Stochastic partial differential equations with Dirichlet white-noise boundary conditions

被引:46
|
作者
Alòs, E
Bonaccorsi, S
机构
[1] Univ Pompeau Fabra, Dept Econ & Empresa, Barcelona 08005, Spain
[2] Univ Trent, Dipartimento Matemat, I-38050 Povo, Trento, Italy
关键词
D O I
10.1016/S0246-0203(01)01097-4
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
The paper is devoted to one-dimensional nonlinear stochastic partial differential equations of parabolic type with non homogeneous Dirichlet boundary conditions of white-noise type. We formulate a set of conditions that a random field must satisfy to solve the equation. We show that a unique solution exists and that we can write it in terms of the stochastic kernel related to the problem. This formulation allows us to study the basic properties of the solution, as the continuity and the boundary-layer behavior, by means of Malliavin calculus. (C) 2002 tditions scientifiques et medicales Elsevier SAS.
引用
收藏
页码:125 / 154
页数:30
相关论文
共 50 条