One difficulty is their lack of regularity. In one dimensional space, solutions to the stochastic heat equation are only almost 1/2-Hölder continuous in space and 1/4-Hölder continuous in time. For dimensions two and higher, solutions are not even function-valued, but can be made sense of as random distributions.
However, problems start to appear when considering non-linear equations. For example
where is a polynomial. In this case it is not even clear how one should make sense of the equation. Such an equation will also not have a function-valued solution in dimension larger than one, and hence no pointwise meaning. It is well known that the space of distributions has no product structure. This is the core problem of such a theory. This leads to the need of some form of renormalization.
An early attempt to circumvent such problems for some specific equations was the so called da Prato–Debussche trick which involved studying such non-linear equations as perturbations of linear ones.[7] However, this can only be used in very restrictive settings, as it depends on both the non-linear factor and on the regularity of the driving noise term. In recent years, the field has drastically expanded, and now there exists a large machinery to guarantee local existence for a variety of sub-critical SPDEs.[8]
^Walsh, John B. (1986). "An introduction to stochastic partial differential equations". In Carmona, René; Kesten, Harry; Walsh, John B.; Hennequin, P. L. (eds.). École d'Été de Probabilités de Saint Flour XIV - 1984. Lecture Notes in Mathematics. Vol. 1180. Springer Berlin Heidelberg. pp. 265–439. doi:10.1007/bfb0074920. ISBN978-3-540-39781-6.
^Da Prato, Giuseppe; Debussche, Arnaud (2003). "Strong Solutions to the Stochastic Quantization Equations". Annals of Probability. 31 (4): 1900–1916. JSTOR3481533.
Bain, A.; Crisan, D. (2009). Fundamentals of Stochastic Filtering. Stochastic Modelling and Applied Probability. Vol. 60. New York: Springer. ISBN978-0387768953.
Holden, H.; Øksendal, B.; Ubøe, J.; Zhang, T. (2010). Stochastic Partial Differential Equations: A Modeling, White Noise Functional Approach. Universitext (2nd ed.). New York: Springer. doi:10.1007/978-0-387-89488-1. ISBN978-0-387-89487-4.