Optimal regularity of SPDEs with additive noise

DOI10.1214/23-EJP1043zbMATH Open1530.60052OpenAlexW4388778138MaRDI QIDQ6136817FDOQ6136817

Authors: D. Khoshnevisan, Marta Sanz-Solé 

Publication date: 17 January 2024

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: The sample-function regularity of the random-field solution to a stochastic partial differential equation (SPDE) depends naturally on the roughness of the external noise, as well as on the properties of the underlying integro-differential operator that is used to define the equation. In this paper, we consider parabolic and hyperbolic SPDEs on $0,infty)imesmathbb{R}^d$ of the form $partia{l}_{t}u=mathcalLu+g(u)+dotFqquadextandqquadpartia{l}_t^{2}u=mathcalLu+c+dotF,$ with suitable initial data, forced with a space-time homogeneous Gaussian noise $dotF$ that is white in its time variable and correlated in its space variable, and driven by the generator $mathcalL$ of a genuinely $d$-dimensional L'evy process $X$. We find optimal H"older conditions for the respective random-field solutions to these SPDEs. Our conditions are stated in terms of indices that describe thresholds on the integrability of some functionals of the characteristic exponent of the process $X$ with respect to the spectral measure of the spatial covariance of $dotF$. Those indices are suggested by references [45, 46] on the particular case that $mathcalL$ is the Laplace operator on $mathbb{R}^d$.

Full work available at URL: https://arxiv.org/abs/2208.01728

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zbMATH Keywords

characteristic exponentstochastic partial differential equationGaussian noiseLévy processoptimal Hölder regularity

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random fields (60G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Fundamental solutions to PDEs and systems of PDEs with constant coefficients (35E05)

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Cited In (1)

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