Electronic Journal of Probability

Pathwise uniqueness for an SPDE with Hölder continuous coefficient driven by $\alpha $-stable noise

Xu Yang and Xiaowen Zhou

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In this paper we study the pathwise uniqueness of nonnegative solution to the following stochastic partial differential equation with Hölder continuous noise coefficient: \[ \frac{\partial X_t(x)} {\partial t}=\frac{1} {2} \Delta X_t(x) +G(X_t(x))+H(X_{t-}(x)) \dot{L} _t(x),\quad t>0, ~x\in \mathbb{R} , \] where for $1<\alpha <2$ and $0<\beta <1$, $\dot{L} $ denotes an $\alpha $-stable white noise on $\mathbb{R} _+\times \mathbb{R} $ without negative jumps, $G$ satisfies a condition weaker than Lipschitz and $H$ is nondecreasing and $\beta $-Hölder continuous.

For $G\equiv 0$ and $H(x)=x^\beta $, a weak solution to the above stochastic heat equation was constructed in Mytnik (2002) and the pathwise uniqueness of the nonnegative solution was left as an open problem. In this paper we give an affirmative answer to this problem for certain values of $\alpha $ and $\beta $. In particular, for $\alpha \beta =1$ the solution to the above equation is the density of a super-Brownian motion with $\alpha $-stable branching (see Mytnik (2002)) and our result leads to its pathwise uniqueness for $1<\alpha <\sqrt{5} -1$.

The local Hölder continuity of the solution is also obtained in this paper for fixed time $t>0$.

Article information

Electron. J. Probab., Volume 22 (2017), paper no. 4, 48 pp.

Received: 2 December 2014
Accepted: 23 December 2016
First available in Project Euclid: 5 January 2017

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Digital Object Identifier

Zentralblatt MATH identifier

Primary: 60H15: Stochastic partial differential equations [See also 35R60] 60J68: Superprocesses

stochastic partial differential equation stochastic heat equation stable white noise pathwise uniqueness Hölder continuity

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Yang, Xu; Zhou, Xiaowen. Pathwise uniqueness for an SPDE with Hölder continuous coefficient driven by $\alpha $-stable noise. Electron. J. Probab. 22 (2017), paper no. 4, 48 pp. doi:10.1214/16-EJP23. https://projecteuclid.org/euclid.ejp/1483585526

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