Stochastics

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A support theorem for 3d-stochastic wave

equations in Hölder norm with some general
noises

Francisco J. Delgado-Vences

To cite this article: Francisco J. Delgado-Vences (2021) A support theorem for 3d-stochastic
wave equations in Hölder norm with some general noises, Stochastics, 93:2, 211-238, DOI:
10.1080/17442508.2020.1712721

To link to this article: https://doi.org/10.1080/17442508.2020.1712721

Published online: 12 Jan 2020.

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STOCHASTICS
2021, VOL. 93, NO. 2, 211–238
https://doi.org/10.1080/17442508.2020.1712721

A support theorem for 3d-stochastic wave equations in

Hölder norm with some general noises
Francisco J. Delgado-Vences
Catedra Conacyt and Instituto de Matemáticas, Universidad Nacional Autónoma de México, Oaxaca de
Juarez, Mexico

ABSTRACT ARTICLE HISTORY

In this paper, we characterize the topological support in Hölder Received 18 February 2019
norm of the law of the solution to a stochastic wave equation Accepted 5 January 2020
with three-dimensional space variable. This note is an extension of KEYWORDS
Delgado-Vences and Sanz-Solé [Approximation of a stochastic wave Approximating schemes;
equation in dimension three, with applications to a support theorem stochastic wave equation;
in Hölder norm, Bernoulli 20(4) (2014), pp. 2169–2216; Approxima- support theorem
tion of a stochastic wave equation in dimension three, with applica-
tion to a support theorem in Hölder norm: The non-stationary case,
Bernoulli 22(3) (2016), pp. 1572–1597]. The result presented here
characterize a more general type of stochastic wave equations in 3-d
space variable than those considered in Delgado-Vences and Sanz-
Solé [Approximation of a stochastic wave equation in dimension three,
with applications to a support theorem in Hölder norm, Bernoulli 20(4)
(2014), pp. 2169–2216; Approximation of a stochastic wave equation
in dimension three, with application to a support theorem in Hölder
norm: The non-stationary case, Bernoulli 22(3) (2016), pp. 1572–1597].
Here we extend these two previous results in the folowing sense.
The first extension is that we cover the case of multiplicative noise
and non-zero initial conditions. The second extension is related to
the covariance function associated with the noise, here we follow
the approach of Hu, Huang and Nualart and ask conditions in terms
of the mean Hölder continuity of such covariance function. As in
Delgado-Vences and Sanz-Solé [Approximation of a stochastic wave
equation in dimension three, with applications to a support theorem
in Hölder norm, Bernoulli 20(4) (2014), pp. 2169–2216; Approxima-
tion of a stochastic wave equation in dimension three, with applica-
tion to a support theorem in Hölder norm: The non-stationary case,
Bernoulli 22(3) (2016), pp. 1572–1597] the result is a consequence of
an approximation theorem, in the convergence of probability, for a
sequence of evolution equations driven by a family of regularizations
of the driving noise.

1. Introduction
This paper is an extension of [6,7] where it was proved a characterization of the topological
support in Hölder norm for the law of the solution of a stochastic wave equation. The main
difference in the method used here, with respect to the one used in [6,7], is very technical

CONTACT Francisco J. Delgado-Vences delgado@im.unam.mx, delgadovences@gmail.com

© 2020 Informa UK Limited, trading as Taylor & Francis Group
212 F. J. DELGADO-VENCES

and it is described in the Remark 2.1 below. This fact was noticed in [9] and here we have
used very often; it allows us to get very good estimates for several quantities which leave
us to prove Hölder continuity of the solution of the stochastic wave equation as in [9].
Consider the stochastic partial differential equation (SPDE)
 2 
∂
−  u(t, x) = ς (u(t, x)) Ṁ(t, x) + b (u(t, x)) ,
∂t 2
∂
u(0, x) = v0 (x) u(0, x) = ṽ0 (x), (1)
∂t
where  denotes the Laplacian on R3 , T > 0 is fixed, t ∈ (0, T] and x ∈ R3 . The non-linear
terms and the initial conditions are defined by functions ς , b : R → R and v0 , ṽ0 : R3 →
R, respectively.
For the definition of the noise we follow [9]. The notation Ṁ(t, x) refers to the formal
derivative of a Gaussian random field M white in the time variable and with a correlation
in the space variable given by some function. More specifically,
 
E Ṁ(t, x)Ṁ(s, y) = δ0 (t − s)f (x − y), (2)

where δ0 denotes the delta Dirac measure and f is a non-negative, non-negative definite
function which is a tempered distribution on R3 and then f is locally integrable. We know
that in this case f is the Fourier transform of a non-negative tempered measure μ ∈ R3
which is called the spectral measure of f. That is, for all ϕ belonging to the space S (R3 ) of
rapidly decreasing C∞ functions we have
 
f (x)ϕ(x) dx = F ϕ(ξ )μ(dξ ), (3)
R3 R3

and there is an integer m ≥ 1 such that


(1 + |ξ |2 )−m μ(dξ ) < +∞ (4)
R3

where F ϕ is the Fourier transform of ϕ ∈ S (R3 ): F ϕ(ξ ) = R3 ϕ(x) e−iξ ·x dx
Our basic assumption on f is

f (x)
dx < +∞ (5)
|x|≤1 |x|

It is well-knows (see for instance [3] or [4]) that this is equivalent to


μ(dξ )
< +∞, (6)
R3 1 + |ξ |
2

and since we are in R3 , (5) is satisfied if there is a κ < 2 such that in a neighborhood of 0,
f (x) ≤ C|x|−κ .
Let G(t) be the fundamental solution to the wave equation in dimension three,
G(t, dx) = (1/4πt)σt (dx), where σt (x) denotes the uniform surface measure on the sphere
of radius t > 0 with total mass 4πt 2 .
 STOCHASTICS 213

We consider a random field solution to the SPDE (1), which means a real-valued adapted
(with respect to the natural filtration generated by the Gaussian process M) stochastic
process {u(t, x), (t, x) ∈ (0, T] × R3 } satisfying
 t
0
u(t, x) = X (t, x) + G(t − s, x − y)ς (u(s, y))M(ds, dy)
0 R3
 t
+ [G(t − s, ·)  b(u(s, ·))] (x) ds. (7)
0

Here

0 d
X (t, x) = [G(t)  ṽ0 ](x) + G(t)  v0 (x), (8)
dt
and the symbol ‘’ denotes the convolution in the spatial argument.
The stochastic integral (also termed stochastic convolution) in (7) is defined as a
stochastic integral with respect to a sequence of independent standard Brownian motions
{Wj (s)}j∈N , as follows. Let H be the Hilbert space defined by the completion of S (R3 ),
endowed with the semi-inner product
  
ϕ, ψH = μ(dξ )F ϕ(ξ )F ψ(ξ ) = ϕ(y)ψ(x)f (x − y) dx dy,
R3 R3 R3

where μ is the spectral measure of f. Then

 t
G(t − s, x − y)ς(u(s, y))M(ds, dy)
0 R3

 t
:= G(t − s, x − ∗)ς (u(s, ∗)), ej H Wj (ds), (9)
j∈N 0

where (ej )j∈N ⊂ S (R3 ) is a complete orthonormal basis of H.

Assume that ϕ ∈ H is a signed measure with finite total variation. Then, by applying
[10, Theorem 5.2] (see also [11, Lemma 12.12] for the case of probability measures with
compact support) and a polarization argument on the positive and negative parts of ϕ, we
obtain
  
ϕ2H = C ϕ(dx)ϕ(dy)f (x − y) = C μ(dξ )|F ϕ(ξ )|2 . (10)
R3 R3 R3
For t0 ∈ [0, T], K ⊂ R3 compact and ρ ∈ (0, 1), we denote by C ρ ([t0 , T] × K) the space of
real functions g such that gρ,t0 ,K < ∞, where
|g(t, x) − g(t̄, x̄)|
gρ,t0 ,K := sup |g(t, x)| + sup .
(t,x)∈[t0 ,T]×K (t,x),(t̄,x̄)∈[t0 ,T]×K (|t − t̄| + |x − x̄|)ρ
(t,x)=(t̄,x̄)

Let 0 < ρ < ρ and E ρ ([t0 , T] × K) be the space of Hölder continuous functions g of
degree ρ such that
|g(t, x) − g(s, y)|
Og (δ) := sup → 0, if δ → 0. (11)
|t−s|+|x−y|<δ (|t − s| + |x − y|)ρ
214 F. J. DELGADO-VENCES

The space E ρ ([t0 , T] × K) endowed with the norm  · ρ ,t0 ,K is a Polish space and the

embedding C ρ ([t0 , T] × K) ⊂ E ρ ([t0 , T] × K) is compact.
Assume that the functions ς and b are Lipschitz continuous and the initial conditions
v0 , ṽ0 satisfy the assumption a) from Hypothesis 1 below. When f is the Riesz kernel, i.e.
f (x) = |x|−β , with β ∈ ]0, 2[, Theorem 4.11 in [5] along with [4, Proposition 2.6] give
the existence of a random field solution to (7) with sample paths in C ρ ([0, T] × K), with
ρ ∈ (0, γ1 ∧ γ2 ∧ (2 − β)/2). Where γ1 and γ2 are some constants γ1 , γ2 ∈ ]0, 1] such that
v0 and v̄0 are Hölder continuous of orders γ1 and γ2 , respectively (see Hypothesis 1). In
our case one can prove the existence and uniqueness of the solution to (1) in the same way
as in Theorem 4.3 in [4].
For any t ∈ (0, T], let HT = L2 ([0, T]; H). Fix h ∈ HT and consider the deterministic
evolution equation
 
h (t, x) = X 0 (t, x) + G(t − ·, x − ∗)ς (h (·, ∗)), h
Ht
 t
+ ds[G(t − s, ·)  (h (s, ·))](x). (12)
0

The main objective in [6] is to prove that, in the particular case v0 = ṽ0 = 0, the topo-
logical support of the law of the solution to (7) in the space E ρ ([t0 , T] × K) with ρ ∈
(0, (2 − β)/2) is the closure in the Hölder norm of the set {h , h ∈ HT }, for any t0 > 0.
(see [6, Theorem 3.1]). In [7] they obtained a similar result for the case of non zero initial
conditions but restricted to the case of the function ς being a linear function, this is called
the affine case. Their approach is based on the fractional Sobolev embedding theorem and
the Fourier transform technique.
The aim of this paper is to prove an extension of this result allowing non null initial
conditions v0 , ṽ0 , with a multiplicative noise (i.e. we will let ς to be globally Lipschitz) and
the covariance functional will satisfy the Hypotheses 1(b) and 2(a),(c) (defined below).
Notice that with these assumptions we will cover the case of the Riesz Kernel (see [9] for
more details).The theorem is stated below.
We will use the following two sets of hypotheses (see [9]).

Hypothesis 1: (a) v0 ∈ C2 (R3 ), v0 , v0 are bounded and v0 and ṽ0 are Hölder contin-
uous of orders γ1 and γ2 respectively, γ1 , γ2 ∈ ]0, 1].
(b) The function f satisfies condition (5) and for some γ ∈ ]0, 1] and γ ∈ ]0, 2] we have
for all w ∈ R3

|f (z + w) − f (z)|
dz ≤ C|w|γ (13)
|z|≤2T |z|
and

|f (z + w) − 2f (z) + f (z − w)|
dz ≤ C|w|γ (14)
|z|≤2T |z|

For the Hölder continuity in time we will use, in addition, the following set of hypoth-
esis. Let S2 denote the unit sphere in R3 and σ (dξ ) the uniform measure on it.
 STOCHASTICS 215

Hypothesis 2: (a) For some 0 < ν ≤ 1,


f (z)
dz ≤ C|h|ν for any 0 < h ≤ 2T (15)
|z|≤h |z|

(b) For some 0 < κ1 ≤ 1 and for any q ≥ 2 and t ∈ (0, T] we have
 
E |u(t, x) − u(t, y)|q 1Ln (t) ≤ C|x − y|qκ1 , (16)

where Ln (t) is defined in (33).

(c) Let ξ and η unit vectors in R3 and 0 < h ≤ 1. We have
 T 

f (s(ξ + η) + h(ξ + η)) − f (s(ξ + η) + hη) sσ (dξ )σ (dη) ds ≤ C|h|ρ1 ,
0 S2 S2
(17)
for some ρ1 ∈ ]0, 1], and
 T 

f (s(ξ + η) + h(ξ + η)) − f (s(ξ + η) + hξ )
0 S2 S2

−f (s(ξ + η) + hη) + f (s(ξ + η)) s2 σ (dξ )σ (dη) ds ≤ C|h|ρ2 , (18)

for some ρ2 ∈ ]0, 2].

Notice that when we prove the results, first we will prove the Hölder continuity in space
and after that we will prove the Hölder continuity in time, so at the point we use (b) of the
Hypothesis 2 we will have established it.

Theorem 1.1: Assume that

(1) the functions ς and b are Lipschitz continuous;

(2) Assume Hypotheses 1 and 2 hold.

Fix t0 > 0 and a compact set K ⊂ R3 . Then the topological support of the law of the solu-
tion to (7) in the space E ρ ([t0 , T] × K) with ρ ∈ ]0, min(γ1 , γ2 , γ , γ /2, (ν + 1)/2, (ρ1 + κ)
/2, ρ2 /2)[ is the closure in the Hölder norm  · ρ,t0 ,K of the set {h , h ∈ HT }, where h is
given in (12) and κ ∈ ]0, min(γ1 , γ2 , γ , γ /2)[.

After the seminal paper [15], an extensive literature on support theorems for stochas-
tic differential equations appeared (see for example, [1,8,12], and references herein). The
analysis of the uniqueness of invariant measures is one of the motivations for the char-
acterization of the support of stochastic evolution equations (see [6, Section 1] for more
details).
As in [6,7], Theorem 1.1 will be a corollary of a general result on approximations of
Equation (7) by a sequence of SPDEs obtained by smoothing the noise M. The precise
statement, given in Theorem 2.2, provides a Wong-Zakai type theorem in Hölder norm.
The method relies on [1], further developed and used in [2,8,12–14]. We refer the reader
to [6, Section 1] for a detailed description of the method for the proof of support theorems
based on approximations.
216 F. J. DELGADO-VENCES

As in [6] (see also [7]) we apply the approximation method of [12] to obtain a char-
acterization of the topological support of the law of u (the solution to (7)) in the Hölder
norm  · ρ,t0 ,K . The core of the work consists of an approximation result for a family of
equations more general than Equation (7) by a sequence of pathwise evolution equations
obtained by a smooth approximation of the driving process M. In finite dimensions, the
celebrated Wong–Zakai approximations for diffusions in the supremum norm could be
considered as an analogue. However there are two substantial differences, first the type of
equation we consider in this paper is much more complex, and moreover we deal with a
stronger topology.
For the sake of completeness, we give a brief description of the procedure of [13] in the
particular context of this work, and refer the reader to [13] for further details.
¯ Ḡ , μ̄) be the canonical space of a standard real-valued Brownian motion on
Let (,
[0, T]. In the sequel, the reference probability space will be (, G , P) := (¯ N , Ḡ ⊗N , μ̄⊗N ).
By the preceding identification of M with (Wj , j ∈ N), this is the canonical probability space
of M.
Assume that there exists a measurable mapping ξ1 : L2 ([0, T]; 2 ) → C ρ ([t0 , T] × K),
and a sequence wn :  → L2 ([0, T]; 2 ) such that for every  > 0,
   
lim P u − ξ1 wn ρ,t ,K >  = 0. (19)
n→∞ 0

Then supp(u ◦ P−1 ) ⊂ ξ1 (L2 ([0, T]; 2 )), where the closure refers to the Hölder norm  ·
ρ,t0 ,K .
Next, we assume that there exists a mapping ξ2 : L2 ([0, T]; 2 ) → C ρ ([t0 , T] × K) and
for any h ∈ L2 ([0, T]; 2 ), we suppose that there exist a sequence Tnh :  →  of mea-
surable transformations such that, for any n ≥ 1, the probability P ◦ (Tnh )−1 is absolutely
continuous with respect to P and, for any h ∈ L2 ([0, T]; 2 ),  > 0,
    
 
lim P u Tnh − ξ2 (h) <  > 0. (20)
n→∞ ρ,t0 ,K

Then supp(u ◦ P−1 ) ⊃ ξ2 (L2 ([0, T]; 2 )).

For any h ∈ L2 ([0, T]; 2 ) (or equivalently, h ∈ HT ), recall the deterministic evolution
equation h (t, x) given by (12) and similarly as for u, the mapping (t, x) ∈ [t0 , T] × K →
h (t, x) belongs to C ρ ([t0 , T] × K).
Let ξ1 (h) = ξ2 (h) = h , and (wn )n≥1 be given by (22). From (23) and the isometric
representation of HT , we see that wn :  → L2 ([0, T]; 2 ). Given h ∈ L2 ([0, T]; 2 ), we
define
Tnh (ω) = ω + h − wn . (21)
By Girsanov’s theorem, the probability P ◦ (Tnh )−1 is absolutely continuous with respect to
P.
According to (19), (20), the final objective is to prove that
n
 
lim w = u, lim u Tnh = h ,
n→∞ n→∞

in probability and with the Hölder norm  · ρ,t0 ,T . Then, by the preceding discussion
we infer that the support of the law of u in the Hölder norm is the closure of the set
 STOCHASTICS 217

of functions {h , h ∈ HT } (see Theorem 3.1 for the rigorous statement). Notice that the
characterization of the support does not depend on the approximating sequence (wn )n∈N .
The structure of this paper is exactly the same as the one in [6] and it is structured as
follows. The next Section 2 is devoted to a general approximation result (see [6] for the
details of the approximation). Section 3 is devoted to the proof of the characterization of
the support of u. It is a corollary of Theorem 2.2. Section 4 is of technical character. It is
devoted to establish some auxiliary results which are needed in some proofs of Section 2.
As was formulated in [2], and further developed in [14], there are two main elements in
the proof of Theorem 2.2: a control on the Lp ()-increments in time and in space of the
processes X and Xn , independently of n, and Lp () convergence of Xn (t, x) to X(t, x), for
any (t, x). The precise assertions are given in Theorems 2.3 and 2.4, respectively.
For an Itô’s stochastic differential equation, smoothing the noise leads to a Stratonovich
(or pathwise) type integral, and the correction term between the two kinds of integrals
appears naturally in the approximating scheme. In our setting, correction terms explode
and therefore they must be avoided. Instead, a control on the growth of the regularized
noise is used. This method was introduced in [14] and successfully used in [6,7]. Here we
use it too. The control is achieved by introducing a localization in  (see (33)). With this
method, the convergence of the approximating sequence Xn to X takes place in probability.
Throughout the paper, we shall often call different positive and finite constants by the
same notation, even if they differ from one place to another.

2. Approximations of the wave equation

Consider smooth approximations of W defined as follows. Fix n ∈ N and consider
the partition of [0, T] determined by iT/2n , i = 0, 1, . . . , 2n . Denote by i the inter-
val [iT/2n , (i + 1)T/2n [ and by |i | its length. We write Wj (i ) for the increment
Wj ((i + 1)T/2n ) − Wj (iT/2n ), i = 0, . . . , 2n − 1, j ∈ N. Define differentiable approxima-
tions of (Wj , j ∈ N) as follows:
  · 
W n = Wjn = Ẇjn (s) ds, j ∈ N ,
0

where for j > n, Ẇjn = 0, and for 1 ≤ j ≤ n,

⎧n
⎪ 2 −2
⎨
2n T −1 W ( )1
⎪  −n 
n j i i+1 (t) ift ∈ 2 T, T ,
Ẇj (t) =
⎪
⎪ i=0  
⎩0 ift ∈ 0, 2−n .

Set

wn (t, x) = Ẇjn (t)ej (x). (22)

j∈N

It is easy to check that, for any p ∈ [2, ∞[,

 n
w  p ≤ Cn1/2 2n/2 . (23)
L (,HT )

In particular, from (23) it follows that wn belongs to HT a.s.

218 F. J. DELGADO-VENCES

In this section, we shall consider the equations

 t
0
 
X(t, x) = X (t, x) + G(t − s, x − y)(A + B) X(s, y) M(ds, dy)
0 R3
+ G(t − ·, x − ∗)D (X(·, ∗)) , hHt
 t
+ [G(t − s, ·)  b (X(s, ·))] (x) ds, (24)
0
 t
0
 
Xn (t, x) = X (t, x) + G(t − s, x − y)A Xn (s, y) M(ds, dy)
0 R3
 
+ G(t − ·, x − ∗)B (Xn (·, ∗)) , wn H
t

+ G(t − ·, x − ∗)D (Xn (·, ∗)) , hHt

 t
+ [G(t − s, ·)  b (Xn (s, ·))] (x) ds, (25)
0

where n ∈ N, h ∈ HT , wn defined as in (22) and A, B, D, b : R → R.

Moreover, we also need the slight modification of these equations defined by
 
tn  
Xn− (t, x) 0
= X (t, x) + G(t − s, x − y)A Xn (s, y) M(ds, dy)
0 R3
 
+ G(t − ·, x − ∗)B (Xn (·, ∗)) 1[0,tn ] (·), wn H
t
 
+ G(t − ·, x − ∗)D (Xn (·, ∗)) 1[0,tn ] (·), h H
t
 tn
+ [G(t − s, ·)  b (Xn (s, ·))] (x) ds, (26)
0
 
0
tn  
X(t, tn , x) = X (t, x) + G(t − s, x − y)(A + B) X(s, y) M(ds, dy)
0 R3
 
+ G(t − ·, x − ∗)D (X(·, ∗)) 1[0,tn ] (·), h H
t
 tn
+ [G(t − s, ·)  b (X(s, ·))] (x) ds, (27)
0

where for any n ∈ N, t ∈ [0, T], tn = max{t n − 2−n T, 0}, with

 
t n = max k2−n T, k = 1, . . . , 2n − 1 : k2−n T ≤ t . (28)

We will consider the following assumption during all paper.

Hypothesis 3: The coefficients A, B, D, b : R → R are globally Lipschitz continuous.

Notice that Equation (25) is more general than (24) and (7). It is important remark that
it is possible to prove a theorem on existence and uniqueness of solution to a class of equa-
tions which in particular applies to (24), and therefore also to (7), and to (25). For related
 STOCHASTICS 219

results, we refer the reader to [3], Theorem 13, [4], Theorem 4.3. From this theorem on
existence and uniqueness we can get the following bound for the solution X of the process.
 
sup E X ((t, x)|p < ∞. (29)
(t,x)∈[0,T]×R3

The following remark is the key that allows us to get the desired result.

Remark 2.1: In opposition to Remark A.2 in [6], here we have not the translation invari-
ance of the moments. Following [9], we have the following facts that will be used at several
points in the proofs of the results of the following section.
For any z ∈ R3 , set z1 = x − z and z2 = y − z then trivially z1 − z2 = x − y. Note the
following. First, we see that
 p   
sup E X(t, x − z) − X(t, y − z) = sup E |X(t, z1 ) − X(t, z2 )|p , (30)
z∈R3 z1 −z2 =x−y

Secondly, from z1 = x − z and z2 = y − z we have x = z1 + z and y = z2 + z, then

 p   
E X(t, x) − X(t, y) = E |X(t, z1 + z) − X(t, z2 + z)|p

and again x − y = z1 − z2 then

   p 
sup E |X(t, z1 + z) − X(t, z2 + z)|p = sup E X(t, x) − X(t, y) ,
z∈R3 x−y=z1 −z2
 
= sup E |X(t, z1 ) − X(t, z2 )|p , (31)
z1 −z2 =x−y

for any x, y, z1 , z2 ∈ R3 and any p ∈ [1, ∞[. Consequently, a similar property also holds for
Xn− (t, ∗) and Xn (t, tn , ∗) defined in (26), (27), respectively.

The aim of this section is to prove the following theorem.

Theorem 2.2: We assume Hypotheses 1 and 2 holds. Fix t0 > 0 and a compact set K ⊂ R3 .
Set γ , γ1 , γ2 , ρ1 , ν ∈ ]0, 1[, γ , ρ2 ∈ ]0, 2[ and κ ∈ ]0, min(γ1 , γ2 , γ , γ /2)[. Then for any
ρ ∈ ]0, min(γ1 , γ2 , γ , γ /2, (ν + 1)/2, (ρ1 + κ)/2, ρ2 /2)[ and λ > 0,
 
lim P Xn − Xρ,t0 ,K > λ = 0. (32)
n→∞

The convergence (32) will be proved through several steps. The main ingredients
are local Lp estimates of increments of Xn and X, in time and in space, and a local Lp
convergence of the sequence Xn (t, x) to X(t, x).
Let us describe the localization procedure (see [14]). Fix α > 0. For any integer n ≥ 1
and t ∈ [0, T], define


Ln (t) = sup sup Wj (i ) ≤ αn1/2 2−n/2 , (33)
1≤j≤n 0≤i≤[2n tT −1 −1]+

where α > (2 ln 2)1/2 . Notice that the sets Ln (t) decrease with t ≥ 0. Moreover, in [14],
Lemma 2.1, it is proved that limn→∞ P(Ln (t)c ) = 0.
220 F. J. DELGADO-VENCES

It is easy to check that

 n 
w (t, ∗)1L  ≤ Cn3/2 2n/2 . (34)
n (t) H

Moreover, for any 0 ≤ t ≤ t ≤ T

 n  1/2
w 1L ) 1[t,t ] H ≤ Cn3/2 2n/2 t − t .
n (t T

In particular, if [t, t ] ⊂ i for some i = 0, . . . , 2n − 1, then

 n 
w 1L (t ) 1[t,t ]  ≤ Cn3/2 . (35)
n H T

As has been announced in the Introduction, the proof of Theorem 2.2 will follow from
Theorems 2.3 and 2.4 below. We denote by  · p the Lp () norm.

Theorem 2.3: We assume Hypotheses 1 and 2 holds. Fix t0 ∈ ]0, T[ and a compact sub-
set K ⊂ R3 . Let t0 ≤ t ≤ t̄ ≤ T, x, x̄ ∈ K. Set Set γ , γ1 , γ2 , ρ1 , ν ∈ ]0, 1[, γ , ρ2 ∈ ]0, 2[ and
κ ∈ ]0, min(γ1 , γ2 , γ , γ /2)[. Then, for any p ∈ [1, ∞) and any ρ ∈ ]0, min(γ1 , γ2 , γ , γ /2,
(ν + 1)/2, (ρ1 + κ)/2, ρ2 /2)[, there exists a positive constant C such that
    ρ
sup  Xn (t, x) − Xn (t̄, x̄) 1Ln (t̄) p ≤ C |t̄ − t| + |x̄ − x| . (36)
n≥1

Theorem 2.4: The assumptions are the same as in Theorem 2.3. Fix t ∈ [t0 , T], x ∈ R3 .
Then, for any p ∈ [1, ∞)
 
lim sup (Xn (t, x) − X(t, x)) 1Ln (t) p = 0, (37)
n→∞ t∈[t ,T]
0
x∈K(t)

where for t ∈ [0, T],

 
K(t) = x ∈ R3 : d(x, K) ≤ T − t ,
and d denotes the Euclidean distance.

The proof of Theorem 2.3 is carried out through two steps. First, we shall consider t = t̄
and obtain (36), uniformly in t ∈ [t0 , T]. Using this, we will consider x = x̄ and establish
(36), uniformly in x ∈ K. We devote the next two subsections to the proof of these results.

2.1. Increments in space

Throughout this section, we fix t0 ∈ ]0, T[ and a compact set K ⊂ R3 . The objective is to
prove the following proposition.

Proposition 2.5: Suppose that Hypotheses 1 holds. Fix t ∈ [t0 , T] and x, x̄ ∈ K. Then, for
any p ∈ [1, ∞) and ρ ∈ ]0, min(γ1 , γ2 , γ , γ /2)[, there exists a finite constant C such that
 
sup sup (Xn (t, x) − Xn (t, x̄)) 1Ln (t) p ≤ C|x − x̄|ρ . (38)
n≥0 t∈[t0 ,T]
 STOCHASTICS 221

In the next lemma, we give an abstract result that will be used throughout the proofs.
We start by introducing some notation.
For a function f : R3 → R, we set
Df (u, x) = f (u + x) − f (u),
D̄2 f (u, x, y) = f (u + x + y) − f (u + x) − f (u + y) + f (u),
D2 f (u, x) = D̄2 f (u − x, x, x) = f (u − x) − 2f (u) + f (u + x).

Lemma 2.6: Consider a sequence of predictable stochastic processes {Zn (t, x), (t, x) ∈
[0, T] × R3 }, n ∈ N, such that, for any p ∈ [2, ∞[,
 
sup sup E |Zn (t, x)|p < C, (39)
n (t,x)∈[0,T]×R3

for some finite constant C. For any t ∈ [0, T], x, x̄ ∈ R3 , we define

 t
In (t, x, x̄) := ds Zn (s, ∗) [G(t − s, x − ∗) − G(t − s, x̄ − ∗)]2H .
0

Then, for any p ∈ [2, ∞[,

  
E |In (t, x, x̄)|p/2 ≤ C |x − x̄|γ p + |x − x̄|γ p/2
 t ! "
 
+ ds sup E |Zn (s, z1 ) − Zn (s, z2 )| p
(40)
0 z1 −z2 =x−x̄

where γ ∈ ]0, 1] and γ ∈ ]0, 2].

Proof: Set w = x − x̄. First, we notice that In (t, x, x̄) is the second order moment of the
stochastic integral
 t
 
Zn (s, y) G(t − s, x − y) − G(t − s, x̄ − y) M(ds, dy).
0 R3

We write In (t, x, x̄) using (10). This yields

 t  
In (t, x, x̄) = C ds Zn (s, u)Zn (s, v) [G(t − s, x − du) − G(t − s, x̄ − du)]
0 R3 R3
× [G(t − s, x − dv) − G(t − s, x̄ − dv)] f (u − v).
Then, as in [5, p. 19–20], we see that, by decomposing this expression into the sum of four
integrals, by applying a change of variables and rearranging terms, we have

4
In (t, x, x̄) = C Jit (x, x̄),
i=1

where, for i = 1, . . . , 4,
 t  
Jit (x, x̄) = ds G(s, du)G(s, dv)hi (x, x̄; t, s, u, v)
0 R3 R3
222 F. J. DELGADO-VENCES

with

h1 (x, x̄; t, s, u, v) = f (x̄ − x + v − u) [Zn (t − s, x − u) − Zn (t − s, x̄ − u)]

× [Zn (t − s, x − v) − Zn (t − s, x̄ − v)] ,
h2 (x, x̄; t, s, u, v) = Df (v − u, x − x̄)Zn (t − s, x − u)
× [Zn (t − s, x − v) − Zn (t − s, x̄ − v)] ,
h3 (x, x̄; t, s, u, v) = Df (v − u, x̄ − x)Zn (t − s, x̄ − v)
× [Zn (t − s, x − u) − Zn (t − s, x̄ − u)] ,
h4 (x, x̄; t, s, u, v) = −D2 f (v − u, x − x̄)Zn (t − s, x − u)Zn (t − s, x − v).

Fix p ∈ [2, ∞[. It holds that

 

4  p/2 
E |In (t, x, x̄)|p/2 ≤ C E Jit (x, x̄) . (41)
i=1

The next purpose is to obtain estimates for each term on the right hand-side of (41). Let
 
μ1 (x, x̄) = sup G(s, du)G(s, dv)f (x̄ − x + v − u).
s∈[0,T] R3 R3

By Lemma 7.1 in [9] and (5) we have that

sup μ1 (x, x̄) < ∞

x,x̄

Hence using firstly Hölder’s inequality and then Cauchy–Schwarz’s inequality along with
Remark 2.1, we see that
  t   (p/2)−1
p/2 

E J1 (x, x̄)
t ≤ ds G(s, du)G(s, dv)f (x̄ − x + v − u)
0 R3 R3
 t  
× ds G(s, du)G(s, dv)f (x̄ − x + v − u)
0 R3 R3
× E (|[Zn (t − s, x − u) − Zn (t − s, x̄ − u)]

× [Zn (t − s, x − v) − Zn (t − s, x̄ − v)]|p/2
 t
 
≤ C sup μ1 (x, x̄)p/2 ds sup E |Zn (t − s, z1 ) − Zn (t − s, z2 )|p
x,x̄ 0 z1 −z2 =w
 t  
≤C ds sup E |Zn (s, z1 ) − Zn (s, z2 )|p . (42)
0 z1 −z2 =w

Set
 

μ2 (x, x̄) = sup G(s, du)G(s, dv) Df (v − u, x − x̄) . (43)
s∈[0,T] R3 R3
 STOCHASTICS 223

The following property holds: there exists a positive finite constant C such that

μ2 (x, x̄) ≤ C|x − x̄|γ , γ ∈ ]0, 1].

Indeed, this follows from Lemma 7.1 in [9] and (b) in Hypothesis 1:
  
|f (z + w) − f (z)|
G(s, du)G(s, dv) Df (v − u, x − x̄) ≤ C
R3 R3 |z|≤2T |z|
≤ C|w|γ = C|x − x̄|γ .

Now, using the inequality ab ≤ (a2 + b2 )/2 we write

  t  
p/2 

E J2 (x, x̄)
t ≤ CE ds G(s, du)G(s, dv) Df (v − u, x − x̄)
0 R3 R3

× |Zn (t − s, x − u) [Zn (t − s, x − v) − Zn (t − s, x̄ − v)]|)p/2

 t  

≤ CE ds G(s, du)G(s, dv) Df (v − u, x − x̄)
0 R3 R3
p/2
× |w|γ |Zn (t − s, x − u)|2
 t  

+ CE ds G(s, du)G(s, dv) Df (v − u, x − x̄)
0 R3 R3
p/2
× |w|−γ |Zn (t − s, x − v) − Zn (t − s, x̄ − v)|2 (44)

t (x, x̄) and J t (x, x̄) the first and second triple integrals in (44) respectively. Then, by
Set J2,1 2,2
using Hölder’s and (39) along with the bound for μ2 , we have

  t   p/2
p/2 
E J2,1
t
(x, x̄) ≤ C|w|γ p/2 ds G(s, du)G(s, dv) Df (v − u, x − x̄)
0 R3 R3
 
× sup sup E |Zn (t, x)|p
n (t,x)∈[0,T]×R3
#   $p/2

≤ C|w| γ p/2
sup G(s, du)G(s, dv) Df (v − u, x − x̄)
s∈[0,T] R3 R3

≤ C|x − x̄|γ p/2 |x − x̄|γ p/2 = C|x − x̄|γ p

with γ ∈ ]0, 1].

Using Hölder’s inequality, Remark 2.1 and the bound for μ2 , we have

  t   p/2−1
p/2 
E J2,2
t
(x, x̄) ≤ C|w|−γ p/2 ds G(s, du)G(s, dv) Df (v − u, x − x̄)
0 R3 R3
 t  
× ds sup E |Zn (t − s, z1 ) − Zn (t − s, z2 )|p
0 z1 −z2 =w
224 F. J. DELGADO-VENCES

 

× sup G(s, du)G(s, dv) Df (v − u, x − x̄)
s∈[0,T] R3 R3
#   $p/2

≤ C|w|−γ p/2 sup G(s, du)G(s, dv) Df (v − u, x − x̄)
s∈[0,T] R3 R3
 t  
× ds sup E |Zn (s, z1 ) − Zn (s, z2 )|p
0 z1 −z2 =w

−γ p/2 γ p/2
t  
≤ C|w| |w| ds sup E |Zn (s, z1 ) − Zn (s, z2 )|p
0 z1 −z2 =w
 t  
≤C ds sup E |Zn (s, z1 ) − Zn (s, z2 )|p
0 z1 −z2 =w

Thus,
#  t $
 p/2   
E J2 (x, x̄)
t γ
≤ C |x − x̄| +p
ds sup E |Zn (s, z1 ) − Zn (s, z2 )| p
, (45)
0 z1 −z2 =w

with γ ∈ ]0, 1].

Similarly,
#  t $
 p/2   

E J3 (x, x̄)
t γp
≤ C |x − x̄| + ds sup E |Zn (s, z1 ) − Zn (s, z2 )| p
, (46)
0 z1 −z2 =w

with γ ∈ ]0, 1].

Hölder’s and Cauchy–Schwarz’s inequalities, along with (39) and (14), imply

  t   (p/2)−1
p/2 

E J4 (x, x̄)
t ≤C ds G(s, du)G(s, dv) D2 f (v − u, x − x̄)
0 R3 R3
  
t
× ds G(s, du)G(s, dv) D2 f (v − u, x − x̄)
0 R3 R3
 
× E |Zn (t − s, x − u)Zn (t − s, x̄ − v)|p/2
 t   
2 p/2
≤C ds
G(s, du)G(s, dv) D f (v − u, x − x̄)
0 R3 R3
 
× sup sup E |Zn (t, x)|p
n (t,x)∈[0,T]×R3
  p/2
t |f (z + w) − 2f (z) − f (z − w)|
≤C ds ds
0 |z|≤2T |z|
γ p/2
≤ C|x − x̄| . (47)

From (41), (42), (45), (46) and (47), we obtain (40). 

 STOCHASTICS 225

For any t ∈ [t0 , T], x, x̄ ∈ K, p ∈ [1, ∞[ set w = x − x̄ and

 
0
ϕn,p (t, x, x̄) = sup E |Xn (t, z1 ) − Xn (t, z2 )|p 1Ln (t) ,
z1 −z2 =w
 p 
−
ϕn,p (t, x, x̄) = sup E Xn− (t, z1 ) − Xn− (t, z2 ) 1Ln (t) ,
z1 −z2 =w

ϕn,p (t, x, x̄) = ϕn0 (t, x, x̄) + ϕn− (t, x, x̄).

Proposition 2.5 is a consequence of the following assertion.

Proposition 2.7: The hypotheses are the same as in Proposition 2.5. Fix t ∈ [t0 , T], x, x̄ ∈ K.
Then, for any p ∈ [1, ∞[, ρ ∈ ]0, min(γ , γ1 , γ2 , γ /2)[,
sup ϕn,p (t, x, x̄) ≤ C|x − x̄|ρp . (48)
n≥0

The proof of this proposition relies on the next lemma and Gronwall’s lemma.

Lemma 2.8: We assume the same hypotheses as in Proposition 2.5. For any n ≥ 1, t ∈ [t0 , T],
x, x̄ ∈ K, p ∈ [2, ∞[, there exists a finite constant C (not depending on n) such that
%
ϕn,p (t, x, x̄) ≤ C fn + |x − x̄|γ p + |x − x̄|γ p/2 + |x − x̄|γ1 p
 t
γ2 p
 
+ |x − x̄| + ds ϕn,p (s, x, x̄) , (49)
0

where (fn , n ≥ 1) is a sequence of positive real numbers which converges to zero as n → ∞,

γ , γ1 , γ2 ∈ ]0, 1], γ ∈ ]0, 2].

We postpone the proof of this lemma to the end of this section.

Proof of Proposition 2.7: We will prove this proposition by contradiction. Suppose that
the Lemma 2.8 does not imply the Proposition 2.7. It means that (49) does not imply (48). In
such case, there exists some m ∈ N and x, x̄ ∈ K such that (49) is satisfied but (48) (without
the supn ) does not. But, since fn is a bounded sequence, there exists C0 > 0 (C0 depending
only on x, x̄) such that
fm ≤ C0 |x − x̄|αp ,
where α = min(γ , γ1 , γ2 , γ /2). This inequality and (49) leave us
  t

ϕm,p (t, x, x̄) ≤ C |x − x̄|γ p + |x − x̄|γ p/2 + |x − x̄|γ1 p + |x − x̄|γ2 p + dsϕm,p (s, x, x̄) .
0

Then by Gronwall’s lemma we have

%
&
ϕm,p (t, x, x̄) ≤ C |x − x̄|γ p + |x − x̄|γ p/2 + |x − x̄|γ1 p + |x − x̄|γ2 p . (50)

With the constant C not depending on m. We recall that γ , γ1 , γ2 ∈ ]0, 1] and γ ∈ ]0, 2[.
Therefore, (50) implies
ϕm,p (t, x, x̄) ≤ C|x − x̄|ρp , (51)
with ρ ∈ ]0, min(γ , γ1 , γ2 , γ /2)[.
226 F. J. DELGADO-VENCES

This is a contradiction, thus (49) does imply (48). This ends the proof of Proposition 2.7.


Proof of Lemma 2.8: Fix p ∈ [2, ∞[ and set w = x − x̄. From (25), we have the
following:

 

5
0
ϕn,p (t, x, x̄) := E |Xn (t, x) − Xn (t, x̄)|p 1Ln (t) ≤ C Rin (t, x, x̄),
i=0

with

R0n (t, x, x̄) = |X 0 (t, x) − X 0 (t, x̄)|p

  t 
 
R1n (t, x, x̄) = E G(t − s, x − y) − G(t − s, x̄ − y)
0 R3
  p 
× A Xn (s, y) M(ds, dy) 1Ln (t) ,
 
   p 
R2n (t, x, x̄) = E [G(t − ·, x − ∗) − G(t − ·, x̄ − ∗)] B Xn− (·, ∗) , wn H 1Ln (t) ,
t

R3n (t, x, x̄)= E (|[G(t − ·, x − ∗) − G(t − ·, x̄ − ∗)]

    p 
× B(Xn ) − B Xn− (·, ∗), wn H 1Ln (t) ,
t
 p 
Rn (t, x, x̄) = E [G(t − ·, x − ∗) − G(t − ·, x̄ − ∗)] D (Xn (·, ∗)) , hHt 1Ln (t) ,
4

#   $
t     p
Rn (t, x, x̄) = E
5
G(t − s, x − dy) − G(t − s, x̄ − dy) b Xn (s, y) ds 1Ln (t) .
3
0 R

It is well know that with the Hypothesis 1(a) we have that (see for instance [9, Theorem 3.1])

R0n (t, x, x̄) ≤ C1 |w|γ1 p + C2 |w|γ2 p (52)

for γ1 , γ2 ∈ ]0, 1].

By following the same procedure as in [6] and with the help of Lemma 2.6 we can get
estimates for Rin , i = 1, 2, 4, 5. We obtain

R1n (t, x, x̄) + R2n (t, x, x̄) + R4n (t, x, x̄) + R5n (t, x, x̄)

p/2
≤ |x − x̄|γ p + |x − x̄|γ + |x − x̄|γ1 p + |x − x̄|γ2 p

 ! "
t  
+ ds sup E |Xn (s, z1 ) − Xn (s, z2 )| 1Ln (s)p
0 z1 −z2 =w
 ! "
t  p 
+ ds sup E Xn− (s, z1 ) − Xn− (s, z2 ) 1Ln (s) . (53)
0 z1 −z2 =w
 STOCHASTICS 227

For R3n we will show how to estimate it. By using Cauchy–Schwarz’s inequality along with
(34) we get
 t
R3n (t, x, x̄) ≤ Cn 3p/2 np/2
2 ×E ds [G(t − s, x − ∗) − G(t − s, x̄ − ∗)]
0
   2 p/2
× B(Xn ) − B Xn− (s, ∗)1Ln (s) H .

Notice that an upper bound for the second factor on the right-hand side of the pre-
ceding inequality could be obtained using Lemma 2.6 with Zn (t, x) := [B(Xn (t, x)) −
B(Xn− (t, x))]1Ln (t). However, this would not be a good strategy to compensate the first
factor (which explodes when n → ∞). Instead, we will try to quantify the discrepancy
between B(Xn (t, x)) and B(Xn− (t, x)). This can be achieved by transferring the increments
of the Green function to increments of the process
  
B̂ (Xn (t, x)) = B (Xn (t, x)) − B Xn− (t, x) , (54)

in the same manner as we did in the proof of Lemma 2.6 (see [5], pages 19–20 for the
original idea).
Indeed, similarly as in (41), we obtain

4  p/2 
R3n (t, x, x̄) ≤ Cn3p/2 2np/2 E Kit (x, x̄) 1Ln (t) , (55)
i=1

where for any i = 1, . . . , 4, Kit (x, x̄) is given by Jit (x, x̄) of Lemma 2.6 with Zn replaced by
B̂(Xn ).
With the definition of B̂(Xn ) given in (54), we easily get
 
   p 
E B̂ Xn (s, x − y) − B̂ Xn (s, x̄ − y) 1Ln (s)
%  p 
≤ C E Xn (s, x − y) − Xn− (s, x − y) 1Ln (s)
 p &
+ E Xn (s, x̄ − y) − Xn− (s, x̄ − y) 1Ln (s)

≤ Cn3p/2 2−np(ν+1)/2 , (56)

uniformly in (s, x, y) ∈ [0, T] × R3 × R3 , where the last bound is obtained by using (83).
This estimate will be applied to the study of the right-hand side of (55).
For i = 1, (42) with Zn (s, y) := B̂(Xn (s, y))1Ln (s) , along with (56) yields
 p/2 
E K1t (x, x̄) 1Ln (t) ≤ Cn3p/2 2−np(ν+1)/2 . (57)

Let μ2 (x, x̄) be as in (43). Since x, x̄ ∈ K, and K is bounded,

sup μ2 (x, x̄) ≤ C,

x,x̄∈K
228 F. J. DELGADO-VENCES

for some finite constant C > 0. Hence, (45), (46) (with the same choice of Zn as before)
together with (56) gives
 p/2   p/2 
E K2t (x, x̄) 1Ln (t) + E K3t (x, x̄) 1Ln (t) ≤ Cn3p/2 2−np(ν+1)/2 . (58)

Proceeding as in (47), but replacing Zn (s, y) by B̂(Xn (s, y))1Ln (s) , we obtain
 t
 p/2 
 
 p 
E K4t (x, x̄) 1Ln (t) ≤ C|x − x̄|γ p/2 ds sup E B̂ Xn (s, y) 1Ln (s) .
0 y∈R3

By the definition of B̂(Xn ), and applying (83), we have

 
 p 
sup E B̂ Xn (s, y) 1Ln (s) ≤ Cn3p/2 2−np(ν+1)/2 .
(s,y)∈[0,T]×R3

Thus,
 p/2 
E K4t (x, x̄) 1Ln (t) ≤ Cn3p/2 2−np(ν+1)/2 . (59)
Putting together (55) and (57)–(59) yields

R3n (t, x, x̄) ≤ Cfn , (60)

where fn := n3p 2−np[(ν+1)/2−1/2] = n3p 2−npν/2 . Since ν ∈ ]0, 1], limn→∞ fn = 0. Notice
that each member of the sequence {fn } is positive.
Bringing together the inequalities for all the terms Rin , i = 0, 1, . . . , 5, yields
 
sup E |Xn (t, z1 ) − Xn (t, z2 )|p 1Ln (t)
z1 −z2 =w

p/2
≤ C fn + |x − x̄|γ p + |x − x̄|γ + |x − x̄|γ1 p + |x − x̄|γ2 p

 ! "
t  
+ ds sup E |Xn (s, z1 ) − Xn (s, z2 )| 1Ln (s) p
0 z1 −z2 =w
 ! "
t  
sup E Xn− (s, z1 ) − Xn− (s, z2 ) 1Ln (s)
p
+ ds . (61)
0 z1 −z2 =w

With this, we see that ϕn,p0 (t, x, x̄) is bounded by the right-hand side of (61).

Finally, we prove that the same bound holds for ϕn,p − (t, x, x̄) too. Indeed, For every i =

1, . . . , 5, we consider the terms Rin (t, x, x̄) defined in the first part of the proof, and we
replace the domain of integration of the time variable s ([0, t]) by [0, tn ]. We denote the
corresponding new expressions by Sin (t, x, x̄). From (26), we obtain the following

5
−
ϕn,p (t, x, x̄) ≤ C Sin (t, x, x̄).
i=1

Since tn ≤ t, it can be checked that, similarly as for Rin (t, x, x̄), Sin (t, x, x̄), i = 1, . . . , 5, are
bounded by the sum of (53) and (60). This ends the proof of the lemma. 
 STOCHASTICS 229

2.2. Increments in time

Throughout this section, we fix t0 ∈ ]0, T], and a compact set K ⊂ R3 .

Proposition 2.9: Assume that Hypotheses 1 and 2 holds. Fix t, t̄ ∈ [t0 , T] and set κ ∈
]0, min(γ1 , γ2 , γ , γ /2)[. Then for any p ∈ [1, ∞) there exists a finite constant C such that
  
sup sup  Xn (t, x) − Xn (t̄, x) 1Ln (t̄) p ≤ C|t − t̄|ρ . (62)
n≥1 x∈K

with ρ ∈ ]0, min(γ1 , γ2 , γ , γ /2, (ν + 1)/2, (ρ1 + κ)/2, ρ2 /2)[

Notice that the parameter κ is obtained from the Hölder continuity in space variable for
the process Xn and from this reason belongs to the interval ]0, min(γ1 , γ2 , γ , γ /2)[ (see
Proposition 2.5).
We will not prove here the Proposition 2.9 result, however it is possible to prove it by
using the same procedure as in [6, Proposition 2.9] and the ideas that we used to prove the
following lemma.
The next lemma is meant to play a similar rôle than Lemma 2.6 but in this case, for
integrals containing increments in time of the Green function G(t).

Lemma 2.10: Consider a sequence of stochastic processes {Dn (t, x), (t, x) ∈ [0, T] × R3 },
n ≥ 1, satisfying the following conditions:
For any p ∈ [2, ∞[,
 
sup sup E |Dn (t, x)|p ≤ C. (63)
n (t,x)∈[t0 ,T]×R3

There exists κ > 0 and for any x, y ∈ K,

 p 
sup sup E Dn (t, x) − Dn (t, y) ≤ C|x − y|κp , (64)
n t∈[t0 ,T]

where C is a finite constant and ρ > 0. Suppose in addition that Hypotheses 1 and 2(see
page 4) are satisfied.
For 0 ≤ t0 ≤ t ≤ t̄ ≤ T and x ∈ K, set
 t
  2
Jn (t, t̄, x) = ds Dn (t, ∗) G(t̄ − s, x − ∗) − G(t − s, x − ∗) H .
0

Then, for any p ∈ [2, ∞[ there exists a finite constant C > 0 such that
   
E Jn (t, t̄, x)p/2 ≤ C |t̄ − t|γ p , (65)
with 0 < γ < min(κ, (ν + 1)/2, (ρ1 + κ)/2, ρ2 /2).

Proof: First of all we notice that, as a consequence of Burkholder’s inequality, the

Lp -moment of the stochastic integral
 t
 
Dn (t, y) G(t̄ − s, x − y) − G(t − s, x − y) M(ds, dy),
0 R3

is bounded up to a positive constant, by E(Jn (t, t̄, x)p/2 ).

230 F. J. DELGADO-VENCES

We write Jn (t, t̄, x) using (10). This gives

 t  
 
Jn (t, t̄, x) = C ds Dn (t, y) G(t̄ − s, x − dy) − G(t − s, x − dy)
0 R3 R3
 
× Dn (t, z) G(t̄ − s, x − dz) − G(t − s, x − dz) f (y − z)
 t  
 
=C ds Dn (t − s, x − y) G(t̄ − t + s, dy) − G(s, dy)
0 R3 R3
 
× Dn (t − s, x − z) G(t̄ − t + s, dz) − G(s, dz) f (y − z)

As was noted in [9] the integral with respect to the space variables y and z is taken in the
sphere S2 in the three dimensional space, this is because of the structure of the fundamen-
tal solution G. We denote by ξ = y/|y| and η = z/|z|, moreover we denote by σ (dξ ) and
σ (dη) the uniform measure on S2 , so
s
G(s, dy) = σ (dξ )
4π
s
G(s, dz) = σ (dη)
4π
Denote by h = t̄ − t. Then, we do the following decomposition

 

4  p/2 
E Jn (t, t̄, x) p/2
≤C E Qi (t, t̄, x) , (66)
k=1

where
 t  
Q1 (t, t̄, x) := ds (s + h)2 f ([s + h]ξ − [s + h]η)
0 S2 S2
× [Dn (t − s, x − (s + h)ξ ) − Dn (t − s, x − sξ )]
× [Dn (t − s, x − (s + h)η) − Dn (t − s, x − sη)] σ (dξ )σ (dη)
 t  
 
Q2 (t, t̄, x) := ds (s + h)2 f ([s + h]ξ − [s + h]η) − s(s + h)f (sξ − [s + h]η)
0 S2 S2
× Dn (t − s, x − sξ ) [Dn (t − s, x − (s + h)η) − Dn (t − s, x − sη)]
× σ (dξ )σ (dη)
 t  
 
Q3 (t, t̄, x) := ds (s + h)2 f ([s + h]ξ − [s + h]η) − s(s + h)f ([s + h]ξ − sη)
0 S2 S2
× Dn (t − s, x − sη) [Dn (t − s, x − (s + h)ξ ) − Dn (t − s, x − sξ )]
× σ (dξ )σ (dη)
 t  

Q4 (t, t̄, x) := ds (s + h)2 f ([s + h]ξ − [s + h]η) − s(s + h)f (sξ − [s + h]η)
0 S2 S2

− s(s + h)f ([s + h]ξ − sη) + s2 f (sξ − sη)
× Dn (t − s, x − sη)Dn (t − s, x − sξ )] σ (dξ )σ (dη)
 STOCHASTICS 231

Following the arguments of the proof of Theorem 4.1 in [9], we see that by using
Hölder inequality, Cauchy-Schwarz inequality, hypothesis on D, Lemma 7.1 in [9] and
condition (5) we obtain

   p/2−1
  t
E |Q (t, t̄, x)|
1 p/2
≤C ds 2
(s + h) f ([s + h]ξ − [s + h]η) σ (dξ )σ (dη)
0 S2 S2
 t  
× ds (s + h)2 f ([s + h]ξ − [s + h]η) σ (dξ )σ (dη)
0 S2 S2
× E |[Dn (t − s, x − (s + h)ξ ) − Dn (t − s, x − sξ )]
× [Dn (t − s, x − (s + h)η) − Dn (t − s, x − sη)]|p/2 (67)
 t   p/2−1
≤C ds (s + h)2 f ([s + h]ξ − [s + h]η) σ (dξ )σ (dη)
0 S2 S2
 t  
× ds (s + h)2 f ([s + h]ξ − [s + h]η) σ (dξ )σ (dη)
0 S2 S2
 1/2
× E |Dn (t − s, x − (s + h)ξ ) − Dn (t − s, x − sξ )|p
 1/2
× E |Dn (t − s, x − (s + h)η) − Dn (t − s, x − sη)|p
 t   p/2
pκ 2
≤ C|h| ds (s + h) f ([s + h]ξ − [s + h]η) σ (dξ )σ (dη)
0 S2 S2
 t   p/2
pκ
= C|h| ds f (y − z)G(s + h, dy)G(s + h, dz)
0 R3 R3
  p/2
pκ
t f (z)
≤ C|h| ds dz
0 |z|≤2(s+h) |z|
pκ
≤ C|h| = C|t̄ − t|pκ (68)

For Q2 , by making the trivial decomposition (s + h)2 = s(s + h) + h(s + h) we get

  t  
p/2 

E Q (t, t̄, x)
2 ≤ CE ds s (s + h) f ([s + h]ξ − [s + h]η)
0 S2 S2

−f (sξ − [s + h]η) σ (dξ )σ (dη) × |Dn (t − s, x − sξ )|
× |Dn (t − s, x − (s + h)η) − Dn (t − s, x − sη)|)p/2
 t  
+ CE ds h (s + h) f ([s + h]ξ − [s + h]η) σ (dξ )σ (dη)
0 S2 S2
× |Dn (t − s, x − sξ )| |Dn (t − s, x − (s + h)η)
−Dn (t − s, x − sη)|)p/2
=: Q2,1 + Q2,2 (69)
232 F. J. DELGADO-VENCES

For Q2,1 we use Hölder inequality, Cauchy-Schwarz inequality, assumptions (63) and (64),
condition (17) along with the change of variables η → −η and we obtain
  
t
Q2,1
≤C ds s (s + h) f ([s + h]ξ − [s + h]η)
0 S2 S2
p/2−1

− f (sξ − [s + h]η) σ (dξ )σ (dη)
  
t
× ds s (s + h) f ([s + h]ξ − [s + h]η) − f (sξ − [s + h]η) σ (dξ )σ (dη)
0 S2 S2
 1/2  1/2
× E||Dn (t − s, x − sξ )|p E |Dn (t − s, x − (s + h)η) − Dn (t − s, x − sη)|p
 t  

≤ C|h| pκ/2
ds s (s + h) f ([s + h]ξ − [s + h]η)
0 S2 S2
p/2

− f (sξ − [s + h]η) σ (dξ )σ (dη)

≤ C|h|pκ/2 |h|pρ1 /2 = C|h|(pκ+pρ1 )/2 (70)

with κ, ρ1 ∈ ]0, 1].

For Q2,2 we use Hölder inequality, Cauchy-Schwarz inequality, assumptions (63) and
(64), condition (17) and we obtain
 t   p/2−1
2,2 p/2
Q ≤ C|h| ds (s + h) f ([s + h]ξ − [s + h]η) σ (dξ )σ (dη)
0 S2 S2
 t  
× ds (s + h) f ([s + h]ξ − [s + h]η) σ (dξ )σ (dη)
0 S2 S2
 1/2  1/2
× E||Dn (t − s, x − sξ )|p E |Dn (t − s, x − (s + h)η) − Dn (t − s, x − sη)|p
 t   p/2
p/2 pκ/2
≤ C|h| |h| ds (s + h) f ([s + h]ξ − [s + h]η) σ (dξ )σ (dη)
0 S2 S2
 t   p/2
(p+pκ)/2 ds
≤ C|h| f (y − z)G(s + h, dy)G(s + h, dz)
0 s+h R3 R3
  p/2
(p+pκ)/2
t ds f (z)
≤ C|h| dz
0 s+h |z|≤2(s+h) |z|
(p+pκ)/2
≤ C|h| (71)

with κ, ρ1 ∈ ]0, 1]. Hence, by (70) and (71) we set

 p/2 
E Q2 (t, t̄, x) ≤ C|h|(pκ+pρ1 )/2 (72)

with κ, ρ1 ∈ ]0, 1].

 STOCHASTICS 233

Similarly,
 p/2 
E Q3 (t, t̄, x) ≤ C|h|(pκ+pρ1 )/2 , (73)

where κ, ρ1 ∈ ]0, 1].

By applying Hölder’s and Cauchy–Schwarz’s inequalities along with (63), we get
 t  
 4 
E |Q (t, t̄, x)| p/2
≤C ds (s + h)2 f ([s + h]ξ − [s + h]η)
0 S2 S2
− s(s + h)f (sξ − [s + h]η) − s(s + h)f ([s + h]ξ − sη)
p/2−1

+ s2 f (sξ − sη) σ (dξ )σ (dη)
  
t
× ds (s + h)2 f ([s + h]ξ − [s + h]η)
0 S2 S2
− s(s + h)f (sξ − [s + h]η)

− s(s + h)f ([s + h]ξ − sη) + s2 f (sξ − sη) σ (dξ )σ (dη)
 1/2  1/2
× E|Dn (t − s, x − sη)|p E|Dn (t − s, x − sξ )|p
 t  

≤C ds (s + h)2 f ([s + h]ξ − [s + h]η)
0 S2 S2
− s(s + h)f (sξ − [s + h]η) − s(s + h)f ([s + h]ξ − sη)
p/2

2
+ s f (sξ − sη) σ (dξ )σ (dη)
 
≤ C Q4,1 + Q4,2 + Q4,3 + Q4,4

Where Q4,i , for i = 1, . . . , 4, is defined exactly as Ri4 in [9, p. 20]. Then, by following exactly
the same procedure as in [9] we arrive to
   
E |Q4 (t, t̄, x)|p/2 ≤ C |h|pρ2 /2 + |h|p(ρ1 +1)/2 + |h|p(ν+1)/2 + |h|p(1−) (74)

with ν, ρ1 ∈ ]0, 1] and ρ2 ∈ ]0, 2] and where the last inequality is true for any  > 0.
The inequalities (66), (72), (73), (74) imply (65) which completes the proof. 

Remark 2.11 (Pointwise convergence): The proof of the Theorem 2.4 is very similar to
the Theorem 2.4 in [6] just with small changes. The main difference is the bound used, in
[6] they used the bound 2−np(3−β)/2 and instead by using 2−np((ν+1)/2) (see (79) and (83))
it is possible to prove the desired result.

2.3. Proof of Theorem 2.2

Fix t0 > 0 and a compact set K ⊂ R3 . Let Yn (t, x) := Xn (t, x) − X(t, x) and Bn (t) := Ln (t),
n ≥ 1, (t, x) ∈ [t0 , T] × K, p ∈ [1, ∞[. From Theorems 2.3 and 2.4, we see that the con-
ditions (P1) and (P2) of Lemma A.4 in [6] are satisfied with δ = pρ − 4, for any ρ ∈
234 F. J. DELGADO-VENCES

]0, min(γ1 , γ2 , γ , γ /2, (ν + 1)/2, (ρ1 + κ)/2, ρ2 /2)[, where κ ∈ ]0, min(γ1 , γ2 , γ , γ /2)[.
We infer that
 
p
lim E Xn − Xρ,t0 ,K 1Ln (t) = 0, (75)
n→∞
for any p ∈ [1, ∞[ and ρ ∈ ]0, min(γ1 , γ2 , γ , γ /2, (ν + 1)/2, (ρ1 + κ)/2, ρ2 /2)[.
Fix  > 0. Since limn→∞ P(Ln (t)c ) = 0, there exists N0 ∈ N such that for all n ≥ N0 ,
P(Ln (t)c ) < . Then, for any λ > 0 and n ≥ N0 ,
    
P Xn − Xρ,t0 ,K > λ ≤  + P Xn − Xρ,t0 K > λ ∩ Ln (t)
 
≤  + λ−p E Xn − Xρ,t0 K 1Ln (t) .
p

Since  > 0 is arbitrary, this finishes the proof of the theorem. 

3. Support theorem
This section is devoted to the characterization of the topological support of the law of the
random field solution to the stochastic wave equation (7). As has been explained in the
Introduction, this is a corollary of Theorem 2.2.

Theorem 3.1: Assume that the functions ς and b are Lipschitz continuous. Fix t0 ∈
]0, T[ and a compact set K ⊂ R3 . Let u = {u(t, x), (t, x) ∈ [t0 , T] × K} be the random
field solution to (7). Fix ρ ∈ ]0, min(γ1 , γ2 , γ , γ /2, (ν + 1)/2, (ρ1 + κ)/2, ρ2 /2)[, where
κ ∈ ]0, min(γ1 , γ2 , γ , γ /2)[. Then the topological support of the law of u in the space
C ρ ([t0 , T] × K) is the closure in C ρ ([t0 , T] × K) of the set of functions {h , h ∈ HT }, where
{h (t, x), (t, x) ∈ [t0 , T] × K} is the solution of (12).

Let {wn , n ≥ 1} be the sequence of HT -valued random variables defined in (22). For
any h ∈ HT , we consider the sequence of transformations of  defined in (21). As has
been pointed out in Section 1, P ◦ (Tnh )−1  P.
Notice also that the process vn (t, x) := (u ◦ Tnh )(t, x), (t, x) ∈ [t0 , T] × R3 , satisfies the
equation
 t
 
vn (t, x) = G(t − s, x − y)ς vn (s, y) M(ds, dy)
0 R3

 n
 t
+ G(t − ·, x − ∗)ς (vn (·, ∗)) , h − w Ht
+ ds [G(t − s, ·)  b (vn (s, ·))] (x).
0
(76)

Proof of Theorem 3.1: According to the method developed in [13] (see also [2] and
Section 1 in [6] for a summary), the theorem will be a consequence of the following
convergences:
  
 wn 
lim P u −   > η = 0, (77)
n→∞ ρ,t0 ,K
  
 
lim P u ◦ Tnh − h  > η = 0, (78)
n→∞ ρ,t0 ,K

where η is an arbitrary positive real number.

 STOCHASTICS 235

This follows from the general approximation result developed in Section 2. Indeed, con-
sider Equations (24) and (25) with the choice of coefficients A = D = 0, B = ς. Then the
n
processes X and Xn coincide with u and w , respectively. Hence, the convergence (77)
follows from Theorem 2.2. Next, we consider again Equations (24) and (25) with a new
choice of coefficients: A = D = ς, B = −ς. In this case, the processes X and Xn are equal
to h and vn := u ◦ Tnh , respectively. Thus, Theorem 2.2 yields (78). 

4. Auxiliary results
The most difficult part in the proof of Theorem 2.2 consists of establishing (36). In par-
ticular, handling the contribution of the pathwise integral (with respect to wn ) requires a
careful analysis of the discrepancy between this integral and the stochastic integral with
respect to M. This section gathers several technical results that have been applied in the
analysis of such questions in the preceding Section 2. We will prove only the Lemma 4.1,
the other results are proved in a very similar way of [6] Section 4.
The first statement in the next lemma provides a measure of the discrepancy between
the processes X(t, x) and X(t, tn , x) defined in (24), (27), respectively.

Lemma 4.1: Suppose that Hypothesis 3 is satisfied. Then for any p ∈ [1, ∞) and every
integer n ≥ 1,

sup X(t, x) − X(t, tn , x)p ≤ C2−np((ν+1)/2) (79)

(t,x)∈[0,T]×R3

and
sup sup X(t, tn , x)p ≤ C < ∞, (80)
n≥1 (t,x)∈[0,T]×R3

where C is a positive constant not depending on n.

Proof: Fix p ∈ [2, ∞[. From Equations (24), (27), we obtain

p
X(t, x) − X(t, tn , x)p ≤ C (V1 (t, x) + V2 (t, x) + V3 (t, x)) ,

where
 t  p
   
V1 (t, x) := 
 G(t − s, x − y)(A + B) X(s, y) M(ds, dy)
 ,
tn R 3
p
 p
V2 (t, x) := G(t − ·, x − ∗)D (X(·, ∗)) 1[tn ,t] (·), hHt p ,
 t p
 
V3 (t, x) := 
 G(t − s, ·)  b (X(s, ·)) (x) ds  .

tn p

Applying first Burkholder’s and then Hölder’s inequalities, we obtain

 t  
V1 (t, x) ≤ CE ds G(t − s, x − dy)G(t − s, x − dz)f (y − z)
tn R3 R3
  p/2
× (A + B) X(t, y) (A + B)(X(t, z))
236 F. J. DELGADO-VENCES

 t−tn  
= CE ds G(s, x − dy)G(s, x − dz)f (y − z)
0 R3 R3
  p/2
× (A + B) X(t − s, y) (A + B)(X(t − s, z))
 t−tn   p/2
p/2−1
≤ C(t − tn ) ds G(s, x − dy)G(s, x − dz)f (y − z)
0 R3 R3
 
× sup E |(A + B) (X(t, x))|p
(t,x)∈[0,T]×R3
 t−tn   p/2
p/2−1
≤ C(t − tn ) ds G(s, x − dy)G(s, x − dz)f (y − z)
0 R3 R3
#
 
× 1+ sup E X ((t, x)|p
(t,x)∈[0,T]×R3

Applying the inequality (29), Lemma 7.1 in [9] and then a) of the Hypothesis 2, we get
  p/2
p/2−1
t−tn f (z)
V1 (t, x) ≤ C(t − tn ) ds
0 |z|≤2s |z|
 t−tn
≤ C(t − tn )p/2−1 sνp/2 ds ≤ C(t − tn )p((ν+1)/2) ≤ C2−np((ν+1)/2) .
0

For the study of V2 , we apply first Cauchy–Schwarz inequality and then Hölder’s inequality.
We obtain
 t 
 p/2  2 p/2
 
V2 (t, x) ≤ h1[tn ,t] (·) H E  
ds G(t − s, x − ∗)D (X(s, ∗)) 1[tn ,t] (s) H .
t
0

Hence, similarly as for V1 we have

V2 (t, x) ≤ C2−np((ν+1)/2) .

By applying Hölder’s inequality, we get

  p−1    
t t  p 
V3 (t, x) ≤ ds G(t − s, x − dy) ds G(t − s, x − dy)E b X(s, y)
tn R3 tn R3
  p # 
$
t p 
≤C ds G(t − s, x − dy) 1+ sup E X(s, y)
tn R3 (t,x)∈[0,T]×R3

≤ C2−2np .

The condition ν ∈ ]0, 1[ implies 2−2np < 2−np((ν+1)/2) . Thus from the estimates on Vi (t, x),
i = 1, 2, 3 (which hold uniformly on (t, x) ∈ [0, T] × R3 ) we obtain (79).
Finally, (80) is a consequence of the triangular inequality, (79) and (29). 

The next result states an analogue of Lemma 4.1 for the stochastic processes Xn , Xn−
defined in (25), (26), respectively, this time including a localization by Ln .
 STOCHASTICS 237

Lemma 4.2: We assume Hypothesis 3. Then for any p ∈ [2, ∞) and t ∈ [0, T],
 p 
sup E Xn (s, y) − Xn− (s, y) 1Ln (s) ≤ Cn3p/2 2−np((ν+1)/2)
(s,y)∈[0,t]×R3
! "
 p 
× 1+ sup E Xn (s, y) 1Ln (s) .
(s,y)∈[0,t]×R3
(81)

We have a result on uniform estimates for Xn , Xn− .

Lemma 4.3: We assume Hypothesis 3. Then, for any p ∈ [1, ∞), there exists a finite constant
C such that
% p  &
sup sup E |Xn (t, x)|p + Xn− (t, x) 1Ln (t) ≤ C. (82)
n≥1 (t,x)∈[0,T]×R3

Moreover,
  
sup  Xn (t, x) − X − (t, x) 1L  ≤ Cn3/2 2−n((ν+1)/2) . (83)
n n (t) p
(t,x)∈[0,T]×R3

Acknowledgements
The author would like to thank to the editors and anonymous referees for their helpful comments
and suggestions which helped to improve greatly the paper.

Disclosure statement
No potential conflict of interest was reported by the author.

ORCID
Francisco J. Delgado-Vences http://orcid.org/0000-0002-0880-720X

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