A stochastic wave equation in two space dimension:: Smoothness of the law

被引:100
|
作者
Millet, A
Sanz-Solé, M
机构
[1] Univ Paris 06, Probabil Lab, F-75252 Paris 05, France
[2] Univ Barcelona, Fac Matemat, Barcelona 08007, Spain
[3] Univ Paris 10, F-92001 Nanterre, France
来源
ANNALS OF PROBABILITY | 1999年 / 27卷 / 02期
关键词
stochastic partial differential equation; wave equation; Gaussian noise; Malliavin calculus; existence and smoothness of the density;
D O I
10.1214/aop/1022677387
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We prove the existence and uniqueness, for any time, of a real-valued process solving a nonlinear stochastic wave equation driven by a Gaussian noise white in time and correlated in the two-dimensional space variable. We prove that the solution is regular in the sense of the Malliavin calculus. We also give a decay condition on the covariance function of the noise under which the solution has Holder continuous trajectories and show that, under an additional ellipticity assumption, the law of the solution at any strictly positive time has a smooth density.
引用
收藏
页码:803 / 844
页数:42
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