English

Regularity of the sample paths of a class of second order spde's

Probability 2007-05-23 v1

Abstract

We study the sample path regularity of the solutions of a class of spde's which are second order in time and that includes the stochastic wave equation. Non-integer powers of the spatial Laplacian are allowed. The driving noise is white in time and spatially homogeneous. Continuing with the work initiated in Dalang and Mueller (2003), we prove that the solutions belong to a fractional L2L^2-Sobolev space. We also prove H\"older continuity in time and therefore, we obtain joint H\"older continuity in the time and space variables. Our conclusions rely on a precise analysis of the properties of the stochastic integral used in the rigourous formulation of the spde, as introduced by Dalang and Mueller. For spatial covariances given by Riesz kernels, we show that our results are optimal.

Keywords

Cite

@article{arxiv.math/0409430,
  title  = {Regularity of the sample paths of a class of second order spde's},
  author = {Robert C. Dalang and Marta Sanz-Solé},
  journal= {arXiv preprint arXiv:math/0409430},
  year   = {2007}
}

Comments

31 pages