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arXiv 0902.3352math.APmath.PR
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一类非线性随机偏微分方程的(粗糙)路径方法

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

Michael Caruana, Peter Friz, Harald Oberhauser

摘要:

我们考虑非线性抛物型发展方程的形式$\partial_{t}u=F(t,x,Du,D^{2}u) $,受到噪音的形式$H(x,Du) \circ dB$其中$H$是线性的$Du$和$\circ dB$表示Stratonovich微分的多维布朗运动。受[狮子,P. -]的基本路径结果的启发,L.和Souganoun,P.E.;完全非线性随机偏微分方程。C. R. Acad. Sci.巴黎先生I Math.326(1998),no.9]我们提出使用粗糙路径分析[Lyons,T. J.道:由粗糙信号驱动的微分方程。修订材料Iberoamericana 14(1998),no. 2,215- 310]。虽然核心论点是完全确定的,连续性定理允许各种概率应用(极限定理,支持,大偏差,.)。

英文摘要:

We consider nonlinear parabolic evolution equations of the form $\partial_{t}u=F(t,x,Du,D^{2}u) $, subject to noise of the form $H(x,Du) \circ dB$ where $H$ is linear in $Du$ and $\circ dB$ denotes the Stratonovich differential of a multidimensional Brownian motion. Motivated by the essentially pathwise results of [Lions, P.-L. and Souganidis, P.E.; Fully nonlinear stochastic partial differential equations. C. R. Acad. Sci. Paris Sér. I Math. 326 (1998), no. 9] we propose the use of rough path analysis [Lyons, T. J.; Differential equations driven by rough signals. Rev. Mat. Iberoamericana 14 (1998), no. 2, 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, ...).

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