On the density of systems of non-linear spatially homogeneous SPDEs

DOI10.1080/17442508.2011.653567MaRDI QIDQ5411894zbMATH OpenOpenAlexFDO

Authors Eulalia Nualart

Publication date 25 April 2014

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0908.4587, http://hdl.handle.net/10230/46562

zbMATH Keywords

Gaussian noiseMalliavin calculusnonlinear stochastic partial differential equationsspatially homogeneousstrict positivity of the density

Mathematics Subject Classification ID

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

Abstract: In this paper, we consider a system of $k$ second order non-linear stochastic partial differential equations with spatial dimension $dgeq1$, driven by a $q$-dimensional Gaussian noise, which is white in time and with some spatially homogeneous covariance. The case of a single equation and a one-dimensional noise, has largely been studied in the literature. The first aim of this paper is to give a survey of some of the existing results. We will start with the existence, uniqueness and H"older's continuity of the solution. For this, the extension of Walsh's stochastic integral to cover some measure-valued integrands will be recalled. We will then recall the results concerning the existence and smoothness of the density, as well as its strict positivity, which are obtained using techniques of Malliavin calculus. The second aim of this paper is to show how these results extend to our system of SPDEs. In particular, we give sufficient conditions in order to have existence and smoothness of the density on the set where the columns of the diffusion matrix span $R^k$. We then prove that the density is strictly positive in a point if the connected component of the set where the columns of the diffusion matrix span $R^k$ which contains this point has a non void intersection with the support of the law of the solution. We will finally check how all these results apply to the case of the stochastic heat equation in any space dimension and the stochastic wave equation in dimension $din1,2,3$.

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Cited in

(13)

• Existence and smoothness of the density for spatially homogeneous SPDEs
• Positivity of the density for rough differential equations
• Non-elliptic SPDEs and ambit fields: existence of densities
• Gaussian upper density estimates for spatially homogeneous SPDEs
• Hitting probabilities for nonlinear systems of stochastic waves
• Hitting probabilities for systems of non-linear stochastic heat equations in spatial dimension \(k\geq 1\)
• SPDEs with pseudodifferential generators: the existence of a density
• Regularity and strict positivity of densities for the nonlinear stochastic heat equation
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• Optimal regularity of SPDEs with additive noise
• Optimal lower bounds on hitting probabilities for non-linear systems of stochastic fractional heat equations
• Gaussian fluctuations of spatial averages for a non-linear system of stochastic wave equations
• Smoothness of the joint density for spatially homogeneous SPDEs

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