Sticky-reflected stochastic heat equation driven by colored noise
UDC 519.21 We prove the existence of a sticky-reflected solution to the heat equation on the spatial interval $[0,1]$ driven by colored noise. The process can be interpreted as an infinite-dimensional analog of the sticky-reflected Brownian motion on the real line, but now the solution obeys the usu...
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| Date: | 2020 |
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| Main Author: | |
| Format: | Article |
| Language: | Ukrainian |
| Published: |
Institute of Mathematics, NAS of Ukraine
2020
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| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/6282 |
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| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
| Download file: |  |
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Ukrains’kyi Matematychnyi Zhurnal| Summary: | UDC 519.21
We prove the existence of a sticky-reflected solution to the heat equation on the spatial interval $[0,1]$ driven by colored noise. The process can be interpreted as an infinite-dimensional analog of the sticky-reflected Brownian motion on the real line, but now the solution obeys the usual stochastic heat equation except for points where it reaches zero. The solution has no noise at zero and a drift pushes it to stay positive. The proof is based on a new approach that can also be applied to other types of SPDEs with discontinuous coefficients. |
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| DOI: | 10.37863/umzh.v72i9.6282 |