Invariant measures for stochastic heat equations with unbounded coefficients
The paper deals with the Cauchy problem in of a stochastic heat equation . The locally lipschitz drift coefficient f can have polynomial growth while the diffusion coefficient [sigma] is supposed to be lipschitz but not necessarily bounded. Of course, for the existence of a solution alone, a certain dissipativity of f is needed. Applying the comparison method, a condition on the strength of this dissipativity is derived even ensuring the existence of an invariant measure.
Year of publication: |
2003
|
---|---|
Authors: | Assing, Sigurd ; Manthey, Ralf |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 103.2003, 2, p. 237-256
|
Publisher: |
Elsevier |
Keywords: | Stochastic partial differential equation Comparison theorem Invariant measure Feller property |
Saved in:
Saved in favorites
Similar items by person
-
Qualitative behaviour of solutions of stochastic reaction-diffusion equations
Manthey, Ralf, (1992)
-
Comparison theorems for stochastic differential equations in finite and infinite dimensions
Geiß, Christel, (1994)
-
On Trading American Put Options with Interactive Volatility
Assing, Sigurd, (2014)
- More ...