On the density of the supremum of the solution to the linear stochastic heat equation (Q2219497): Difference between revisions

The authors are interested in the existence and properties of the probability density function of the supremum of the solutions to SPDEs (stochastic partial differential equations). This is partly motivated by the fact that the density of the supremum of the solution is related to the study of upper bounds on hitting probabilities for these solutions. They consider the linear stochastic heat equation with zero initial condition, either Neumann or Dirichlet boundary conditions, and Brownian sheet on \([0,\infty)\times[0,1]\) as the random noise. The mild solution is defined via the Green kernel. The goal of the paper is to establish the smoothness of the joint density of the random vector whose components are the solution and the supremum of an increment in time of the solution over an interval (at a fixed spatial position), and the smoothness of the density of the supremum of the solution over a space-time rectangle that touches the \(t = 0\) axis, using a general criterion for the smoothness of densities for locally nondegenerate random variables. Applying the Malliavin calculus, in particular, Malliavin derivatives and properties of the divergence operator, the authors establish a Gaussian-type upper bound on these two densities respectively, which presents a close connection with the Hölder-continuity properties of the solution.