A discrete approach to rough parabolic equations

DOI10.1214/EJP.V16-919zbMATH Open1246.60086arXiv1011.0088MaRDI QIDQ428530FDOQ428530

Authors: A. Deya 

Publication date: 22 June 2012

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

Abstract: By combining the formalism of cite{RHE} with a discrete approach close to the considerations of cite{Davie}, we interpret and solve the rough partial differential equation $d{y}_t=A{y}_t,dt+su{m}_{i=1}^m{f}_i(y_t),d{x}_t^i$ ($tin[0,T]$) on a compact domain $mathcalO$ of $R^n$, where $A$ is a rather general elliptic operator of $L^p(mathcalO)$ ($p>1$), $f_i(vp)(xi):=f_i(vp(xi))$ and $x$ is the generator of a $2$-rough path. The (global) existence, uniqueness and continuity of a solution is established under classical regularity assumptions for $f_i$. Some identification procedures are also provided in order to justify our interpretation of the problem.

Full work available at URL: https://arxiv.org/abs/1011.0088

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zbMATH Keywords

fractional Brownian motionstochastic PDEsrough paths theory

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)

Cited In (4)

• Non-autonomous rough semilinear PDEs and the multiplicative sewing lemma
• Non-linear rough heat equations
• Numerical schemes for rough parabolic equations
• On A Priori Estimates for Rough PDEs

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