arXiv · 2202.01127
A first order description of a nonlinear SPDE in the spirit of rough paths
Abstract
We consider a nonlinear stochastic partial differential equation (SPDE) in divergence form where the forcing term is a Gaussian noise, that is white in time and colored in space such that the gradient of the solution is H\"older-continuous, but not differentiable. Then, we prove a generalized Taylor expansion of the difference between the solution to the SPDE and the solution to its linearization around a fixed basepoint. The result is reminiscent of the theory of (controlled) rough paths and agrees with the general observation, that, in settings with a rough driver, subtracting the solution to the linearized equation yields a more regular object.
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Florian Kunick. 2022-02-02. A first order description of a nonlinear SPDE in the spirit of rough paths. https://arxiv.org/abs/2202.01127
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