One-dimensional stochastic heat equation with discontinuous conductance

ABSTRACT

We introduce a new stochastic partial differential equation with second-order elliptic operator in divergence form, having a piecewise constant diffusion coefficient, and driven by a space–time white noise. Such equation could be used in mathematical modeling of diffusion phenomena in medium consisting of two kinds of materials and undergoing stochastic perturbations. We prove the existence of the solution and we present explicit expressions of its covariance and variance functions. Some regularity properties of the solution sample paths are also analyzed.

KEYWORDS:

• Stochastic partial differential equations
• discontinuity
• integration techniques
• special functions

AMS SUBJECT CLASSIFICATIONS:

• 60H15
• 60G15
• 60G17
• 60G60
• 35K10
• 33B20

Notes

No potential conflict of interest was reported by the authors.