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

DOI10.1214/EJP.V18-2341zbMATH Open1288.60079arXiv1209.0401OpenAlexW1994714997MaRDI QIDQ388944FDOQ388944

Authors: Marta Sanz-Solé, André Süss 

Publication date: 17 January 2014

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

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 $dge4$.

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

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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)

Cited In (17)

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

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