Optimal Gaussian density estimates for a class of stochastic equations with additive noise

DOI10.1142/S0219025711004286zbMATH Open1235.60060arXiv0912.3707OpenAlexW2963556658MaRDI QIDQ2996891FDOQ2996891

Authors: David Nualart, Lluís Quer-Sardanyons 

Publication date: 4 May 2011

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Abstract: In this note, we establish optimal lower and upper Gaussian bounds for the density of the solution to a class of stochastic integral equations driven by an additive spatially homogeneous Gaussian random field. The proof is based on the techniques of the Malliavin calculus and a density formula obtained by Nourdin and Viens. Then, the main result is applied to the mild solution of a general class of SPDEs driven by a Gaussian noise which is white in time and has a spatially homogeneous correlation. In particular, this covers the case of the stochastic heat and wave equations in $mathbb{R}^d$ with $dgeq1$ and $dleq3$, respectively. The upper and lower Gaussian bounds have the same form and are given in terms of the variance of the stochastic integral term in the mild form of the equation.

Full work available at URL: https://arxiv.org/abs/0912.3707

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zbMATH Keywords

Malliavin calculusstochastic partial differential equationsspatially homogeneous Gaussian noiseGaussian density estimates

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
• Stein's method on Wiener chaos
• Density formula and concentration inequalities with Malliavin calculus
• Gaussian density estimates for solutions to quasi-linear stochastic partial differential equations
• Existence and smoothness of the density for spatially homogeneous SPDEs
• Absolute continuity of the law of the solution to the 3-dimensional stochastic wave equation.
• A stochastic wave equation in two space dimensions: smoothness of the law
• Stochastic evolution equations with a spatially homogeneous Wiener process
• The Cauchy problem for a nonlinear stochastic wave equation in any dimension
• Random nonlinear wave equations: Smoothness of the solutions

Cited In (14)

• On a nonlinear stochastic pseudo-differential equation driven by fractional noise
• Optimal approximation of SDE's with additive fractional noise
• Solving a nonlinear fractional stochastic partial differential equation with fractional noise
• The wavelet transform for Wiener functionals and some applications
• Stochastic Partial Differential Equations with Additive Gaussian Noise
• Density estimates and central limit theorem for the functional of fractional SDEs
• Gaussian estimates for the solutions of some one-dimensional stochastic equations
• Density estimates for a random noise propagating through a chain of differential equations
• Gaussian estimates for the density of the non-linear stochastic heat equation in any space dimension
• On a class of stochastic fractional kinetic equation with fractional noise
• Hölder continuous densities of solutions of SDEs with measurable and path dependent drift coefficients
• The density of solutions to multifractional stochastic Volterra integro-differential equations
• On the density of systems of non-linear spatially homogeneous SPDEs
• Gaussian upper density estimates for spatially homogeneous SPDEs

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