Finite-time blowup and existence of global positive solutions of a semi-linear SPDE

Marco Dozzi (1) , José Alfredo Lopez (2)

1 IECN - Institut Élie Cartan de Nancy
2 CIMAT - Centro de Investigación en Matemáticas

We consider stochastic equations of the prototype $du(t,x) =\left( \Delta u(t,x)+u(t,x)^{1+\beta}\right)dt+\kappa u(t,x)\,dW_{t}$ on a smooth domain $D\subset \mathord{\rm I\mkern-3.6mu R\:\!\!}^d$, with Dirichlet boundary condition, where $\beta$, $\kappa$ are positive constants and $\{W_t $, $t\ge0\}$ is a one-dimensional standard Wiener process. We estimate the probability of finite time blowup of positive solutions, as well as the probability of existence of non-trivial positive global solutions.

Domaines: Probabilités [math.PR]

Marco Dozzi, José Alfredo Lopez. Finite-time blowup and existence of global positive solutions of a semi-linear SPDE. Stochastic Processes and their Applications, 2010, ⟨10.1016/j.spa.2009.12.003⟩. ⟨hal-00410678⟩