A nonlinear stochastic heat equation: Hölder continuity and smoothness of the density of the solution

DOI10.1016/J.SPA.2012.11.004zbMATH Open1272.60043arXiv1110.4855OpenAlexW2010765629MaRDI QIDQ1940243FDOQ1940243

Authors: David Nualart, Jian Song, Yaozhong Hu 

Publication date: 6 March 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In this paper, we establish a version of the Feynman-Kac formula for multidimensional stochastic heat equation driven by a general semimartingale. This Feynman-Kac formula is then applied to study some nonlinear stochastic heat equations driven by nonhomogenous Gaussian noise: First, it is obtained an explicit expression for the Malliavin derivatives of the solutions. Based on the representation we obtain the smooth property of the density of the law of the solution. On the other hand, we also obtain the H"older continuity of the solutions.

Full work available at URL: https://arxiv.org/abs/1110.4855

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zbMATH Keywords

Feynman-Kac formulachaos expansionstochastic heat equationsMalliavin calculus.Hölder continuity

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (21)

• Optimal regularity of SPDEs with additive noise
• Regularity and Sensitivity for McKean-Vlasov Type SPDEs Generated by Stable-like Processes
• On a class of mixed stochastic heat equations driven by spatially homogeneous Gaussian noise
• The spatial Lambda-Fleming-Viot process with fluctuating selection
• Feynman-Kac formula for heat equation driven by fractional white noise
• Regularity and strict positivity of densities for the nonlinear stochastic heat equation
• Application of DJ method to Itô stochastic differential equations
• Joint Hölder continuity of parabolic Anderson model
• Hölder-continuity for the nonlinear stochastic heat equation with rough initial conditions
• BSDEs generated by fractional space-time noise and related SPDEs
• Stochastic heat equations with general multiplicative Gaussian noises: Hölder continuity and intermittency
• Smoothness of the functional law generated by a nonlinear SPDE
• Pathwise regularization of the stochastic heat equation with multiplicative noise through irregular perturbation
• Gaussian estimates for the density of the non-linear stochastic heat equation in any space dimension
• On mean field games with common noise and McKean-Vlasov SPDEs
• Regularity of the density for the stochastic heat equation
• Nonlinear Feynman--Kac formulas for Stochastic Partial Differential Equations with Space-Time Noise
• A note on the smoothness of densities
• Hölder continuity for stochastic fractional heat equation with colored noise
• 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

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