SPDEs with linear multiplicative fractional noise: continuity in law with respect to the Hurst index (Q2229691)

In the paper the hyperbolic Anderson model (SWE) and the parabolic Anderson model (SHE) are considered. In both models, the random perturbation \(\dot{W}^{H}\) is a Gaussian noise that is white in time and behaves in space like a fractional Brownian motion with Hurst index \(H\in (\frac{1}{4},1)\). The solutions to models (SWE) and (SHE) are understood in the mild Itô sense. The main result of the paper is formulated in Theorem 1.1. This result supplies the continuity in law, in the space of continuous functions, of the mild solutions to both (SWE) and (SHE) with respect to the Hurst index \(H\). The proof is based on the tightness criterion and Malliavin calculus techniques. The paper consists of four sections, an appendix and references. Section~1 is the introductory one. It states the problem and formulates the main Theorem 1.1. In section 2, basic elements of Malliavin calculus and auxiliary results from stochastic analysis are recalled. In section 3, the tightness property of law induced by the solution is considered. Section 4 contains the conclusion of the proof of Theorem 1.1. The appendix supplies auxiliary results used in the paper. The paper is self-contained, well and clearly written. References are representative for the problem studied.