The Annals of Probability

Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs

Rainer Buckdahn and Jin Ma

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Abstract

In this paper we study a new type of "Taylor expansion" for Itô-type random fields, up to the second order. We show that an Itô-type random field with reasonably regular "integrands" can be expanded, up to the second order, to the linear combination of increments of temporal and spatial variables, as well as the driven Brownian motion, around even a random (t,x)-point. Also, the remainder can be estimated in a "pathwise" manner. We then show that such a Taylor expansion is valid for the solutions to a fairly large class of stochastic differential equations with parameters, or even fully-nonlinear stochastic partial differential equations, whenever they exist. Using such analysis we then propose a new definition of stochastic viscosity solution for fully nonlinear stochastic PDEs, in the spirit of its deterministic counterpart. We prove that this new definition is actually equivalent to the one proposed in our previous works, at least for a class of quasilinear SPDEs.

Article information

Source
Ann. Probab., Volume 30, Number 3 (2002), 1131-1171.

Dates
First available in Project Euclid: 20 August 2002

Permanent link to this document
https://projecteuclid.org/euclid.aop/1029867123

Digital Object Identifier
doi:10.1214/aop/1029867123

Mathematical Reviews number (MathSciNet)
MR1920103

Zentralblatt MATH identifier
1017.60061

Subjects
Primary: 60H07: Stochastic calculus of variations and the Malliavin calculus 60H15: Stochastic partial differential equations [See also 35R60] 60H30: Applications of stochastic analysis (to PDE, etc.)
Secondary: 35R60: Partial differential equations with randomness, stochastic partial differential equations [See also 60H15] 34F05: Equations and systems with randomness [See also 34K50, 60H10, 93E03]

Keywords
Pathwise stochastic Taylor expansion stochastic super(sub)jets stochastic viscosity solutions Doss transformation Wick-square backward doubly stochastic differential equations

Citation

Buckdahn, Rainer; Ma, Jin. Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs. Ann. Probab. 30 (2002), no. 3, 1131--1171. doi:10.1214/aop/1029867123. https://projecteuclid.org/euclid.aop/1029867123


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References

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  • WEST LAFAy ETTE, INDIANA 47907-1395 E-MAIL: majin@math.purdue.edu