Uniqueness in law for parabolic SPDEs and infinite-dimensional SDEs

2011/02/25 by Richard F. Bass, Bass, Richard F., Edwin Perkins +2 · 1 citation
Computer Science · Economics, Econometrics and Finance · Engineering · Mathematics · #Advanced Mathematical Modeling in Engineering #Stability and Controllability of Differential Equations #Stochastic processes and financial applications #math.PR #msc:60H15

paper · pdf · doi:10.48550/arxiv.1102.5257

arxiv created 2012/05/25 · arxiv updated 2012/05/28

Abstract

We prove uniqueness in law for a class of parabolic stochastic partial differential equations in an interval driven by a functional A(u) of the temperature u times a space-time white noise. The functional A(u) is Hölder continuous in u of order greater than 1/2. Our method involves looking at an associated system of infinite-dimensional stochastic differential equations and we obtain a uniqueness result for such systems.

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