Abstract
Motivated by Girsanov's nonuniqueness examples for SDEs, we prove nonuniqueness for the parabolic stochastic partial differential equation (SPDE) Here is a space-time white noise on . More precisely, we show the above stochastic PDE has a nonzero solution for . Since solves the equation, it follows that solutions are neither unique in law nor pathwise unique. An analogue of Yamada-Watanabe's famous theorem for SDEs was recently shown in Mytnik and Perkins [Probab. Theory Related Fields 149 (2011) 1-96] for SPDE's by establishing pathwise uniqueness of solutions to if is Hölder continuous of index . Hence our examples show this result is essentially sharp. The situation for the above class of parabolic SPDE's is therefore similar to their finite dimensional counterparts, but with the index in place of . The case of the first equation above is particularly interesting as it arises as the scaling limit of the signed mass for a system of annihilating critical branching random walks.
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