Non-elliptic SPDEs and ambit fields: existence of densities

DOI10.1007/978-3-319-23425-0_5zbMATH Open1336.60124arXiv1502.02386OpenAlexW2113401122MaRDI QIDQ2801792FDOQ2801792

Marta Sanz-Solé, André Süss

Publication date: 22 April 2016

Published in: Stochastics of Environmental and Financial Economics (Search for Journal in Brave)

Abstract: Relying on the method developed in [debusscheromito2014], we prove the existence of a density for two different examples of random fields indexed by $(t,x)in(0,T]imesRd$. The first example consists of SPDEs with Lipschitz continuous coefficients driven by a Gaussian noise white in time and with a stationary spatial covariance, in the setting of [dalang1999]. The density exists on the set where the nonlinearity $sigma$ of the noise does not vanish. This complements the results in [sanzsuess2015] where $sigma$ is assumed to be bounded away from zero. The second example is an ambit field with a stochastic integral term having as integrator a L'evy basis of pure-jump, stable-like type.

Full work available at URL: https://arxiv.org/abs/1502.02386

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zbMATH Keywords

stochastic partial differential equationsdensitiesstochastic wave equationstochastic integral[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+basis&go=Go L��vy basis]ambit fields

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random fields (60G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stable stochastic processes (60G52) Stochastic integrals (60H05)

Cites Work

• Spectral representations of infinitely divisible processes
• Existence of densities for stable-like driven SDEs with Hölder continuous coefficients
• Absolute continuity for some one-dimensional processes
• Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's
• Existence of densities for the 3D Navier-Stokes equations driven by Gaussian noise
• The non-linear stochastic wave equation in high dimensions
• Absolute continuity of the law of the solution to the 3-dimensional stochastic wave equation.
• Coupling property and gradient estimates of Lévy processes via the symbol
• Regularization properties of the 2D homogeneous Boltzmann equation without cutoff
• Integration by parts formula and applications to equations with jumps
• A stochastic wave equation in dimension 3: Smoothness of the law

Cited In (4)

• A simple method for the existence of a density for stochastic evolutions with rough coefficients
• Existence and Besov regularity of the density for a class of SDEs with Volterra noise
• Hölder regularity of the densities for the Navier-Stokes equations with noise
• On the density of systems of non-linear spatially homogeneous SPDEs

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