Stationary solutions to boundary problem for the heat equations (Q1588309): Difference between revisions

Let \((\Omega,F,P)\) be a (complete) probability space, and let \(B\) be a Banach space with \(A\) a bounded operator on \(B\). The author considers the following stochastic boundary value problem on \(Q=\mathbb{R}\times [0,\pi]\): \[ u_t(t,x)- u_{xx}(t,x)= Au(t,x)+\xi (t)g(x),\quad (t,x)\in Q, \] \[ u(t,0)=0= u(t,\pi). \] Here \(u\) is a random \(B\)-valued function defined on \(Q\); that is, for a.e. \(\omega\in\Omega\), we obtain \(u_\omega:Q\to B\). The randomness in the equation is provided by \(\xi(t)\), which is assumed to be a \(B\)-valued stationary process on \(\Omega\) with continuous sample paths that satisfies \(E[\sup_{0\leq t\leq \delta}\|\xi(t) \|]<\infty\) for some \(\delta> 0\). The function \(g:[0, \pi]\to\mathbb{C}\) is assumed \(C^1\) and to vanish at the endpoints. Finally, \(u\) is a solution of the above equation if \(u_\omega\) is a solution for almost every \(\omega\in\Omega\). Let \(\rho(A)\) denote the resolvent set of \(A\) and \(\sigma (A)\) the spectrum of \(A\). The first result is that the above stochastic boundary value problem for the heat equation has a unique stationary solution (with respect to \(t)\) for all such \(\xi\) and \(g\) if and only if \(\{k^2+i \alpha \mid k\in\mathbb{N},\;\alpha\in \mathbb{R}\}\subset \rho(A)\). The author then shows that the same condition on \(\rho(A)\) is equivalent to the existence of a unique bounded solution \(u\) to the deterministic boundary value problem similar to the above equation, where \(\xi(t)g(x)\) is replaced by a suitable function \(v:Q\to \mathbb{R}\). In the final section, \(B\) is assumed to be a complex separable Hilbert space and \(\xi\) a white noise on \(B\). The author proves that under suitable conditions on \(g\), the above stochastic boundary value problem has a unique, stationary, nonanticipating solution \(u\) for all such \(\xi\) and \(g\) satisfying \(\sup_{0\leq x\leq\pi} E[\|u(0,x) \|^2] <\infty\) if and only if \(\sigma(A-I)\subset\{z \in \mathbb{C} \mid\text{Re} x<0\}\).