Approximation and Support Theorem in Holder Norm for Parabolic Stochastic Partial Differential Equations
Bally, Vlad ; Millet, Annie ; Sanz-Sole, Marta
Ann. Probab., Tome 23 (1995) no. 3, p. 178-222 / Harvested from Project Euclid
The solution $u(t, x)$ of a parabolic stochastic partial differential equation is a random element of the space $\mathscr{E}_{\alpha,\beta}$ of Holder continuous functions on $\lbrack 0, T \rbrack \times \lbrack 0, 1 \rbrack$ of order $\alpha = \frac{1}{4} - \varepsilon$ in the time variable and $\beta = \frac{1}{2} - \varepsilon$ in the space variable, for any $\varepsilon > 0$. We prove a support theorem in $\mathscr{E}_{\alpha,\beta}$ for the law of $u$. The proof is based on an approximation procedure in Holder norm (which should have its own interest) using a space-time polygonal interpolation for the Brownian sheet driving the SPDE, and a sequence of absolutely continuous transformations of the Wiener space.
Publié le : 1995-01-14
Classification:  Brownian sheet,  parabolic stochastic partial differential equations,  polygonal approximation,  support theorem,  Holder norm,  60H15,  60H05
@article{1176988383,
     author = {Bally, Vlad and Millet, Annie and Sanz-Sole, Marta},
     title = {Approximation and Support Theorem in Holder Norm for Parabolic Stochastic Partial Differential Equations},
     journal = {Ann. Probab.},
     volume = {23},
     number = {3},
     year = {1995},
     pages = { 178-222},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176988383}
}
Bally, Vlad; Millet, Annie; Sanz-Sole, Marta. Approximation and Support Theorem in Holder Norm for Parabolic Stochastic Partial Differential Equations. Ann. Probab., Tome 23 (1995) no. 3, pp.  178-222. http://gdmltest.u-ga.fr/item/1176988383/