A sharp $L_p$-regularity result for second-order stochastic partial differential equations with unbounded and fully degenerate leading coefficients

TL;DR

This paper establishes existence, uniqueness, and sharp regularity results for solutions to second-order SPDEs with unbounded, degenerate coefficients, extending regularity theory in stochastic PDEs.

Contribution

It provides the first sharp $L_p$-regularity results for second-order SPDEs with fully degenerate and unbounded coefficients, under minimal measurability assumptions.

Findings

Existence and uniqueness of solutions to the SPDE.

Sharp regularity estimates in weighted Sobolev spaces.

Extension of regularity theory to fully degenerate coefficients.

Abstract

We present existence, uniqueness, and sharp regularity results of solution to the stochastic partial differential equation (SPDE) \begin{align} \label{abs eqn} du=(a^{ij}(\omega,t)u_{x^ix^j}+f)dt + (\sigma^{ik}(\omega,t)u_{x^i}+g^k)dw^k_t, \quad u(0,x)=u_0, \end{align} where $\{w^k_t:k=1,2,\cdots\}$ is a sequence of independent Brownian motions. The coefficients are merely measurable in $(\omega,t)$ and can be unbounded and fully degenerate, that is, coefficients $a^{ij}$, $\sigma^{ik}$ merely satisfy \begin{align} \label{abs only} \left(\alpha^{ij}(\omega,t)\right)_{d\times d}:= \left(a^{ij}(\omega,t)-\frac{1}{2}\sum_{k=1}^{\infty} \sigma^{ik}(\omega,t)\sigma^{jk}(\omega,t)\right) \geq 0. \end{align} In this article, we prove that there exists a unique solution $u$ to \eqref{abs eqn}, and \begin{align} \notag \|u_{xx}\|_{\mathbb{H}^\gamma_p(\tau,\delta)} &\leq N(d,p) \bigg( \|u_0\|_{\mathbb{B}_p^{\gamma+2 \left(1-1/ p \right)}} + \| f\|_{\mathbb{H}^\gamma_p( \tau,\delta^{1-p} )} \label{abs est} &\qquad \qquad+\|g_x\|^p_{\mathbb{H}^\gamma_p( \tau, |\sigma|^p \delta^{1-p},l_2)}+ \| g_x\|_{\mathbb{H}^\gamma_p( \tau,\delta^{1-p/2},l_2)} \bigg), \end{align} where $p\geq 2$, $\gamma\in \mathbf{R}$, $\tau$ is an arbitrary stopping time, $\delta(\omega, t)$ is the smallest eigenvalue of $\alpha^{ij}(\omega, t)$, $\mathbb{H}_p^\gamma(\tau, \delta)$ is a weighted stochastic Sobolev space, and $\mathbb{B}_p^{\gamma+2 \left(1-1/ p \right)}$ is a stochastic Besov space.