The stochastic porous media equation in $\R^d$

Abstract

Existence and uniqueness of solutions to the stochastic porous media equation dX-\D\psi(X) dt=XdW in \rr^d are studied. Here, $W$ is a Wiener process, $\psi$ is a maximal monotone graph in \rr\times\rr such that $\psi(r)\le C|r|^m$, \ff r\in\rr, $W$ is a coloured Wiener process. In this general case the dimension is restricted to $d\ge 3$, the main reason being the absence of a convenient multiplier result in the space \calh=\{\varphi\in\mathcal{S}'(\rr^d);\ |\xi|(\calf\varphi)(\xi)\in L^2(\rr^d)\}, for $d\le2$. When $\psi$ is Lipschitz, the well-posedness, however, holds for all dimensions on the classical Sobolev space H^{-1}(\rr^d). If $\psi(r)r\ge\rho|r|^{m+1}$ and $m=\frac{d-2}{d+2}$, we prove the finite time extinction with strictly positive probability