Probability Theory and Related Fields

, Volume 171, Issue 3–4, pp 653–684 | Cite as

A probabilistic Harnack inequality and strict positivity of stochastic partial differential equations

  • Zhenan Wang


Under general conditions we show an a priori probabilistic Harnack inequality for the non-negative solution of a stochastic partial differential equation of the following form
$$\begin{aligned} \partial _t u=\mathrm {div}{\; (}{\mathbb {A}}\nabla u)+f(t,x,u;\omega )+g_i(t,x,u;\omega )\dot{w}_t^i. \end{aligned}$$
We also show that the solutions of the above equation are almost surely strictly positive if the initial condition is non-negative and not identically vanishing.

Mathematics Subject Classification




The project was initially started by the author and Doctor Yu Wang (currently in Goldman Sachs) in 2014 upon the completion of [6]. Although the collaboration ended after the departure of Yu Wang, the discussion with him has helped clarify many confusions. His contribution to this project is greatly appreciated.


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Copyright information

© Springer-Verlag GmbH Germany 2017

Authors and Affiliations

  1. 1.University of WashingtonSeattleUSA

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