A forward-backward SDE from the 2D nonlinear stochastic heat equation

DOI10.1214/21-AOP1563MaRDI QIDQ2135403zbMATH OpenOpenAlexFDO

Authors Alexander Dunlap, Yu Gu

Publication date 6 May 2022

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.03541

zbMATH Keywords

forward-backward stochastic differential equationstochastic heat equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems for second-order parabolic equations (35K15) Semilinear parabolic equations (35K58) PDEs with randomness, stochastic partial differential equations (35R60)

Abstract: We consider a nonlinear stochastic heat equation in spatial dimension $d=2$, forced by a white-in-time multiplicative Gaussian noise with spatial correlation length $varepsilon>0$ but divided by a factor of $sqrtlogvarepsilo{n}^{-1}$. We impose a condition on the Lipschitz constant of the nonlinearity so that the problem is in the "weak noise" regime. We show that, as $varepsilondownarrow0$, the one-point distribution of the solution converges, with the limit characterized in terms of the solution to a forward-backward stochastic differential equation (FBSDE). We also characterize the limiting multipoint statistics of the solution, when the points are chosen on appropriate scales, in similar terms. Our approach is new even for the linear case, in which the FBSDE can be solved explicitly and we recover results of Caravenna, Sun, and Zygouras (Ann. Appl. Probab. 27(5):3050--3112, 2017).

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