Uniqueness for a class of one-dimensional stochastic PDEs using moment duality

Athreya, Siva ; Tribe, Roger (2000) Uniqueness for a class of one-dimensional stochastic PDEs using moment duality Annals of Probability, 28 (4). pp. 1711-1734. ISSN 0091-1798

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Related URL: http://dx.doi.org/10.1214/aop/1019160504

Abstract

We establish a duality relation for the moments of bounded solutions to a class of one-dimensional parabolic stochastic partial differential equations. The equations are driven by multiplicative space-time white noise, with a non-Lipschitz multiplicative functional. The dual process is a system of branching Brownian particles. The same method can be applied to show uniqueness in law for a class of non-Lipschitz finite dimensional stochastic differential equations.

Item Type:Article
Source:Copyright of this article belongs to Institute of Mathematical Statistics.
Keywords:Stochastic Partial Differential Equations; Duality; Uniqueness
ID Code:100386
Deposited On:12 Feb 2018 12:16
Last Modified:12 Feb 2018 12:16

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