Two-point correlation function and Feynman-Kac formula for the stochastic heat equation (Q526993): Difference between revisions

A solution \(u\) to a non-linear stochastic heat equation \(u_t=\frac\nu 2u_{xx}+\rho(u)\dot W\) on \(\mathbb R\) with the initial condition being a signed Borel measure is considered. Here, \(\nu>0\), \(\rho\) a globally Lipschitz continuous function, \(\dot W\) a space-time Wiener process and the initial condition \(\mu\) is assumed to be such that \(e^{-ax^2}\) is integrable with respect to \(|\mu|\) for every \(a>0\). The authors establish explicit formulae for \(\mathbb E\,u(t,x_1)u(t,x_2)\) if \(\rho(x)=\lambda x\) via various kernels, provide upper estimates for \(\|u(t,x)\|_p\), \(p\in[2,\infty)\) if \(|\rho(x)|\leq L_\rho|x|\), present lower estimates for \(\|u(t,x)\|_2\) if \(|\rho(x)|\geq l_\rho|x|\) and \(\mu\geq 0\), and prove an explicit formula for the joint distribution of \((B_t,L^a_t)\), where \(B\) is a Brownian motion and \(L^a_t\) its local time at a level \(a\in\mathbb R\). In the second part, in the setting of the Malliavin calculus where \(W\) is an isonormal Gaussian process on a Hilbert space \(H\), \(\widetilde B_1,\dots,\widetilde B_m\) are one-dimensional Brownian motions belonging to the Gaussian space spanned by \(W\), and \(L^{i,x_i}\) denote local times of \(\widetilde B_i\), sufficient conditions upon a function \(f:\mathbb R^m_+\to\mathbb R\) for \(f(L^{1,x_1}_t,\dots,L^{m,x_m}_t)\) to belong to a Meyer-Watanabe space \(\mathbb D^{\alpha,p}(\mathbb R)\) for \(p>1\) and \(\alpha<\frac 12\) are presented. The authors also prove that, for various initial conditions \(\mu_i\), \(x_i\in\mathbb R\) and \(h_i\in H\), \[ \prod_{i=1}^n\mu_i(W(h_i)+x_i)\in\mathbb D^{-\alpha,p}(\mathbb R) \] if \(\alpha>0\), \(p>1\) and \(\alpha+\frac np>n\). These results are subsequently used to establish an explicit Feynman-Kac formula for \[ \mathbb E\left[\prod_{i=1}^nu(t,x_i)\right]. \]