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.

Review text

The authors extended Walsh's stochastic integral with respect to a space-time Gaussian noise, in order to integrate some random measure-valued processes. This extension turns out to be equivalent to Dalang's one, under mild conditions on the integrand. They studied general second-order stochastic partial differential equations driven by such noise. Taking the semigroup formulation of the equation, they show the existence of the solution, and using the techniques of the Malliavin calculus they obtain regularity results on the density of the probability law of the solution. In particular, the stochastic heat equation in any space dimension and the stochastic wave equation in space dimension \(d= 1,2,3\) are presented as examples.

Recommendations

• On the density of systems of non-linear spatially homogeneous SPDEs
• Smoothness of the joint density for spatially homogeneous SPDEs
• Existence and regularity of the density for solutions to semilinear dissipative parabolic SPDEs
• On stochastic partial differential equations with spatially correlated noise: smoothness of the law.
• Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's

Cites work

• A stochastic wave equation in dimension 3: Smoothness of the law
• A stochastic wave equation in two space dimensions: smoothness of the law
• Absolute continuity of the law of the solution to the 3-dimensional stochastic wave equation.
• Dirichlet forms and analysis on Wiener space
• Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's
• Malliavin Calculus with Applications to Stochastic Partial Differential Equations
• Nonlinear stochastic wave and heat equations
• On stochastic partial differential equations with spatially correlated noise: smoothness of the law.
• Random nonlinear wave equations: Smoothness of the solutions
• Stochastic Equations in Infinite Dimensions
• The Cauchy problem for a nonlinear stochastic wave equation in any dimension
• The Malliavin Calculus and Related Topics
• The stochastic wave equation in two spatial dimensions

Cited in

(54)

• 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
• Absolute continuity of solutions to reaction-diffusion equations with multiplicative noise
• 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
• High-frequency analysis of parabolic stochastic PDEs
• A central limit theorem for the stochastic heat equation
• Moment bounds and asymptotics for the stochastic wave equation
• Existence of density for the stochastic wave equation with space-time homogeneous Gaussian noise
• Existence and smoothness of the density for the stochastic continuity equation
• Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition
• Regularity of the sample paths of a class of second-order SPDE's
• Solving a nonlinear fractional stochastic partial differential equation with fractional noise
• Path properties of a class of Gaussian processes with applications to SPDE's
• Small stochastic perturbations in a general fractional kinetic equation
• Non-elliptic SPDEs and ambit fields: existence of densities
• Intermittency for the wave and heat equations with fractional noise in time
• Hitting probabilities for nonlinear systems of stochastic waves
• Optimal Gaussian density estimates for a class of stochastic equations with additive noise
• Existence and regularity of the density for solutions to semilinear dissipative parabolic SPDEs
• Hitting probabilities for systems of non-linear stochastic heat equations in spatial dimension \(k\geq 1\)
• scientific article; zbMATH DE number 1086163 (Why is no real title available?)
• Moderate deviations for a stochastic heat equation with spatially correlated noise
• Regularity and strict positivity of densities for the nonlinear stochastic heat equation
• Stochastic integrals for SPDEs: a comparison
• Logarithmic asymptotics of the densities of SPDEs driven by spatially correlated noise
• On the density of systems of non-linear spatially homogeneous SPDEs
• ON THE ASYMPTOTICS OF THE DENSITY IN PERTURBED SPDE'S WITH SPATIALLY CORRELATED NOISE
• Continuity in law for solutions of SPDES with space-time homogeneous Gaussian noise
• The stochastic wave equation with fractional noise: a random field approach
• Malliavin calculus and densities for singular stochastic partial differential equations
• Regularity of the law of solutions to the stochastic heat equation with non-Lipschitz reaction term
• Matching upper and lower moment bounds for a large class of stochastic PDEs driven by general space-time Gaussian noises
• Gaussian estimates for the density of the non-linear stochastic heat equation in any space dimension
• Differentiability in infinite dimension and the Malliavin calculus
• Gaussian fluctuations of spatial averages of a system of stochastic heat equations
• Optimal lower bounds on hitting probabilities for non-linear systems of stochastic fractional heat equations
• Sample path regularity of non-autonomous uniformly parabolic SPDEs
• 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

This page was built for publication: Existence and smoothness of the density for spatially homogeneous SPDEs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2385208)