<p>Consider the stochastic heat equation <Equation ID="Equ114"> <EquationSource Format="TEX">\(\begin{aligned} \partial _t u_t(x)=\frac{1}{2} \partial ^2_{xx}u_t(x) +b(u_t(x))+\dot{W}_{t}(x),\quad t\in (0,T],\, x\in D, \end{aligned}\)</EquationSource> <EquationSource Format="MATHML"><math display="block"> <mrow> <mtable> <mtr> <mtd columnalign="right"> <mrow> <msub> <mi>∂</mi> <mi>t</mi> </msub> <msub> <mi>u</mi> <mi>t</mi> </msub> <mrow> <mo stretchy="false">(</mo> <mi>x</mi> <mo stretchy="false">)</mo> </mrow> <mo>=</mo> <mfrac> <mn>1</mn> <mn>2</mn> </mfrac> <msubsup> <mi>∂</mi> <mrow> <mi mathvariant="italic">xx</mi> </mrow> <mn>2</mn> </msubsup> <msub> <mi>u</mi> <mi>t</mi> </msub> <mrow> <mo stretchy="false">(</mo> <mi>x</mi> <mo stretchy="false">)</mo> </mrow> <mo>+</mo> <mi>b</mi> <mrow> <mo stretchy="false">(</mo> <msub> <mi>u</mi> <mi>t</mi> </msub> <mrow> <mo stretchy="false">(</mo> <mi>x</mi> <mo stretchy="false">)</mo> </mrow> <mo stretchy="false">)</mo> </mrow> <mo>+</mo> <msub> <mover accent="true"> <mi>W</mi> <mo>˙</mo> </mover> <mi>t</mi> </msub> <mrow> <mo stretchy="false">(</mo> <mi>x</mi> <mo stretchy="false">)</mo> </mrow> <mo>,</mo> <mspace width="1em" /> <mi>t</mi> <mo>∈</mo> <mrow> <mo stretchy="false">(</mo> <mn>0</mn> <mo>,</mo> <mi>T</mi> <mo stretchy="false">]</mo> </mrow> <mo>,</mo> <mspace width="0.166667em" /> <mi>x</mi> <mo>∈</mo> <mi>D</mi> <mo>,</mo> </mrow> </mtd> </mtr> </mtable> </mrow> </math></EquationSource> </Equation>where <i>b</i> is a generalized function, <i>D</i> is either [0,&#xa0;1] or <InlineEquation ID="IEq1"> <EquationSource Format="TEX">\(\mathbb {R}\)</EquationSource> <EquationSource Format="MATHML"><math> <mi mathvariant="double-struck">R</mi> </math></EquationSource> </InlineEquation>, and <InlineEquation ID="IEq2"> <EquationSource Format="TEX">\(\dot{W}\)</EquationSource> <EquationSource Format="MATHML"><math> <mover accent="true"> <mi>W</mi> <mo>˙</mo> </mover> </math></EquationSource> </InlineEquation> is space-time white noise on <InlineEquation ID="IEq3"> <EquationSource Format="TEX">\(\mathbb {R}_+\times D\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <msub> <mi mathvariant="double-struck">R</mi> <mo>+</mo> </msub> <mo>×</mo> <mi>D</mi> </mrow> </math></EquationSource> </InlineEquation>. If the drift <i>b</i> is a sufficiently regular function, then it is well-known that any analytically weak solution to this equation is also analytically mild, and vice versa . We extend this result to drifts that are generalized functions, with an appropriate adaptation of the notions of mild and weak solutions. As a corollary of our results, we show that for <InlineEquation ID="IEq4"> <EquationSource Format="TEX">\(b\in L_p(\mathbb {R})\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>b</mi> <mo>∈</mo> <msub> <mi>L</mi> <mi>p</mi> </msub> <mrow> <mo stretchy="false">(</mo> <mi mathvariant="double-struck">R</mi> <mo stretchy="false">)</mo> </mrow> </mrow> </math></EquationSource> </InlineEquation>, <InlineEquation ID="IEq5"> <EquationSource Format="TEX">\(p\geqslant 1\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>p</mi> <mo>⩾</mo> <mn>1</mn> </mrow> </math></EquationSource> </InlineEquation>, this equation has a unique analytically weak and mild solution, thus extending the classical results of Gyöngy and Pardoux (Probab Theory Related Fields 94(4):413–425, 1993).</p>

错误:搜索内容不能为空,请输入英文关键词
错误:关键词超出字数限制,请精简
高级检索

Analytically weak and mild solutions to stochastic heat equation with irregular drift

  • Siva Athreya,
  • Oleg Butkovsky,
  • Khoa Lê,
  • Leonid Mytnik

摘要

Consider the stochastic heat equation \(\begin{aligned} \partial _t u_t(x)=\frac{1}{2} \partial ^2_{xx}u_t(x) +b(u_t(x))+\dot{W}_{t}(x),\quad t\in (0,T],\, x\in D, \end{aligned}\) t u t ( x ) = 1 2 xx 2 u t ( x ) + b ( u t ( x ) ) + W ˙ t ( x ) , t ( 0 , T ] , x D , where b is a generalized function, D is either [0, 1] or \(\mathbb {R}\) R , and \(\dot{W}\) W ˙ is space-time white noise on \(\mathbb {R}_+\times D\) R + × D . If the drift b is a sufficiently regular function, then it is well-known that any analytically weak solution to this equation is also analytically mild, and vice versa . We extend this result to drifts that are generalized functions, with an appropriate adaptation of the notions of mild and weak solutions. As a corollary of our results, we show that for \(b\in L_p(\mathbb {R})\) b L p ( R ) , \(p\geqslant 1\) p 1 , this equation has a unique analytically weak and mild solution, thus extending the classical results of Gyöngy and Pardoux (Probab Theory Related Fields 94(4):413–425, 1993).