Time-reversal in hyperbolic s.p.d.e.'s

Abstract

This paper studies questions of changes of variables in a class of hyperbolic stochastic partial differential equations in two variables driven by white noise. Two types of changes of variables are considered: naive changes of variables which do not involve a change of filtration, which affect the equation much as though it were deterministic, and changes of variables that do involve a change of filtration, such as time-reversals. In particular, if the process in reversed coordinates does satisfy an s.p.d.e., then we show how this s.p.d.e, is related to the original one. Time-reversals for the Brownian sheet and for equations with constant coefficients are considered in detail. A necessary and sufficient condition is provided under which the reversal of the solution to the simplest hyperbolic s.p.d.e. with certain random initial conditions again satisfies such an s.p.d.e. This yields a negative conclusion concerning the reversal in time of the solution to the stochastic wave equation (in one spatial dimension) driven by white noise.