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

DOI10.1016/J.SPA.2012.11.004MaRDI QIDQ1940243zbMATH OpenOpenAlexFDO

Authors David Nualart, Jian Song, Yaozhong Hu

Publication date 6 March 2013

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

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

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)

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.

Recommendations

• Smoothness of the functional law generated by a nonlinear SPDE
• 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

Cited in

(21)

• Optimal lower bounds on hitting probabilities for stochastic heat equations in spatial dimension \(k \geq 1\)
• A note on the smoothness of densities
• Smoothness of the functional law generated by a nonlinear SPDE
• The spatial Lambda-Fleming-Viot process with fluctuating selection
• BSDEs generated by fractional space-time noise and related SPDEs
• Gaussian estimates for the density of the non-linear stochastic heat equation in any space dimension
• On the density of the supremum of the solution to the linear stochastic heat equation
• Regularity and strict positivity of densities for the nonlinear stochastic heat equation
• On mean field games with common noise and McKean-Vlasov SPDEs
• Regularity and Sensitivity for McKean-Vlasov Type SPDEs Generated by Stable-like Processes
• Regularity of the density for the stochastic heat equation
• Feynman-Kac formula for heat equation driven by fractional white noise
• Hölder continuity for stochastic fractional heat equation with colored noise
• Optimal regularity of SPDEs with additive noise
• Joint Hölder continuity of parabolic Anderson model
• Nonlinear Feynman--Kac formulas for Stochastic Partial Differential Equations with Space-Time Noise
• Application of DJ method to Itô stochastic differential equations
• On a class of mixed stochastic heat equations driven by spatially homogeneous Gaussian noise
• Stochastic heat equations with general multiplicative Gaussian noises: Hölder continuity and intermittency
• Hölder-continuity for the nonlinear stochastic heat equation with rough initial conditions
• Pathwise regularization of the stochastic heat equation with multiplicative noise through irregular perturbation

This page was built for publication: A nonlinear stochastic heat equation: Hölder continuity and smoothness of the density of the solution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1940243)