A singular parabolic {A}nderson model

DOI10.1214/EJP.V9-189MaRDI QIDQ1767533zbMATH OpenFDO

Authors Carl Mueller, Roger Tribe

Publication date 8 March 2005

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0204089, https://eudml.org/doc/125087, http://www.emis.de/journals/EJP-ECP/_ejpecp/EjpVol9/paper5.abs.html

zbMATH Keywords

density of supportextinctionintermittencysingular measuresstochastic partial differential equation

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44)

Abstract: We give a new example of a measure-valued process without a density, which arises from a stochastic partial differential equation with a multiplicative noise term. This process has some unusual properties. We work with the heat equation with a random potential: u_t=Delta u+kuF. Here k>0 is a small number, and x lies in d-dimensional Euclidean space with d>2. F is a Gaussian noise which is uncorrelated in time, and whose spatial covariance equals |x-y|^(-2). The exponent 2 is critical in the following sense. For exponents less than 2, the equation has function-valued solutions, and for exponents higher than 2, we do not expect solutions to exist. This model is closely related to the parabolic Anderson model; we expect solutions to be small, except for a collection of high peaks. This phenomenon is called intermittency, and is reflected in the singular nature of our process. Solutions exist as singular measures, under suitable assumptions on the initial conditions and for sufficiently small k. We investigate various properties of the solutions, such as dimension of the support and long-time behavior. As opposed to the super-Brownian motion, which satisfies a similar equation, our process does not have compact support, nor does it die out in finite time. We use such tools as scaling, self-duality and moment formulae.

Review text

The authors consider solutions \(u=u(t,x)\) of the parabolic Anderson model, which is given by the following linear stochastic partial differential equation with multiplicative noise: \[ \partial_t u=\frac12 \Delta u +\kappa u \dot{F} \] for \(x\in\mathbb{R}^d\) in dimension \(d\geq3\), where \(\dot{F}\) is a mean zero Gaussian noise with singular covariance \[ \mathbf{E} (\dot{F}(t,x)\dot{F}(s,y)) =\delta(t-s)| x-y| ^{-2}\;. \] For sufficiently small \(\kappa>0\) and under suitable assumptions on the initial conditions, the authors show that solutions of the corresponding martingale problem only exist as singular measures, which is different from the case of \(\delta(t-s)| x-y| ^{-p}\) with \(0<p<2\). Furthermore, the solutions are unique in law and various properties of the solutions are shown, like extinction for time \(t\to\infty\), lower bounds on the Hausdorff dimension of the support, and density of the support. Some of the key technical tools are scaling, Wiener-chaos expansion, self-duality, and moment formulae. The resctriction to \(\kappa\in(0,(d-2)/2)\) ensures the existence of moments of second order.

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