Initial measures for the stochastic heat equation

Daniel Conus, Mathew Joseph, Davar Khoshnevisan, Shang-Yuan Shiu

Published 2011-10-18Version 1

We consider a family of nonlinear stochastic heat equations of the form $\partial_t u=\mathcal{L}u + \sigma(u)\dot{W}$, where $\dot{W}$ denotes space-time white noise, $\mathcal{L}$ the generator of a symmetric L\'evy process on $\R$, and $\sigma$ is Lipschitz continuous and zero at 0. We show that this stochastic PDE has a random-field solution for every finite initial measure $u_0$. Tight a priori bounds on the moments of the solution are also obtained. In the particular case that $\mathcal{L}f=cf"$ for some $c>0$, we prove that if $u_0$ is a finite measure of compact support, then the solution is with probability one a bounded function for all times $t>0$.