Variations of the solution to a stochastic heat equation (Q2460323): Difference between revisions
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Revision as of 21:14, 19 March 2024
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English | Variations of the solution to a stochastic heat equation |
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Variations of the solution to a stochastic heat equation (English)
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14 November 2007
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The author studies solution to a stochastic heat equation. For a fixed point in space, the resulting time dependent function has a non-trivial quartic variation. Thus it has infinite quadratic variation and is no semi-martingale, and therefore classical Itô calculus does not apply. Motivated by heuristic ideas about possible new calculus for this process, the author studies slightly modified quadratic variations on arbitrary time intervals \([0,t]\). It is shown that these sums do converge weakly to a Brownian motion.
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quartic variation
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stochastic heat equation
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SPDEs
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Brownian motion
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modified quadratic variation
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stochastic integration
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long-range dependence
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self-similar process
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