Large time asymptotics for the parabolic Anderson model driven by space and time correlated noise

DOI10.1007/S40072-017-0099-0MaRDI QIDQ1706674zbMATH OpenOpenAlexFDO

Authors Jingyu Huang, Khoa Lê, David Nualart

Publication date 28 March 2018

Published in Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1607.00682

zbMATH Keywords

Brownian bridgeexponential growth indexFeynman-Kac formulastochastic heat equation

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We consider the linear stochastic heat equation on $mathbb{R}^{e}ll$, driven by a Gaussian noise which is colored in time and space. The spatial covariance satisfies general assumptions and includes examples such as the Riesz kernel in any dimension and the covariance of the fractional Brownian motion with Hurst parameter $Hin(frac14,frac12]$ in dimension one. First we establish the existence of a unique mild solution and we derive a Feynman-Kac formula for its moments using a family of independent Brownian bridges and assuming a general integrability condition on the initial data. In the second part of the paper we compute Lyapunov exponents and lower and upper exponential growth indices in terms of a variational quantity.

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Cited in

(32)

• SPDEs with colored Gaussian noise: a survey
• Moment estimates for some renormalized parabolic Anderson models
• Spatial asymptotics for the Feynman-Kac formulas driven by time-dependent and space-fractional rough Gaussian fields with the measure-valued initial data
• Spatial ergodicity for SPDEs via Poincaré-type inequalities
• Asymptotics of the density of parabolic Anderson random fields
• Quantitative central limit theorems for the parabolic Anderson model driven by colored noises
• Chaotic characterization of one dimensional stochastic fractional heat equation
• Exact asymptotics of the stochastic wave equation with time-independent noise
• Parabolic Anderson model with a fractional Gaussian noise that is rough in time
• Averaging Gaussian functionals
• Fractional stochastic wave equation driven by a Gaussian noise rough in space
• Parabolic Anderson model with rough or critical Gaussian noise
• Second order Lyapunov exponents for parabolic and hyperbolic Anderson models
• Moment asymptotics for parabolic Anderson equation with fractional time-space noise: in Skorokhod regime
• Large time asymptotics for the parabolic Anderson model driven by spatially correlated noise
• Spatial asymptotics for the parabolic Anderson model driven by a Gaussian rough noise
• Almost surely time-space intermittency for the parabolic Anderson model with a log-correlated Gaussian field
• Spatial asymptotics for the parabolic Anderson models with generalized time-space Gaussian noise
• Time correlations for the parabolic Anderson model
• Spatial averages for the Parabolic Anderson model driven by rough noise
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• Exponential asymptotics for p-multiple self-intersection local time of 1-d diffusion process
• Parabolic Anderson model with colored noise on the torus
• Propagation of high peaks for the space-time fractional stochastic partial differential equations

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