spatial covariance with density \(q(x,y)\); \(\dot{W}(t,x)\) denotes the generalized random field \(\frac {\partial^{d+1} W}{\partial t \partial x_1 \dots \partial x_d}\). The authors define \[ V_{s,\xi}(t,x)= \int_{\mathbb{R}^d} c(\xi, y) D_{s,y}u(t,x) dy, \] where \(c\) is the square root of the kernel \(q\) as an operator. Then, for any fixed \((s,\xi)\), \(V_{s,\xi}(t,x)\) satisfies the linear stochastic heat equation with random coefficients \[ \frac{\partial V_{s,\xi}}{\partial t}=\frac{1}{2}\triangle V_{s,\xi}+b'(u)V_{s,\xi}+\sigma'(u) V_{s,\xi} \dot {W}(t,x), \quad t\geq s,\;x\in \mathbb{R}^d, \] with initial condition \[ V_{s,\xi}(s,x)= c(\xi,x)\sigma(u(s,x)). \] They establish a version of the Feynman-Kac formula for the above multidimensional stochastic heat equation driven by a general semimartingale and apply it to study the smoothness properties of the density of the law of the solution to above nonlinear stochastic heat equation.
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- Feynman-Kac formula for heat equation driven by fractional white noise
- Hölder-continuity for the nonlinear stochastic heat equation with rough initial conditions
- Gaussian estimates for the density of the non-linear stochastic heat equation in any space dimension
- Regularity of the density for the stochastic heat equation
- Regularity of the density for the stochastic heat equation
- Hölder continuity for stochastic fractional heat equation with colored noise
- The spatial Lambda-Fleming-Viot process with fluctuating selection
- A note on the smoothness of densities
- Joint Hölder continuity of parabolic Anderson model
- Optimal lower bounds on hitting probabilities for stochastic heat equations in spatial dimension \(k \geq 1\)
- On the density of the supremum of the solution to the linear stochastic heat equation
- Smoothness of the functional law generated by a nonlinear SPDE
- Stochastic heat equations with general multiplicative Gaussian noises: Hölder continuity and intermittency
- Nonlinear Feynman--Kac formulas for Stochastic Partial Differential Equations with Space-Time Noise
- Hölder-continuity for the nonlinear stochastic heat equation with rough initial conditions
- Regularity and strict positivity of densities for the nonlinear stochastic heat equation
- Application of DJ method to Itô stochastic differential equations
- Regularity and Sensitivity for McKean-Vlasov Type SPDEs Generated by Stable-like Processes
- On mean field games with common noise and McKean-Vlasov SPDEs
- Optimal regularity of SPDEs with additive noise
- BSDEs generated by fractional space-time noise and related SPDEs
- On a class of mixed stochastic heat equations driven by spatially homogeneous Gaussian noise
- Pathwise regularization of the stochastic heat equation with multiplicative noise through irregular perturbation
- Feynman-Kac formula for heat equation driven by fractional white noise
- Gaussian estimates for the density of the non-linear stochastic heat equation in any space dimension
- Some conditional properties of superprocesses in random environments
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