Existence and smoothness of the density for spatially homogeneous SPDEs

DOI10.1007/S11118-007-9055-3MaRDI QIDQ2385208zbMATH OpenOpenAlexFDO

Authors David Nualart, Lluís Quer-Sardanyons

Publication date 11 October 2007

Published in Potential Analysis (Search for Journal in Brave)

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

zbMATH Keywords

Gaussian noiseMalliavin calculusstochastic partial differential equations

Mathematics Subject Classification ID

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

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.

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Cites work

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Cited in

(53)

• Gaussian density estimates for solutions to quasi-linear stochastic partial differential equations
• Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's
• Points of positive density for the solution to a hyperbolic SPDE
• Behaviour of the density in perturbed SPDE's with spatially correlated noise
• Random-field solutions to linear hyperbolic stochastic partial differential equations with variable coefficients
• Weak nonmild solutions to some SPDEs
• A central limit theorem for the stochastic wave equation with fractional noise
• Global solutions to stochastic wave equations with superlinear coefficients
• A note on the smoothness of densities
• Spatial ergodicity of stochastic wave equations in dimensions 1, 2 and 3
• Spatial ergodicity for SPDEs via Poincaré-type inequalities
• Hölder continuity of solutions to the Dirichlet problem for SPDEs with spatially correlated noise
• The hyperbolic Anderson model: moment estimates of the Malliavin derivatives and applications
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• Convergence of densities of spatial averages of stochastic heat equation
• Density bounds for solutions to differential equations driven by Gaussian rough paths
• Optimal lower bounds on hitting probabilities for stochastic heat equations in spatial dimension \(k \geq 1\)
• Gaussian fluctuations for the stochastic heat equation with colored noise
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• A central limit theorem for the stochastic heat equation
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• scientific article; zbMATH DE number 1086163 (Why is no real title available?)
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• Smoothness of the joint density for spatially homogeneous SPDEs
• Properties of the density for a three-dimensional stochastic wave equation
• Fractional SPDEs driven by spatially correlated noise: existence of the solution and smoothness of its density

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