On pathwise uniqueness for stochastic heat equations with non-Lipschitz coefficients

DOI10.1214/009117906000000331MaRDI QIDQ858987zbMATH OpenOpenAlexFDO

Authors Leonid Mytnik, Anja Sturm, Edwin Perkins

Publication date 12 January 2007

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0507545

colored noise stochastic partial differential equation

Central limit and other weak theorems (60F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Processes in random environments (60K37)

Abstract: We consider the existence and pathwise uniqueness of the stochastic heat equation with a multiplicative colored noise term on IR^d for d greater or equal to 1. We focus on the case of non-Lipschitz noise coefficients and singular spatial noise correlations. In the course of the proof a new result on Hoelder continuity of the solutions near zero is established.

Review text

This paper treats the stochastic heat equations of the form \[ \frac{\partial}{\partial t} u(t,x) = \frac{1}{2} \Delta u(t,x) dt + \sigma ( u(t,x)) \dot{W}(x,t), \tag{1} \] where \(\Delta\) denotes the Laplacian and \(W\) is Gaussian martingale measure on \({\mathbb R}_+ \times {\mathbb R}^d\) in the sense of \textit{J. B. Walsh} [in: École d'été de probabilités de Saint-Flour XIV-1984. Lect. Notes Math. 1180, 265--437 (1986; Zbl 0608.60060)]. Note that \(W\) is defined on a filtered probability space \(( \Omega, {\mathcal F}, {\mathcal F}_t, {\mathbb P})\) and \(W_t(\varphi)\) \(=\) \(\int_0^t \int_{{\mathbb R}^d} \varphi(s,x) W(dx, ds)\) is an \({\mathcal F}_t\)-martingale for \(\varphi\) \(\in\) \(C_c^{\infty}( {\mathbb R}_+ \times {\mathbb R}^d)\) the space of compactly supported, infinitely differentiable functions on \({\mathbb R}_+ \times {\mathbb R}^d\). Here \(u\) is a random function on \({\mathbb R}_+ \times {\mathbb R}^d\), and the coefficient \(\sigma\) is a real-valued continuous function on \({\mathbb R}\), satisfying the global growth condition: for all \(u \in {\mathbb R}\), there exists a constant \(c_0\) such that \[ | \sigma(u) | \leqslant c_0 ( 1 + | u | ). \tag{2} \] The authors prove the existence and pathwise uniqueness of (1) especially in the case of non-Lipschitz coefficients and singular spatial noise correlations. A stochastic process \(u :\) \(\Omega \times {\mathbb R}_+ \times {\mathbb R}^d\) \(\to {\mathbb R}\), which is jointly measurable and \({\mathcal F}_t\)-adapted, is said to be a solution to the stochastic heat equation (1) in the variation of constants sense with respect to the martingale measure \(W\), defined on \(\Omega\), and initial condition \(u_0\), if for each \(t \geq 0\), a.s. for almost all \(x \in {\mathbb R}^d\), \[ u(t,x) = \int_{{\mathbb R}^d} p_t(x-y) u_0(y) \,dy + \int_0^t \int_{{\mathbb R}^d} p_{t-s}(x-y) \sigma( u(s,y)) W(dy, ds), \tag{3} \] where \(p\) denotes the \(d\)-dimensional heat kernel. For norm \(\| f \|_{\lambda, \infty}\) \(=\) \(\sup_{x \in {\mathbb R}^d} | f(x) |\) \(\times\) \(e^{ - \lambda | x |}\), set \(C_{\text{tem}}\) \(=\) \(\{ f \in C({\mathbb R}^d)\); \(\| f \|_{\lambda, \infty} < \infty\) for any \(\lambda > 0 \}\), endowed with the topology induced by the norms \(\| \cdot \|_{\lambda, \infty}\) for \(\lambda > 0\). It is said that pathwise uniqueness holds for solutions of (3) in \(C({\mathbb R}_+, C_{\text{tem}})\) if, for every \(u_0 \in\) \(C_{\text{tem}}\), any two solutions to (3) with sample paths a.s. in \(C({\mathbb R}_+, C_{\text{tem}})\) must be equal with probability 1. Let the function \(k = k(x,y)\) : \({\mathbb R}^{2d} \to {\mathbb R}\) be the correlation kernel of \(W\). For \(u_0 \in C_{\text{tem}}\), under the assumption that \[ | k(x,y) | \leqslant c_1 \{ | x - y |^{-\alpha} + 1 \} \tag{4} \] holds for all \(x, y \in {\mathbb R}^d\) and some \(\alpha \in ( 0, 2 \wedge d)\), there exists a stochastically weak solution to (3) with sample paths a.s. in \(C( {\mathbb R}_+, C_{\text{tem}})\). Here is the main result, which is valid for any spatial dimension \(d\). Theorem Assume that, for some \(\alpha \in (0,1)\), \(\sigma :\) \({\mathbb R} \to {\mathbb R}\) is Hölder continuous of index \(\gamma\) for some \(\gamma \in ( (1 + \alpha)/2, 1]\), and (4) holds. Then pathwise uniqueness holds for solutions of (3) in \(C(\mathbb R_+, C_{\text{tem}})\). For other related works, see e.g. \textit{L. Mytnik} [Ann. Probab. 26, No. 3, 968--984 (1998; Zbl 0935.60045)] and \textit{A. Sturm} [Electron. J. Probab. 8, Paper No. 6 (2003; Zbl 1064.60199)].

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