We consider the Cauchy problem for a linear stochastic partial differential equation. By extending the parametrix method for PDEs whose coefficients are only measurable with respect to the time variable, we prove existence, regularity in Hölder classes and estimates from above and below of the fundamental solution. This result is applied to SPDEs by means of the Itô–Wentzell formula, through a random change of variables which transforms the SPDE into a PDE with random coefficients.
The parametrix method for parabolic SPDEs / Pascucci A.; Pesce A.. - In: STOCHASTIC PROCESSES AND THEIR APPLICATIONS. - ISSN 0304-4149. - STAMPA. - 130:10(2020), pp. 6226-6245. [10.1016/j.spa.2020.05.008]
The parametrix method for parabolic SPDEs
Pascucci A.
;Pesce A.
2020
Abstract
We consider the Cauchy problem for a linear stochastic partial differential equation. By extending the parametrix method for PDEs whose coefficients are only measurable with respect to the time variable, we prove existence, regularity in Hölder classes and estimates from above and below of the fundamental solution. This result is applied to SPDEs by means of the Itô–Wentzell formula, through a random change of variables which transforms the SPDE into a PDE with random coefficients.| File | Dimensione | Formato | |
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Open Access dal 17/05/2022
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