Brownian-time Brownian motion SIEs on $\mathbb{R}_{+}$ × $\mathbb{R}^d$: Ultra regular direct and lattice-limits solutions and fourth order SPDEs links

Hassan Allouba

doi:10.3934/dcds.2013.33.413

Article Contents

2013, Volume 33, Issue 2: 413-463. Doi: 10.3934/dcds.2013.33.413

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Brownian-time Brownian motion SIEs on $\mathbb{R}_{+}$ × $\mathbb{R}^d$: Ultra regular direct and lattice-limits solutions and fourth order SPDEs links

Hassan Allouba^1,

1.
Department of Mathematical Sciences, Kent State University, Kent, Ohio 44242

Received: December 31, 2010

Revised: May 31, 2012

Published: January 2013

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Abstract

We delve deeper into the compelling regularizing effect of the Brownian-time Brownian motion density,$ \mathbb{K}^{{BTBM}^d}_{t;x,y}$ , on the space-time-white-noise-driven stochastic integral equation we call BTBM SIE: \begin{equation} U(t,x)=\int_{{\mathbb R}^{d}}{{\mathbb K}}^{\text{BTBM}^d}_{t;x,y} u_0(y) dy+ \int_{{\mathbb R}^{d}}\int_0^t{{\mathbb K}}^{\text{BTBM}^d}_{t-s;x,y} a(U(s,y))\mathscr W(ds\times dy), (0.1) \end{equation} which we recently introduced in [3].In sharp contrast to traditional second order heat-operator-based SPDEs---whose real-valued mild solutions are confined to $d=1$---we prove the existence of solutions to (0.1) in $d=1,2,3$ with dimension-dependent and striking Hölder regularity, under both less than Lipschitz and Lipschitz conditions on $a$. In space, we show an unprecedented nearly local Lipschitz regularity for $d=1,2$---roughly, $U$ is spatially twice as regular as the Brownian sheet in these dimensions---and we prove nearly local Hölder $1/2$ regularity in $d=3$. In time, our solutions are locally $\gamma$-Hölder continuous with exponent $γ∈(0, \frac{4-d}{8})$,$1≤d≤3$. To investigate (0.1) under less than Lipschitz conditions on $a$, we (a) introduce the Brownian-time random walk---a special case of lattice processes we call Brownian-time chains---and we use it to formulate the spatial lattice version of (0.1); and (b) develop a delicate variant of Stroock-Varadhan martingale approach, the K-martingale approach, tailor-made for a wide variety of kernel SIEs including (0.1) and the mild forms of many SPDEs of different orders on the lattice. Solutions to (0.1) are defined as limits of their lattice version. Along the way, we prove interesting aspects of Brownian-time random walk, including a fourth order differential-difference equation connection. We also prove existence, pathwise uniqueness, and the same Hölder regularity for (0.1), without discretization, in the Lipschitz case. The SIE (0.1) is intimately connected to intriguing fourth order SPDEs in two ways. First, we show that (0.1) is connected to the diagonals of a new unconventional fourth order SPDE we call parametrized BTBM SPDE. Second, replacing $ \mathbb {K}^{{BTBM}^d}_{t;x,y}$ , by the intimately connected kernel of our recently-introduced imaginary-Brownian-time-Brownian-angle process (IBTBAP), (0.1) becomes the mild form of a Kuramoto-Sivashinsky (KS) SPDE with linearized PDE part. Ideas and tools developed here are adapted in separate papers to give an entirely new approach, via our explicit IBTBAP representation, to many linear and nonlinear KS-type SPDEs in multi-spatial dimensions.

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Mathematics Subject Classification: 60H20, 60H15, 60H30, 45H05, 45R05, 35R11, 35R60, 35G99, 60J45, 60J35, 60J60, 60J65.

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