Stochastic partial differential equations;
Regularization by noise;
Rough paths;
Method of characteristics;
D O I:
10.1007/s40072-016-0069-y
中图分类号:
O29 [应用数学];
学科分类号:
070104 ;
摘要:
We study the linear transport equation partial derivative/partial derivative t u(t, x) + b(t, x) . del u(t, x)+ del u(t, x) . partial derivative/partial derivative t X(t) = 0, u(0, x) = u(0)(x) where b is a vector field of limited regularity and X a vector-valued Hlder continuous driving term. Using the theory of controlled rough paths we give a meaning to the weak formulation of the partial differential equation and solve this equation for smooth vector fields b. In the case of the fractional Brownian motion a phenomenon of regularization by noise is displayed.
机构:
Keldysh Institute of Applied Mathematics, Russian Academy of Sciences, Miusskaya pl. 4, Moscow
Moscow Institute of Physics and Technology, MoscowKeldysh Institute of Applied Mathematics, Russian Academy of Sciences, Miusskaya pl. 4, Moscow
Aristova E.N.
Baydin D.F.
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机构:
Keldysh Institute of Applied Mathematics, Russian Academy of Sciences, Miusskaya pl. 4, MoscowKeldysh Institute of Applied Mathematics, Russian Academy of Sciences, Miusskaya pl. 4, Moscow
Baydin D.F.
Rogov B.V.
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机构:
Keldysh Institute of Applied Mathematics, Russian Academy of Sciences, Miusskaya pl. 4, Moscow
Moscow Institute of Physics and Technology, MoscowKeldysh Institute of Applied Mathematics, Russian Academy of Sciences, Miusskaya pl. 4, Moscow