Regularization by noise and flows of solutions for a stochastic heat equation

Oleg Butkovsky, Leonid Mytnik

Research output: Contribution to journalArticlepeer-review

Abstract

Motivated by the regularization by noise phenomenon for SDEs, we prove existence and uniqueness of the flow of solutions for the non-Lipschitz stochastic heat equation ∂u/∂t = 1/2 ∂ 2 u/∂z 2 +b (u(t, z)) + W˙(t,z), where W˙ is a space-time white noise on ℝ + × ℝ and b is a bounded measurable function on ℝ. As a byproduct of our proof, we also establish the so-called path-by-path uniqueness for any initial condition in a certain class on the same set of probability one. To obtain these results, we develop a new approach that extends Davie's method (2007) to the context of stochastic partial differential equations.

Original languageEnglish
Pages (from-to)165-212
Number of pages48
JournalAnnals of Probability
Volume47
Issue number1
DOIs
StatePublished - 1 Jan 2019

Keywords

  • Path-by-path uniqueness
  • Regularization by noise
  • Stochastic flow of solutions
  • Stochastic heat equation

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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