A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
Annales de l'I.H.P. Analyse non linéaire, Tome 28 (2011) no. 1, pp. 27-46.

We consider non-linear parabolic evolution equations of the form ${\partial }_{t}u=F\left(t,x,Du,{D}^{2}u\right)$, subject to noise of the form $H\left(x,Du\right)\circ dB$ where H is linear in Du and $\circ \phantom{\rule{0.166667em}{0ex}}dB$ denotes the Stratonovich differential of a multi-dimensional Brownian motion. Motivated by the essentially pathwise results of [P.-L. Lions, P.E. Souganidis, Fully nonlinear stochastic partial differential equations, C. R. Acad. Sci. Paris Sér. I Math. 326 (9) (1998) 1085–1092] we propose the use of rough path analysis [T.J. Lyons, Differential equations driven by rough signals, Rev. Mat. Iberoamericana 14 (2) (1998) 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, …).

DOI : https://doi.org/10.1016/j.anihpc.2010.11.002
Mots clés : Parabolic viscosity PDEs, Stochastic PDEs, Rough path theory
@article{AIHPC_2011__28_1_27_0,
author = {Caruana, Michael and Friz, Peter K. and Oberhauser, Harald},
title = {A (rough) pathwise approach to a class of non-linear stochastic partial differential equations},
journal = {Annales de l'I.H.P. Analyse non lin\'eaire},
pages = {27--46},
publisher = {Elsevier},
volume = {28},
number = {1},
year = {2011},
doi = {10.1016/j.anihpc.2010.11.002},
zbl = {1219.60061},
mrnumber = {2765508},
language = {en},
url = {http://archive.numdam.org/articles/10.1016/j.anihpc.2010.11.002/}
}
Caruana, Michael; Friz, Peter K.; Oberhauser, Harald. A (rough) pathwise approach to a class of non-linear stochastic partial differential equations. Annales de l'I.H.P. Analyse non linéaire, Tome 28 (2011) no. 1, pp. 27-46. doi : 10.1016/j.anihpc.2010.11.002. http://archive.numdam.org/articles/10.1016/j.anihpc.2010.11.002/

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