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arXiv · 1611.00140

On recovering solutions for SPDEs from their averages

Nikolai Dokuchaev
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Abstract

We study linear stochastic partial differential equations of parabolic type. We consider a new boundary value problem where a Cauchy condition is replaced by a prescribed average of the solution either over time and probabilistic space for forward SPDEs and over time for backward SPDEs. Well-posedness, existence, uniqueness, and a regularity of the solution for this new problem are obtained. In particular, this can be considered as a possibility to recover a solution of a forward SPDE in a setting where its values at the initial time are unknown, and where the average of the solution over time and probability space is observable, as well as the input processes.

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Nikolai Dokuchaev. 2017-06-21. On recovering solutions for SPDEs from their averages. https://arxiv.org/abs/1611.00140

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