Strong Unique Continuation Property for Stochastic Parabolic Equations

2017/01/09 by Zhonghua Liao, Qi Lü, Liao, Zhonghua +1
Economics, Econometrics and Finance · Engineering · Computer Science · #Stochastic processes and financial applications #Stability and Controllability of Differential Equations #Advanced Mathematical Modeling in Engineering

paper · pdf · doi:10.48550/arxiv.1701.02136

Abstract

We establish a strong unique continuation property for stochastic parabolic equations. Our method is based on a suitable stochastic version of Carleman estimate. As far as we know, this is the first result for strong unique continuation property of stochastic partial differential equations.

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