On existence and uniqueness of the solution for stochastic partial differential equations

DOI10.1090/TPMS/1144zbMATH Open1473.60092arXiv2104.07340OpenAlexW3201716802WikidataQ115280726 ScholiaQ115280726MaRDI QIDQ5153149FDOQ5153149

Authors: B. Avelin, Lauri Viitasaari 

Publication date: 29 September 2021

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Abstract: In this article we consider existence and uniqueness of the solutions to a large class of stochastic partial differential of form $partia{l}_{t}u=L_{x}u+b(t,u)+sigma(t,u)dotW$, driven by a Gaussian noise $dotW$, white in time and spatial correlations given by a generic covariance $gamma$. We provide natural conditions under which classical Picard iteration procedure provides a unique solution. We illustrate the applicability of our general result by providing several interesting particular choices for the operator $L_x$ under which our existence and uniqueness result hold. In particular, we show that Dalang condition given in Dalang (1999) is sufficient in the case of many parabolic and hypoelliptic operators $L_x$.

Full work available at URL: https://arxiv.org/abs/2104.07340

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zbMATH Keywords

stochastic partial differential equationsexistence and uniquenesssemilinear parabolic equationsmild solutionhypoelliptic equations

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Integral representations of solutions to PDEs (35C15) Semilinear parabolic equations (35K58) Initial value problems for PDEs with pseudodifferential operators (35S10)

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Cited In (19)

• On the unique solvability of some nonlinear stochastic PDEs
• Existence, uniqueness, and regularity for stochastic evolution equations with irregular initial values
• Existence and uniqueness of solutions of stochastic functional differential equations
• Title not available (Why is that?)
• On uniqueness in law for parabolic SPDEs and infinite-dimensional SDEs
• Title not available (Why is that?)
• On the existence of solutions to stochastic differential equations on Loeb spaces
• ON UNIQUENESS OF MILD SOLUTIONS FOR DISSIPATIVE STOCHASTIC EVOLUTION EQUATIONS
• Solution existence and uniqueness for degenerate SDEs with application to Schrödinger-equation representations
• Title not available (Why is that?)
• Existence and uniqueness of a density probability solution for the stationary Doi-Edwards equation
• An existenc theorem for a stochastic partial differential equation arising from filtering theory
• Existence and uniqueness of a continuous solution of a system of stochastic differential equations of Itô type
• On the existence, uniqueness, and stability of solutions of the equation \(p_0 {\mathfrak X}_{tt} = E({\mathfrak X}_ x) {\mathfrak X}_{xx} +\lambda {\mathfrak X}_{xxt}\)
• Title not available (Why is that?)
• Existence and uniquenesstheorems for some stochastic parabolic partial differential equations
• Existence and uniqueness of solutions for a class of nonlinear stochastic differential equations
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