Joscha Diehl, Peter K. Friz, Wilhelm Stannat
Published 2014-12-19Version 1
We discuss regular and weak solutions to rough partial differential equations (RPDEs), thereby providing a (rough path-)wise view on important classes of SPDEs. In contrast to many previous works on RPDEs, our definition gives honest meaning to RPDEs as integral equation, based on which we are able to obtain existence, uniqueness and stability results. The case of weak "rough" forward equations, may be seen as robustification of the (measure-valued) Zakai equation in the rough path sense. Feynman-Kac representation for RPDEs, in formal analogy to similar classical results in SPDE theory, play an important role.
An Itô Formula for rough partial differential equations. Application to the maximum principle
Hörmander's theorem for stochastic partial differential equations
A lattice scheme for stochastic partial differential equations of elliptic type in dimension $d\ge 4$
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