Space-time fractional stochastic partial differential equations

DOI10.1016/J.SPA.2015.04.008MaRDI QIDQ491909zbMATH OpenOpenAlexFDO

Authors Jebessa B. Mijena, Erkan Nane

Publication date 19 August 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.7366

zbMATH Keywords

fractional Duhamel's principleCaputo derivativestime-fractional stochastic partial differential equationsWalsh isometry

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional derivatives and integrals (26A33)

Abstract: We consider non-linear time-fractional stochastic heat type equation ${\displaystyle }$partial^�eta_tu_t(x)=- u(-Delta)^{alpha/2} u_t(x)+I^{1-�eta}_t[sigma(u)stackrel{cdot}{W}(t,x)]${\displaystyle }$ in $(d+1)$ dimensions, where $$, $alphain(0,2]$ and $$, $$ is the Caputo fractional derivative, $-(-Delta{)}^{alpha/2}$ is the generator of an isotropic stable process, $$ is the fractional integral operator, $stackrelcdotW(t,x)$ is space-time white noise, and $sigma:RRRoRRR$ is Lipschitz continuous. Time fractional stochastic heat type equations might be used to model phenomenon with random effects with thermal memory. We prove existence and uniqueness of mild solutions to this equation and establish conditions under which the solution is continuous. Our results extend the results in the case of parabolic stochastic partial differential equations obtained in cite{foondun-khoshnevisan-09, walsh}. In sharp contrast to the stochastic partial differential equations studied earlier in cite{foondun-khoshnevisan-09, khoshnevisan-cbms, walsh}, in some cases our results give existence of random field solutions in spatial dimensions $d=1,2,3$. Under faster than linear growth of $sigma$, we show that time fractional stochastic partial differential equation has no finite energy solution. This extends the result of Foondun and Parshad cite{foondun-parshad} in the case of parabolic stochastic partial differential equations. We also establish a connection of the time fractional stochastic partial differential equations to higher order parabolic stochastic differential equations.

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