On the generalized stochastic Dirichlet problem-Part I: The stochastic weak maximum principle

Abstract

We treat the stochastic Dirichlet problem L◆u = h+∇ f in the framework of white noise analysis combined with Sobolev space methods. The input data and the boundary condition are generalized stochastic processes regarded as linear continuous mappings from the Sobolev space W01,2 into the Kondratiev space (S)-1. The operator L is assumed to be strictly elliptic in divergence form L◆u = ∇(A◆∇u + b◆u) + c◆∇u + d◆u. Its coefficients: the elements of the matrix A and of the vectors b, c and d are assumed to be generalized random processes, and the product of two generalized processes, denoted by ◆, is interpreted as the Wick product. In this paper we prove the weak maximum principle for the operator L, which will imply the uniqueness of the solution to L◆u = h+∇ f. © 2009 Springer Science+Business Media B.V.