Quasi-linear stochastic partial differential equations with irregular coefficients: Malliavin regularity of the solutions

DOI10.1007/S40072-015-0053-YzbMATH Open1325.60112arXiv1410.4357OpenAlexW2594392729MaRDI QIDQ744879FDOQ744879

Authors: Torstein Nilssen 

Publication date: 12 October 2015

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Abstract: We study quasi-linear stochastic partial differential equations with discontinuous drift coefficients. Existence and uniqueness of a solution is already known under weaker conditions on the drift, but we are interested in the regularity of the solution in terms of Malliavin calculus. We prove that when the drift is bounded and measurable the solution is directional Malliavin differentiable.

Full work available at URL: https://arxiv.org/abs/1410.4357

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zbMATH Keywords

irregular coefficientslocal time calculusMalliavin regularityquasi-linear stochastic partial differential equations

Mathematics Subject Classification ID

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

Cites Work

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• Sample path properties of anisotrophic Gaussian random fields
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Cited In (4)

• Rough linear PDE's with discontinuous coefficients -- existence of solutions via regularization by fractional Brownian motion
• Title not available (Why is that?)
• Malliavin regularity of solutions to mixed stochastic differential equations
• Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift

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