Exact asymptotics of the stochastic wave equation with time-independent noise

DOI10.1214/21-AIHP1207zbMATH Open1502.37081arXiv2007.10203OpenAlexW3042395373WikidataQ113751987 ScholiaQ113751987MaRDI QIDQ2157448FDOQ2157448

Authors: Raluca M. Balan, Chen Le, Xia Chen 

Publication date: 22 July 2022

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: In this article, we study the stochastic wave equation in all dimensions $dleq3$, driven by a Gaussian noise $dotW$ which does not depend on time. We assume that either the noise is white, or the covariance function of the noise satisfies a scaling property similar to the Riesz kernel. The solution is interpreted in the Skorohod sense using Malliavin calculus. We obtain the exact asymptotic behaviour of the $p$-th moment of the solution either when the time is large or when $p$ is large. For the critical case, that is the case when $d=3$ and the noise is white, we obtain the exact transition time for the second moment to be finite.

Full work available at URL: https://arxiv.org/abs/2007.10203

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zbMATH Keywords

Malliavin calculusstochastic partial differential equationsLyapunov exponentsstochastic wave equationexact moment asymptoticsmoment blowup

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Infinite-dimensional random dynamical systems; stochastic equations (37L55)

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Cited In (10)

• Stratonovich solution for the wave equation
• Stochastic fractional diffusion equations with Gaussian noise rough in space
• Investigation on the properties of sine-Wiener noise and its induced escape in the particular limit case D → ∞
• Small ball asymptotics for the stochastic wave equation
• Central limit theorems for heat equation with time-independent noise: The regular and rough cases
• Moment bounds and asymptotics for the stochastic wave equation
• Almost sure central limit theorems for stochastic wave equations
• Interpolating the stochastic heat and wave equations with time-independent noise: solvability and exact asymptotics
• Matching upper and lower moment bounds for a large class of stochastic PDEs driven by general space-time Gaussian noises
• On the noise-compensated Yule-Walker equations

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