Optimal Gaussian density estimates for a class of stochastic equations with additive noise

Details Optimal Gaussian density estimates for a class of stochastic equations with additive noise Optimal Gaussian density estimates for a class of stochastic equations with additive noise

2009-12-18

arxiv.org/abs/0912.3707v1

Mathematics

Probability

Scientific paper

In this note, we establish optimal lower and upper Gaussian bounds for the density of the solution to a class of stochastic integral equations driven by an additive spatially homogeneous Gaussian random field. The proof is based on the techniques of the Malliavin calculus and a density formula obtained by Nourdin and Viens. Then, the main result is applied to the mild solution of a general class of SPDEs driven by a Gaussian noise which is white in time and has a spatially homogeneous correlation. In particular, this covers the case of the stochastic heat and wave equations in $\mathbb{R}^d$ with $d\geq 1$ and $d\leq 3$, respectively. The upper and lower Gaussian bounds have the same form and are given in terms of the variance of the stochastic integral term in the mild form of the equation.

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