Existence and smoothness of the density for spatially homogeneous SPDEs

DOI10.1007/S11118-007-9055-3zbMATH Open1133.60029arXivmath/0702312OpenAlexW1983155398MaRDI QIDQ2385208FDOQ2385208

Authors: David Nualart, Lluís Quer-Sardanyons 

Publication date: 11 October 2007

Published in: Potential Analysis (Search for Journal in Brave)

Abstract: In this paper, we extend Walsh's stochastic integral with respect to a Gaussian noise, white in time and with some homogeneous spatial correlation, in order to be able to integrate some random measure-valued processes. This extension turns out to be equivalent to Dalang's one. Then we study existence and regularity of the density of the probability law for the real-valued mild solution to a general second order stochastic partial differential equation driven by such a noise. For this, we apply the techniques of the Malliavin calculus. Our results apply to the case of the stochastic heat equation in any space dimension and the stochastic wave equation in space dimension $d=1,2,3$. Moreover, for these particular examples, known results in the literature have been improved.

Full work available at URL: https://arxiv.org/abs/math/0702312

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zbMATH Keywords

Malliavin calculusstochastic partial differential equationsGaussian noise

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• The Malliavin Calculus and Related Topics
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• Dirichlet forms and analysis on Wiener space
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• The Cauchy problem for a nonlinear stochastic wave equation in any dimension
• On stochastic partial differential equations with spatially correlated noise: smoothness of the law.
• Random nonlinear wave equations: Smoothness of the solutions
• A stochastic wave equation in dimension 3: Smoothness of the law

Cited In (48)

• Properties of the density for a three-dimensional stochastic wave equation
• Spatial ergodicity of stochastic wave equations in dimensions 1, 2 and 3
• Stochastic integrals for SPDEs: a comparison
• Solving a nonlinear fractional stochastic partial differential equation with fractional noise
• Hitting probabilities for systems of non-linear stochastic heat equations in spatial dimension \(k\geq 1\)
• Density bounds for solutions to differential equations driven by Gaussian rough paths
• Intermittency for the wave and heat equations with fractional noise in time
• Weak nonmild solutions to some SPDEs
• The stochastic wave equation with fractional noise: a random field approach
• Differentiability in infinite dimension and the Malliavin calculus
• Gaussian density estimates for solutions to quasi-linear stochastic partial differential equations
• High-frequency analysis of parabolic stochastic PDEs
• Small stochastic perturbations in a general fractional kinetic equation
• Path properties of a class of Gaussian processes with applications to SPDE's
• Hölder continuity of solutions to the Dirichlet problem for SPDEs with spatially correlated noise
• Random-field solutions to linear hyperbolic stochastic partial differential equations with variable coefficients
• Logarithmic Asymptotics of the Densities of SPDEs Driven by Spatially Correlated Noise
• ON THE ASYMPTOTICS OF THE DENSITY IN PERTURBED SPDE'S WITH SPATIALLY CORRELATED NOISE
• Gaussian fluctuations for the stochastic heat equation with colored noise
• Absolute continuity of solutions to reaction-diffusion equations with multiplicative noise
• Optimal Gaussian density estimates for a class of stochastic equations with additive noise
• Points of positive density for the solution to a hyperbolic SPDE
• Moment bounds and asymptotics for the stochastic wave equation
• Regularity of the law of solutions to the stochastic heat equation with non-Lipschitz reaction term
• Gaussian estimates for the density of the non-linear stochastic heat equation in any space dimension
• Regularity of the sample paths of a class of second-order SPDE's
• Convergence of densities of spatial averages of stochastic heat equation
• A central limit theorem for the stochastic heat equation
• Global solutions to stochastic wave equations with superlinear coefficients
• Continuity in law for solutions of SPDES with space-time homogeneous Gaussian noise
• Smoothness of the joint density for spatially homogeneous SPDEs
• Behaviour of the density in perturbed SPDE's with spatially correlated noise
• Existence of density for the stochastic wave equation with space-time homogeneous Gaussian noise
• A note on the smoothness of densities
• Spatial ergodicity for SPDEs via Poincaré-type inequalities
• Malliavin calculus and densities for singular stochastic partial differential equations
• Hitting probabilities for nonlinear systems of stochastic waves
• Optimal lower bounds on hitting probabilities for stochastic heat equations in spatial dimension \(k \geq 1\)
• Gaussian fluctuations of spatial averages of a system of stochastic heat equations
• Moderate deviations for a stochastic heat equation with spatially correlated noise
• Existence and regularity of the density for solutions to semilinear dissipative parabolic SPDEs
• A central limit theorem for the stochastic wave equation with fractional noise
• Regularity and Strict Positivity of Densities for the Nonlinear Stochastic Heat Equation
• On the density of systems of non-linear spatially homogeneous SPDEs
• Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition
• Fractional SPDEs driven by spatially correlated noise: existence of the solution and smoothness of its density
• Matching upper and lower moment bounds for a large class of stochastic PDEs driven by general space-time Gaussian noises
• The hyperbolic Anderson model: moment estimates of the Malliavin derivatives and applications

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