Scalar conservation laws with rough (stochastic) fluxes

DOI10.1007/S40072-013-0021-3MaRDI QIDQ483628zbMATH OpenOpenAlexFDO

Authors P.-L. Lions, Panagiotis E. Souganidis, Ben{ôı}t Perthame

Publication date 17 December 2014

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

Full work available at URL https://arxiv.org/abs/1309.1931

dissipative solutions kinetic formulation rough paths stochastic conservation laws stochastic differential equations stochastic entropy condition

Mathematics Subject Classification ID

Hyperbolic conservation laws (35L65) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Phase-space methods including Wigner distributions, etc. applied to problems in quantum mechanics (81S30)

Abstract: We develop a pathwise theory for scalar conservation laws with quasilinear multiplicative rough path dependence, a special case being stochastic conservation laws with quasilinear stochastic dependence. We introduce the notion of pathwise stochastic entropy solutions, which is closed with the local uniform limits of paths, and prove that it is well posed, i.e., we establish existence, uniqueness and continuous dependence, in the form of pathwise

L^{1}

-contraction, as well as some explicit estimates. Our approach is motivated by the theory of stochastic viscosity solutions, which was introduced and developed by two of the authors, to study fully nonlinear first- and second-order stochastic pde with multiplicative noise. This theory relies on special test functions constructed by inverting locally the flow of the stochastic characteristics. For conservation laws this is best implemented at the level of the kinetic formulation which we follow here.

Review text

The authors implement a pathwise theory for scalar conservation laws with quasilinear multiplicative rough path dependence by introducing pathwise stochastic entropy solutions. The approach is directly based on the theory of pathwise stochastic viscosity solutions of fully nonlinear first- and second-order stochastic PDEs developed in a series of papers by P.-L. Lions and P. E. Souganidis. One of the fundamental tools is the class of test functions constructed by inverting locally the flow of the characteristics corresponding to the stochastic first-order part of the equation. For conservation laws this is best implemented at the level of the kinetic formulation presented here. The authors study scalar conservation laws with quasilinear multiplicative rough path dependence. A special case is given by stochastic conservation laws with quasilinear stochastic dependence. One special example treated here is \[ du+\sum_{i=1}^N \partial_{x_i} A_i(u) \circ dW_i = 0 \] in \(\mathbb{R}^N \times (0,\infty)\), where \(W\) is a \(N\)-dimensional Brownian motion. The main results of the paper study well-posedness of the problem. Uniqueness is based on entropy inequalities, while the existence follows by studying the function that maps \(W\) to \(u\). It is defined for smooth paths \(W\) and has an extension by continuity to rougher paths. Moreover, the authors provide Lipschitz-continuous dependence from initial conditions with constant \(1\), which means that the solution is thus a pathwise \(L^1\)-contraction.

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