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Generalized Solutions of Linear Parabolic Stochastic Partial Differential Equations

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Abstract.

Existence and uniqueness theorems for parabolic stochastic partial differential equations with space—time white noise are proved. The method is a combination of the characterization theorem for Hida distributions with the Feynman—Kac and Girsanov formulae.

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Authors and Affiliations

  1. Lehrstuhl für Mathematik V, Universität Mannheim, D-68131 Mannheim, Germany , , , , , , DE

    J. Potthoff & G. Våge

  2. Department of Applied Mathematics, Faculty of Science, Okayama University of Science, Okayama, Japan, , , , , , JP

    H. Watanabe

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  1. J. Potthoff
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  2. G. Våge
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  3. H. Watanabe
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Accepted 3 December 1996

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Potthoff, J., Våge, G. & Watanabe, H. Generalized Solutions of Linear Parabolic Stochastic Partial Differential Equations . Appl Math Optim 38, 95–107 (1998). https://doi.org/10.1007/s002459900083

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  • DOI: https://doi.org/10.1007/s002459900083

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