Stochastic heat equation with white-noise drift

Heat equation (35K05) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random operators and equations (aspects of stochastic analysis) (60H25)

Review text

The authors study the existence and uniqueness of solutions for a one-dimensional anticipative stochastic evolution equation on the real line \[ u(t,x)=\int_{\mathbb R} p(0,t,y,x)u_0(y) dy + \int_{\mathbb R} \int_0^t p(s,t,y,x)F(s,y,u(s,y)) dW_{s,y} \] driven by a two-parameter Wiener process \(W_{t,x}\) and based on a stochastic semigroup defined by the kernel \(p(s,t,y,x)\). This kernel is supposed to be measurable w.r.t. the increments of the Wiener process on \([s,t]\times\mathbb R\). The results are based on \(L^p\)-estimates for the Skorokhod integral. As an application they establish the existence of a weak solution for the following heat equation on the real line subject to white noise drift, \[ \partial_t u(t,x)=\partial_x^2 u(t,x)+\dot{v}(t,x)\partial_x u(t,x)+F(t,x,u)\partial_t\partial_x W(t,x), \] where \(\dot{v}\) is a white noise in time.

Recommendations

Cited in

(14)

This page was built for publication: Stochastic heat equation with white-noise drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1978133)