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

DOI10.1090/TPMS/1144MaRDI QIDQ5153149zbMATH OpenOpenAlexWikidataFDO

Authors B. Avelin, Lauri Viitasaari

Publication date 29 September 2021

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

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

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)

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 $L_x$.

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Cited in

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• On the unique solvability of some nonlinear stochastic PDEs
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