Malliavin differentiability of solutions of SPDEs with Lévy white noise

Raluca M. Balan, Cheikh B. Ndongo

Published 2016-05-09Version 1

In this article, we consider a stochastic partial differential equation (SPDE) driven by a L\'evy white noise, with Lipschitz multiplicative term $\sigma$. We prove that under some conditions, this equation has a unique random field solution. These conditions are verified by the stochastic heat and wave equations. We introduce the basic elements of Malliavin calculus with respect to the compensated Poisson random measure associated with the L\'evy white noise. If $\sigma$ is affine, we prove that the solution is Malliavin differentiable and its Malliavin derivative satisfies a stochastic integral equation.