Non-elliptic SPDEs and ambit fields: existence of densities

DOI10.1007/978-3-319-23425-0_5MaRDI QIDQ2801792zbMATH OpenOpenAlexFDO

Authors André Süss, Marta Sanz-Solé

Publication date 22 April 2016

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

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

zbMATH Keywords

stochastic partial differential equationsdensitiesstochastic wave equationstochastic integralambit fieldsLévy basis

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)

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.

Recommendations

• Probability density for a hyperbolic SPDE with time dependent coefficients
• Existence and smoothness of the density for spatially homogeneous SPDEs
• On stochastic partial differential equations with spatially correlated noise: smoothness of the law.
• On the density of systems of non-linear spatially homogeneous SPDEs
• Smoothness of the joint density for spatially homogeneous SPDEs

Cites work

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

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

This page was built for publication: Non-elliptic SPDEs and ambit fields: existence of densities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2801792)