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2011 A Discrete Approach to Rough Parabolic Equations
Aurélien Deya
Author Affiliations +
Electron. J. Probab. 16: 1489-1518 (2011). DOI: 10.1214/EJP.v16-919

Abstract

<p>By combining the formalism of [8] with a discrete approach close to the considerations of [6], we interpret and we solve the rough partial differential equation $$dy_t=Ay_tdt+\sum_{i=1}^mf_i(y_t)dx_t^i, t\in[0,T]$$ on a compact domain $\mathcal{O}$ of $\mathbb{R}^n$, where $A$ is a rather general elliptic operator of $L^p(\mathcal{O})$, $p&gt;1$, and $f_i(\varphi)(\xi)=f_i(\varphi(\xi))$, and $x$ is the generator of a 2-rough path. The (global) existence, uniqueness and continuity of a solution is established under classical regularity assumptions for $f_i$. Some identification procedures are also provided in order to justify our interpretation of the problem.</p>

Citation

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Aurélien Deya. "A Discrete Approach to Rough Parabolic Equations." Electron. J. Probab. 16 1489 - 1518, 2011. https://doi.org/10.1214/EJP.v16-919

Information

Accepted: 19 August 2011; Published: 2011
First available in Project Euclid: 1 June 2016

zbMATH: 1246.60086
MathSciNet: MR2827468
Digital Object Identifier: 10.1214/EJP.v16-919

Subjects:
Primary: 60H05
Secondary: 60G15 , 60H07

Keywords: fractional Brownian motion , Rough paths theory , stochastic PDEs

Vol.16 • 2011
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