Article ID: | iaor1999478 |
Country: | United States |
Volume: | 11 |
Issue: | 1 |
Start Page Number: | 29 |
End Page Number: | 41 |
Publication Date: | Jan 1998 |
Journal: | Journal of Applied Mathematics and Stochastic Analysis |
Authors: | Allouba Hassan |
Keywords: | differential equations |
In 1989, Reimers gave a nonstandard proof of the existence of a solution to heat stochastic partial differential equations (SPDEs), driven by space–time white noise, when the diffusion coefficient is continuous and satisfies a linear growth condition. Using the martingale problem approach, we give a non-nonstandard proof of this fact, and with the aid of Girsanov's theorem for continuous orthogonal martingale measures (proved in a separate paper by the author), the result is extended to the case of a measurable drift.