Stochastic Heat Equation with Infinite Dimensional Fractional Noise: L2-theory
نویسنده
چکیده
In this article we consider the stochastic heat equation in [0, T ]× Rd, driven by a sequence (β)k of i.i.d. fractional Brownian motions of index H > 1/2 and random multiplication functions (g)k. The stochastic integrals are of Hitsuda-Skorohod type and the solution is interpreted in the weak sense. Using Malliavin calculus techniques, we prove the existence and uniqueness of the solution in a certain space of random processes. Our result is similar to the one obtained in [18] for the stochastic heat equation driven by a sequence (w)k of i.i.d. Brownian motions, in which case the stochastic integrals are interpreted in the Itô sense.
منابع مشابه
Lp-Theory for the Stochastic Heat Equation with Infinite-Dimensional Fractional Noise
In this article, we consider the stochastic heat equation du = (∆u + f(t, x))dt + P∞ k=1 g(t, x)δβ t , t ∈ [0, T ], with random coefficients f and g, driven by a sequence (βk)k of i.i.d. fractional Brownian motions of index H > 1/2. Using the Malliavin calculus techniques and a p-th moment maximal inequality for the infinite sum of Skorohod integrals with respect to (βk)k, we prove that the equ...
متن کاملStochastic Differential Equations on Noncommutative L2
We prove that a class of stochastic differential equations with multiplicative noise has a unique solution in a noncommutative L2 space associated with a von Neumann algebra. As examples we consider usual L2 on a measure space, Hilbert-Schmidt operators and a hyperfinite II1-factor. A problem of finding an inverse of the solution is then discussed. Finally, we explain how a stochastic different...
متن کاملOn time-dependent neutral stochastic evolution equations with a fractional Brownian motion and infinite delays
In this paper, we consider a class of time-dependent neutral stochastic evolution equations with the infinite delay and a fractional Brownian motion in a Hilbert space. We establish the existence and uniqueness of mild solutions for these equations under non-Lipschitz conditions with Lipschitz conditions being considered as a special case. An example is provided to illustrate the theory
متن کاملGalerkin Approximations for the Stochastic Burgers Equation
Existence and uniqueness for semilinear stochastic evolution equations with additive noise by means of finite-dimensional Galerkin approximations is established and the convergence rate of the Galerkin approximations to the solution of the stochastic evolution equation is estimated. These abstract results are applied to several examples of stochastic partial differential equations (SPDEs) of ev...
متن کاملOn Convergence of Population Processes in Random Environments to the Stochastic Heat Equation with Colored Noise
We consider the stochastic heat equation with a multiplicative colored noise term on Rd for d ≥ 1. First, we prove convergence of a branching particle system in a random environment to this stochastic heat equation with linear noise coefficients. For this stochastic partial differential equation with more general non-Lipschitz noise coefficients we show convergence of associated lattice systems...
متن کامل