On a stochastic wave equation in two space dimensions: regularity of the solution and its density

Annie Millet and Pierre-Luc Morien

Stochastic Processes and their Applications, 2000, vol. 86, issue 1, 141-162

Abstract: We pursue the investigation started in a recent paper by Millet and Sanz-Solé (1999, Ann. Probab. 27, 803-844) concerning a non-linear wave equation driven by a Gaussian white noise in time and correlated in the two-dimensional space variable. Under more restrictive conditions on the covariance function of the noise, we prove Hölder-regularity properties for both the solution and its density. For the latter, we adapt the method used in a paper by Morien (1999, Bernoulli: Official J. Bernoulli Soc. 5(2), 275-298) based on the Malliavin calculus.

Keywords: Stochastic; partial; differential; equation; Wave; equation; Gaussian; noise; Malliavin; calculus (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (1)

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