A stochastic Fokker-Planck equation and double probabilistic representation for the stochastic porous media type equation

Barbu, Viorel; Röckner, Michael; Russo, Francesco

doi:10.48550/arxiv.1404.5120

Public

A stochastic Fokker-Planck equation and double probabilistic representation for the stochastic porous media type equation

Published in arXiv (Cornell University) • Apr 21, 2014

Authors:

Viorel Barbu

Michael Röckner

Francesco Russo

Abstract

The purpose of the present paper consists in proposing and discussing a double probabilistic representation for a porous media equation in the whole space perturbed by a multiplicative colored noise. For almost all random realizations $ω$, one associates a stochastic differential equation in law wit...

Subject

Stochastic differential equation

Fokker–Planck equation

Mathematics

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