Scalar conservation laws with rough flux and stochastic forcing

DOI10.1007/S40072-016-0072-3zbMATH Open1351.60080arXiv1503.03631OpenAlexW2964174605MaRDI QIDQ338207FDOQ338207

Authors: Martina Hofmanová 

Publication date: 4 November 2016

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Abstract: In this paper, we study scalar conservation laws where the flux is driven by a geometric H"older $p$-rough path for some $pin(2,3)$ and the forcing is given by an It^o stochastic integral driven by a Brownian motion. In particular, we derive the corresponding kinetic formulation and define an appropriate notion of kinetic solution. In this context, we are able to establish well-posedness, i.e. existence, uniqueness and the $L^1$-contraction property that leads to continuous dependence on initial condition. Our approach combines tools from rough path analysis, stochastic analysis and theory of kinetic solutions for conservation laws. As an application, this allows to cover the case of flux driven for instance by another (independent) Brownian motion enhanced with L'evy's stochastic area.

Full work available at URL: https://arxiv.org/abs/1503.03631

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zbMATH Keywords

Brownian motionstochastic forcingkinetic solutionrough pathsscalar conservation lawsmethod of characteristicsstochastic integral

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65) Hyperbolic conservation laws (35L65) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic integrals (60H05)

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