On a class of stochastic partial differential equations

DOI10.1016/J.SPA.2016.05.008zbMATH Open1373.60115arXiv1503.06525OpenAlexW1580870243MaRDI QIDQ5891056FDOQ5891056

Authors: Jian Song 

Publication date: 30 November 2016

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

Abstract: In this paper, we study the stochastic partial differential equation with multiplicative noise $fracpartialupartialt=mathcalLu+udotW$, where $mathcalL$ is the generator of a symmetric L'evy process $X$ and $dotW$ is a Gaussian noise. For the equation in the Stratonovich sense, we show that the solution given by a Feynman-Kac type of representation is a mild solution, and we establish its H"older continuity and the Feynman-Kac formula for the moments of the solution. For the equation in the Skorohod sense, we obtain a sufficient condition for the existence and uniqueness of the mild solution under which we get Feymnan-Kac formula for the moments of the solution, and we also investigate the H"older continuity of the solution. As a byproduct, when $gamma(x)$ is a nonnegative and nonngetive-definite function, a sufficient and necessary condition for $$ to be exponentially integrable is obtained.

Full work available at URL: https://arxiv.org/abs/1503.06525

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zbMATH Keywords

Malliavin calculusFeynman-Kac formulastochastic partial differential equationGaussian noise

Mathematics Subject Classification ID

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

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Cited In (32)

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• Temporal asymptotics for fractional parabolic Anderson model
• Stochastic partial differential equations for a class of interacting measure-valued diffusions
• The stochastic p -Laplace equation on ℝ ^d
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• On free stochastic differential equations
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• Scaling limit of a long-range random walk in time-correlated random environment
• On a class of stochastic fractional heat equations
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• Scaling limit of a directed polymer among a Poisson field of independent walks
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• Fractional stochastic wave equation driven by a Gaussian noise rough in space
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• A CLASS OF NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS(SDES) WITH JUMPS DERIVED BY PARTICLE REPRESENTATIONS
• Hyperbolic Anderson Model with space-time homogeneous Gaussian noise
• Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood
• Second order Lyapunov exponents for parabolic and hyperbolic Anderson models

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