Hitting Probabilities for Systems of Stochastic PDEs: An Overview

In this article, we study a class of stochastic partial differential equations with fractional differential operators subject to some time-independent multiplicative Gaussian noise. We derive sharp conditions, under which a unique global $$L^p(\Omega )$$ -solution exists for all $$p\ge 2$$ . In this case, we derive exact moment asymptotics following the same strategy as that in a recent work by Balan et al. (Inst Henri Poincaré Probab Stat. To appear, 2021). In the case when there exists only a local solution, we determine the precise deterministic time, $$T_2$$ , before which a unique $$L^2(\Omega )$$ -solution exists, but after which the series corresponding to the $$L^2(\Omega )$$ moment of the solution blows up. By properly choosing the parameters, results in this paper interpolate the known results for both stochastic heat and wave equations.

We consider the one-dimensional stochastic heat and wave equations driven by Gaussian noises with constant initial conditions.We study the spatial average of the solutions on an interval of length R and show that the family of laws of the spatial average satisfies the large deviation principle as R goes to infinity.We also present the large deviation principle in the space of continuous functions.We prove these results using the tools of Malliavin calculus to evaluate the covariance of nonlinear functionals of the solution.

We consider a stochastic partial differential equation (SPDE) driven by a Lévy white noise, with Lipschitz multiplicative term σ. We prove that, under some conditions, this equation has a unique random field solution. These conditions are verified by the stochastic heat and wave equations. We introduce the basic elements of Malliavin calculus with respect to the compensated Poisson random measure associated with the Lévy white noise. If σ is affine, we prove that the solution is Malliavin differentiable and its Malliavin derivative satisfies a stochastic integral equation.

The main goal of this paper is to prove that there are solutions to stochastic Burgers type equations that have an oblique reflection direction. For penalized systems of stochastic partial differential equations (SPDEs), we use approximations. The method makes use of approximations of SPDE penalized systems. We establish the existence of solutions for stochastic Burgers type heat equations with oblique reflection by using a priori estimates for the solutions of the penalized systems of SPDEs.

Low regularity solutions to a gently stochastic nonlinear wave equation in nonequilibrium statistical mechanics

We prove Girsanov's theorem for continuous orthogonal martingale measures. We then define space-time SDEs, and use Girsanov's theorem to establish a oneto- one correspondence between solutions of two space-time SDEs differing only by a drift coefficient. For such stochastic equations, we give necessary conditions under which the laws of their solutions are absolutely continuous with respect to each other. Using Girsanov's theorem again, we prove additional existence and uniqueness results for space-time SDEs. The same one-to-one correspondence and absolute continuity theorems are also proved for the stochastic heat and wave equations

Exact solutions of some nonlinear systems of partial differential equations by using the first integral method

In this article, we consider the stochastic wave and heat equations on $\mathbb{R}$ with non-vanishing initial conditions, driven by a Gaussian noise which is white in time and behaves in space like a fractional Brownian motion of index $H$, with $1/4 < H < 1/2$. We assume that the diffusion coefficient is given by an affine function $\sigma(x)=ax+b$, and the initial value functions are bounded and Holder continuous of order $H$. We prove the existence and uniqueness of the mild solution for both equations. We show that the solution is $L^{2}(\Omega)$-continuous and its $p$-th moments are uniformly bounded, for any $p \geq 2$.

In this paper, we study a two-species model in the form of a coupled system of nonlinear stochastic differential equations (SDEs) that arises from a variety of applications such as aggregation of biological cells and pedestrian movements. The evolution of each process is influenced by four different forces, namely an external force, a self-interacting force, a cross-interacting force and a stochastic noise where the two interactions depend on the laws of the two processes. We also consider a many-particle system and a (nonlinear) partial differential equation (PDE) system that associate to the model. We prove the wellposedness of the SDEs, the propagation of chaos of the particle system, and the existence and (non)-uniqueness of invariant measures of the PDE system.

Dans ce papier, nous montrons un principe de comparaison trajectoriel pour l’equation de la chaleur stochastique, fractionnaire, nonlineaire sur $\mathbb{R}$ avec une donnee initiale a valeur mesure. Nous donnons des estimations quantitatives de la proximite a zero d’une solution. Ces resultats etendent le principe de comparaison de Mueller pour l’equation de la chaleur stochastique et permettent de considerer des donnees initiales plus generales telles que des mesures de Dirac et des mesures a queue plus lourde qu’une croissance exponentielle lineaire en ${\pm}\infty$. Ces resultats generalisent un travail recent par Moreno Flores (Ann. Probab. 42 (2014) 1635–1643), qui a prouve la stricte positivite de l’equation de la chaleur stochastique partant d’un Dirac. Comme application, nous etablissons la complete intermittence pour l’equation. Dans une etape intermediaire, nous prouvons la regularite Holder de solutions partant d’une donnee initiale a valeur mesure ce qui generalise, dans un certain sens, un travail recent de Chen and Dalang (Stoch. Partial Differ. Equ. Anal. Comput. 2 (2014) 316–352).

In this note, we establish optimal lower and upper Gaussian bounds for the density of the solution to a class of stochastic integral equations driven by an additive spatially homogeneous Gaussian random field. The proof is based on the techniques of the Malliavin calculus and a density formula obtained by Nourdin and Viens. Then, the main result is applied to the mild solution of a general class of SPDEs driven by a Gaussian noise which is white in time and has a spatially homogeneous correlation. In particular, this covers the case of the stochastic heat and wave equations in ℝd with d ≥ 1 and d ∈ {1, 2, 3}, respectively. The upper and lower Gaussian bounds have the same form and are given in terms of the variance of the stochastic integral term in the mild form of the equation.

We give a new representation of fractional Brownian motion with Hurst parameter $H\leq\frac{1}{2}$ using stochastic partial differential equations. This representation allows us to use the Markov property and time reversal, tools which are not usually available for fractional Brownian motion. We then give simple proofs that fractional Brownian motion does not hit points in the critical dimension, and that it does not have double points in the critical dimension. These facts were already known, but our proofs are quite simple and use some ideas of Lévy. An Erratum is available in ECP volume 17 paper number 8 (http://dx.doi.org/10.1214/ECP.v17-1774)

For a class of nonlinear systems of partial differential equations of high order in a cylindrical domain the following boundary value problem is considered: Cauchy-type conditions are prescribed on the upper and lower bases of the cylinder, and a Robin-type condition is prescribed on the lateral part of the boundary. This boundary value problem is reduced in an equivalent way to a nonlinear functional equation in a certain subspace of the Sobolev space. Under certain assumptions about the nonlinear terms an a priori estimate is obtained for the solution of the problem in question and the existence of the solution is established, while in the case when these conditions fail, the absence of a solution is established. The question of uniqueness is also discussed for the solution. Bibliography: 18 titles.

Existence of series solutions for certain nonlinear systems of time fractional partial differential equations

The work presents the analysis of the free boundary value problem related to the one-dimensional invasion model of new species in biofilm reactors. In the framework of continuum approach to mathematical modelling of biofilm growth, the problem consists of a system of non-linear hyperbolic partial differential equations governing the microbial species growth and a system of semi-linear elliptic partial differential equations describing the substrate trends. The model is completed with a system of elliptic partial differential equations governing the diffusion and reaction of planktonic cells, which are able to switch their mode of growth from planktonic to sessile when specific environmental conditions are found. Two systems of non-linear differential equations for the substrate and planktonic cells mass balance within the bulk liquid are also considered. The free boundary evolution is governed by a differential equation that accounts for detachment. The qualitative analysis is performed and a uniqueness and existence result is presented. Furthermore, two special models of biological and engineering interest are discussed numerically. The invasion of Anammox bacteria in a constituted biofilm inhabiting the deammonification units of the wastewater treatment plants is simulated. Numerical simulations are run to evaluate the influence of the colonization process on biofilm structure and activity.