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

DOI10.1142/S0219025711004286MaRDI QIDQ2996891zbMATH OpenOpenAlexFDO

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)

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

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)

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.

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Cites work

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• Stein's method on Wiener chaos
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• The Cauchy problem for a nonlinear stochastic wave equation in any dimension
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Cited in

(14)

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

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