A (rough) pathwise approach to a class of non-linear stochastic partial differential equations

Caruana, Michael; Friz, Peter K.; Oberhauser, Harald

Caruana, Michael ; Friz, Peter K. ; Oberhauser, Harald

Annales de l'I.H.P. Analyse non linéaire, Tome 28 (2011), p. 27-46 / Harvested from Numdam

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Résumé

We consider non-linear parabolic evolution equations of the form $\partial_{t} u = F (t, x, D u, D^{2} u)$ , subject to noise of the form $H (x, D u) \circ d B$ where H is linear in Du and $\circ d B$ denotes the Stratonovich differential of a multi-dimensional Brownian motion. Motivated by the essentially pathwise results of [P.-L. Lions, P.E. Souganidis, Fully nonlinear stochastic partial differential equations, C. R. Acad. Sci. Paris Sér. I Math. 326 (9) (1998) 1085–1092] we propose the use of rough path analysis [T.J. Lyons, Differential equations driven by rough signals, Rev. Mat. Iberoamericana 14 (2) (1998) 215–310] in this context. Although the core arguments are entirely deterministic, a continuity theorem allows for various probabilistic applications (limit theorems, support, large deviations, …).

Publié le : 2011-01-01

MR 2765508 | Zbl 1219.60061 | 1 citation dans Numdam

DOI : https://doi.org/10.1016/j.anihpc.2010.11.002

@article{AIHPC_2011__28_1_27_0,
     author = {Caruana, Michael and Friz, Peter K. and Oberhauser, Harald},
     title = {A (rough) pathwise approach to a class of non-linear stochastic partial differential equations},
     journal = {Annales de l'I.H.P. Analyse non lin\'eaire},
     volume = {28},
     year = {2011},
     pages = {27-46},
     doi = {10.1016/j.anihpc.2010.11.002},
     mrnumber = {2765508},
     zbl = {1219.60061},
     language = {en},
     url = {http://dml.mathdoc.fr/item/AIHPC_2011__28_1_27_0}
}

Caruana, Michael; Friz, Peter K.; Oberhauser, Harald. A (rough) pathwise approach to a class of non-linear stochastic partial differential equations. Annales de l'I.H.P. Analyse non linéaire, Tome 28 (2011) pp. 27-46. doi : 10.1016/j.anihpc.2010.11.002. http://gdmltest.u-ga.fr/item/AIHPC_2011__28_1_27_0/

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