On a class of stochastic partial differential equations

DOI10.1016/J.SPA.2016.05.008MaRDI QIDQ5891056zbMATHOpenAlexFDO

Authors Jian Song

Publication date 30 November 2016

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

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

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)

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.

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