Some parabolic PDEs whose drift is an irregular random noise in space
Russo, Francesco ; Trutnau, Gerald
Ann. Probab., Tome 35 (2007) no. 1, p. 2213-2262 / Harvested from Project Euclid
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A new class of random partial differential equations of parabolic type is considered, where the stochastic term consists of an irregular noisy drift, not necessarily Gaussian, for which a suitable interpretation is provided. After freezing a realization of the drift (stochastic process), we study existence and uniqueness (in some appropriate sense) of the associated parabolic equation and a probabilistic interpretation is investigated.
Publié le : 2007-11-14
Classification:  Singular drifted PDEs,  Dirichlet processes,  martingale problem,  stochastic partial differential equations,  distributional drift,  60H15,  60H05,  60G48,  60H10 
@article{1191860420,
     author = {Russo, Francesco and Trutnau, Gerald},
     title = {Some parabolic PDEs whose drift is an irregular random noise in space},
     journal = {Ann. Probab.},
     volume = {35},
     number = {1},
     year = {2007},
     pages = { 2213-2262},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1191860420}
}

Russo, Francesco; Trutnau, Gerald. Some parabolic PDEs whose drift is an irregular random noise in space. Ann. Probab., Tome 35 (2007) no. 1, pp.  2213-2262. http://gdmltest.u-ga.fr/item/1191860420/