Fractional diffusion in Gaussian noisy environment

DOI10.3390/MATH3020131MaRDI QIDQ2352938zbMATH OpenOpenAlexFDO

Authors Guannan Hu, Yaozhong Hu

Publication date 7 July 2015

Published in Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1502.05514

zbMATH Keywords

Caputo fractional derivativechaos expansionfractional Gaussian noisefractional order stochastic heat equationmild solutionstochastic integral

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Second-order parabolic systems (35K40) PDEs with randomness, stochastic partial differential equations (35R60) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: We study the fractional diffusion in a Gaussian noisy environment as described by the fractional order stochastic partial equations of the following form: $D_t^{a}lphau(t,x)=extitBu+ucdot{W}^H$, where $D_t^{a}lpha$ is the fractional derivative of order $alpha$ with respect to the time variable $t$, $extitB$ is a second order elliptic operator with respect to the space variable $xinmathbb{R}^d$, and $W^H$ a fractional Gaussian noise of Hurst parameter $H=(H_1,cdots,H_d)$. We obtain conditions satisfied by $alpha$ and $H$ so that the square integrable solution $u$ exists uniquely .

Review text

Summary: We study the fractional diffusion in a Gaussian noisy environment as described by the fractional order stochastic heat equations of the following form: \(D_t^{(\alpha)}u(t,x)=Bu+u\cdot\dot W^H\), where \(D_t^{(\alpha)}\) is the Caputo fractional derivative of order \(\alpha\in (0,1)\) with respect to the time variable \(t\), \(B\) is a second order elliptic operator with respect to the space variable \(x\in\mathbb R^d\) and \(\dot W^H\) a time homogeneous fractional Gaussian noise of Hurst parameter \(H=(H_1,\cdots,H_d)\). We obtain conditions satisfied by \(\alpha\) and \(H\), so that the square integrable solution \(u\) exists uniquely.

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• Cauchy problem for fractional diffusion equations
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• Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX)

Cited in

(12)

• Simulation of two-dimensional fractional Gaussian noise
• Gradient and stability estimates of heat kernels for fractional powers of elliptic operator
• Large deviation principle for a space-time fractional stochastic heat equation with fractional noise
• Properties and distribution of the dynamical functional for the fractional Gaussian noise
• Hölder regularity for the nonlinear stochastic time-fractional slow \& fast diffusion equations on \({\mathbb{R}}^d\)
• Nonlinear stochastic time-fractional slow and fast diffusion equations on \(\mathbb{R}^d\)
• Intermittence and space-time fractional stochastic partial differential equations
• Stochastic fractional heat equation perturbed by general Gaussian and non-Gaussian noise
• Fractional diffusion and fractional heat equation
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• Quasi-Linear (Stochastic) Partial Differential Equations with Time-Fractional Derivatives
• Intermittency fronts for space-time fractional stochastic partial differential equations in \((d + 1)\) dimensions

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