On the Cauchy-Dirichlet problem in the half space for parabolic sPDEs in weighted Hölder spaces

Initial value problems for second-order parabolic equations (35K15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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The authors investigate the Cauchy-Dirichlet problem for the second-order linear parabolic stochastic differential equation with additive noise of the type \[ \partial_t u = \sum_{ij} a^{ij}\partial^2_{ij} u -\lambda u + f + g\dot W \quad \text{in }[0,T]\times O \] for boundary values \(u(t,x) = 0\), \((t,x) \in [0,T]\times \partial O\) and initial condition \(u(0,x) = 0\), \(x \in O\) in the half-space \(O =\mathbb{R}^{d-1}\times (0, \infty), d\in \mathbb{N}\). The coefficients \(a^{ij}=a^{ij}(t,x)\) and \(f=f(t,x)\) are real-valued, measurable and bounded on \([0,T]\), while \(\dot W\) is a white noise in a Hilbert space \(Y\) and \(g=g(t,x)\) is in \(L^p(\Omega,Y), p\geq 2\). The matrix \((a^{ij})\) is assumed to be symmetric and nonegative. For zero boundary coefficients and non-zero boundary coefficients the existence and uniqueness of a strong solution in weighted Hölder space is proven. Further, the continuous dependence of the solution on the coefficients \(f\) and \(g\) in the appropriate weighted Hölder space over \(L^p(\Omega)\) is established in both cases. The method of the proof relies on the representation of the solution as the sum of the deterministic and the stochastic convolution of \(f\) and \(g\), respectively, w.r.t. the corresponding heat kernel and deterministic PDE techniques for weakly singular a priori integral estimates.

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