An Itô formula for rough partial differential equations and some applications

DOI10.1007/S11118-020-09830-YMaRDI QIDQ2223717zbMATH OpenOpenAlexFDO

Authors Antoine Hocquet, Torstein Nilssen

Publication date 1 February 2021

Published in Potential Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1806.10427

zbMATH Keywords

energy method Itô formula maximum principle renormalized solutions rough paths rough PDEs weak solutions

Mathematics Subject Classification ID

Weak solutions to PDEs (35D30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Rough partial differential equations (60L50)

Abstract: We investigate existence, uniqueness and regularity for solutions of rough parabolic equations of the form

p a r t i a l_{t} u - A_{t} u - f = (d o t X_{t} (x) c d o t a b l a + d o t Y_{t} (x)) u

on

[0, T] i m e s m a t h b b R^{d} .

To do so, we introduce a concept of "differential rough driver", which comes with a counterpart of the usual controlled paths spaces in rough paths theory, built on the Sobolev spaces

W^{k, p} .

We also define a natural notion of geometricity in this context, and show how it relates to a product formula for controlled paths. In the case of transport noise (i.e. when

Y = 0

), we use this framework to prove an It^o Formula (in the sense of a chain rule) for Nemytskii operations of the form

u m a p s t o F (u),

where

F

is

C^{2}

and vanishes at the origin. Our method is based on energy estimates, and a generalization of the Moser Iteration argument to prove boundedness of a dense class of solutions of parabolic problems as above. In particular, we avoid the use of flow transformations and work directly at the level of the original equation. We also show the corresponding chain rule for

F (u) = | u |^{p}

with

p g e q 2,

but also when

Y e q 0

and

p g e q 4.

As an application of these results, we prove existence and uniqueness of a suitable class of

L^{p}

-solutions of parabolic equations with multiplicative noise. Another related development is the homogeneous Dirichlet boundary problem on a smooth domain, for which a weak maximum principle is shown under appropriate assumptions on the coefficients.

Review text

The paper deals with rough parabolic differential equations of the form \[ \mathrm{d} u_t-(A_t u +f_t(x))\mathrm{d} t= \mathrm{d} \mathbf{B} _t u_t, \quad \text{on}\quad (0,T]\times \mathbb{R}^d,\tag{rough-paths-eq} \] with initial condition \( u_0=u^0\in L^p(\mathbb{R}^d)\) for \(p\in[1,\infty]\), where \(A_t=\partial_i(a^{ij}(t,\cdot)\partial_j \cdot)\) and \( \mathbf{B}=(B^1,B^2)\) denotes some kind of two-step ``enhancement of the time-dependent family of differential operators \[ B^1_{t}:= X _t^i(x)\partial _i + X^0_t(x)\,,\quad t\in[0,T], \] for \((X _t^i(x))_{0\leq i\leq d}\) sufficiently regular in space, and \(B^2\) corresponds to an additional object akin to the usual Lévy area. Relying on rough path theory, the first main achievement of the work is the well-posedness for the rough partial differential equation (rough-paths-eq), that is, there exists a unique solution \(u\) in the class of controlled paths having finite energy. Assuming that \(\mathbf{B}\) is ``transport-like, i.e., \(X^0 =0\), the authors prove that the Itô type formula \[ \mathrm{d} (F(u))-F'(u)(A_tu+f)\mathrm{d} t= \mathrm{d} \mathbf{X}\cdot \nabla (F(u)) \] holds for any \(F\in C^2(\mathbb{R},\mathbb{R})\) with \(F(0)=F'(0)=0\) and \(|F|_{L^{\infty}}<\infty\), and deduce from it a weak maximum principle. Furthermore, for every \(L^p\)-solution \(u\) of (rough-paths-eq), and under some mild assumptions on \(f\) and \(u_0\), the authors establish the following Itô type formula for the \(L^p\)-norm of the solution~\(u\): \[ \mathrm{d} |u|^p-pu|u|^{p-2}(A_tu+f) \mathrm{d} t= (\mathrm{d} \mathbf{X}\cdot \nabla + p\mathbf{X}^0)|u|^p\, \] as long as \(p\geq 4\) and even for \(p\geq 2\) if \(X^0=0\).

Recommendations

Cites work

Cited in

(12)

This page was built for publication: An Itô formula for rough partial differential equations and some applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2223717)