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  4. The non-linear stochastic wave equation in high dimensions : existence, Hölder-continuity and Itô-Taylor expansion
 
doctoral thesis

The non-linear stochastic wave equation in high dimensions : existence, Hölder-continuity and Itô-Taylor expansion

Conus, Daniel  
2008

The main topic of this thesis is the study of the non-linear stochastic wave equation in spatial dimension greater than 3 driven by spatially homogeneous Gaussian noise that is white in time. We are interested in questions of existence and uniqueness of solutions, as well as in properties of solutions, such as existence of high order moments and Hölder-continuity properties. The stochastic wave equation is formulated as an integral equation in which appear stochastic integrals with respect to martingale measures (in the sense of J.B. Walsh). Since, in dimensions greater than 3, the fundamental solution of the wave equation is neither a function nor a non-negative measure, but a general Schwartz distribution, we first develop an extension of the Dalang-Walsh stochastic integral that makes it possible to integrate a wide class of Schwartz distributions. This class contains the fundamental solution of the wave equation, under a hypothesis on the spectral measure of the noise that has already been used in the literature. With this extended stochastic integral, we establish existence of a square-integrable random-field solution to the non-linear stochastic wave equation in any dimension. Uniqueness of the solution is established within a specific class of processes. In the case of a fine multiplicative noise, we obtain a series representation of the solution and estimates on the p-th moments of the solution (p ≥ 1). From this, we deduce Hölder-continuity of the solution under standard assumptions. The Hölder exponent that we obtain is optimal. For the case of general multiplicative noise, we construct a framework for working with appropriate iterated stochastic integrals and then derive a truncated Itô-Taylor expansion for the solution of the stochastic wave equation. The convergence of this expansion remains an open problem, so we conclude with some remarks that suggest an Itô-Taylor series expansion for the solution.

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Type
doctoral thesis
DOI
10.5075/epfl-thesis-4265
Author(s)
Conus, Daniel  
Advisors
Dalang, Robert  
Date Issued

2008

Publisher

EPFL

Publisher place

Lausanne

Thesis number

4265

Total of pages

139

Subjects

martingale measures

•

stochastic integration

•

stochastic wave equation

•

stochastic partial differential equations

•

moment formulae

•

Hölder continuity

•

iterated stochastic integrals

•

Itô-Taylor expansion

•

mesure martingale

•

intégration stochastique

•

équation des ondes stochastique

•

équation aux dérivées partielles stochastique

•

expression pour les moments

•

continuité hölderienne

•

intégrales stochastiques itérées

•

développement d'Itô-Taylor

EPFL units
PROB  
Faculty
SB  
School
IMA
Doctoral School
EDMA  
Available on Infoscience
October 30, 2008
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/30563
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