A discrete approach to rough parabolic equations

DOI10.1214/EJP.V16-919MaRDI QIDQ428530zbMATH OpenFDO

Authors A. Deya

Publication date 22 June 2012

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

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

zbMATH Keywords

fractional Brownian motionrough paths theorystochastic PDEs

Mathematics Subject Classification ID

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

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.

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Cited in

(7)

• Solving linear parabolic rough partial differential equations
• An Itô formula for rough partial differential equations and some applications
• On A priori estimates for rough PDEs
• Numerical schemes for rough parabolic equations
• Non-linear rough heat equations
• Global solutions for semilinear rough partial differential equations
• Non-autonomous rough semilinear PDEs and the multiplicative sewing lemma

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