The stochastic wave equation in high dimensions: Malliavin differentiability and absolute continuity

DOI10.1214/EJP.V18-2341MaRDI QIDQ388944zbMATHOpenAlexFDO

Authors Marta Sanz-Solé, André Süss

Publication date 17 January 2014

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1209.0401

zbMATH Keywords

Malliavin calculusstochastic partial differential equationsstochastic wave equationstochastic integration

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integrals (60H05) Stochastic integral equations (60H20)

Abstract: We consider the class of non-linear stochastic partial differential equations studied in cite{conusdalang}. Equivalent formulations using integration with respect to a cylindrical Brownian motion and also the Skorohod integral are established. It is proved that the random field solution to these equations at any fixed point $(t,x)in[0,T]imesRd$ is differentiable in the Malliavin sense. For this, an extension of the integration theory in cite{conusdalang} to Hilbert space valued integrands is developed, and commutation formulae of the Malliavin derivative and stochastic and pathwise integrals are proved. In the particular case of equations with additive noise, we establish the existence of density for the law of the solution at $(t,x)in]0,T]imesRd$. The results apply to the stochastic wave equation in spatial dimension $dge4$.

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Cited in

(18)

• Existence of density for the stochastic wave equation with space-time homogeneous Gaussian noise
• The hyperbolic Anderson model: moment estimates of the Malliavin derivatives and applications
• Stochastic integrals for SPDEs: a comparison
• Deterministic and stochastic Cauchy problems for a class of weakly hyperbolic operators on \(\mathbb{R}^n\)
• Random-field solutions of weakly hyperbolic stochastic partial differential equations with polynomially bounded coefficients
• Random-field solutions of linear parabolic stochastic partial differential equations with polynomially bounded variable coefficients
• Integration theory for infinite dimensional volatility modulated Volterra processes
• Newton's method for nonlinear stochastic wave equations
• The non-linear stochastic wave equation in high dimensions
• On a class of stochastic hyperbolic equations with double characteristics
• Wave equation in the plane driven by a general stochastic measure
• Spatial ergodicity of stochastic wave equations in dimensions 1, 2 and 3
• Newton's method for nonlinear stochastic wave equations driven by one-dimensional Brownian motion
• Random-field solutions to linear hyperbolic stochastic partial differential equations with variable coefficients
• SPDEs driven by space-time white noise in high dimensions: absolute continuity of the law and convergence of solutions
• Estimation for the reaction term in semi-linear SPDEs under small diffusivity
• Absolute continuity of the law of the solution to the 3-dimensional stochastic wave equation.
• Inverse problem for the wave equation with a white noise source

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