A central limit theorem for the stochastic heat equation

DOI10.1016/J.SPA.2020.07.010zbMATH Open1458.60072arXiv1810.09492OpenAlexW3043541566MaRDI QIDQ2229683FDOQ2229683

Authors: Jingyu Huang, David Nualart, Lauri Viitasaari 

Publication date: 18 February 2021

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We consider the one-dimensional stochastic heat equation driven by a multiplicative space-time white noise. We show that the spatial integral of the solution from $-R$ to $R$ converges in total variance distance to a standard normal distribution as $R$ tends to infinity, after renormalization. We also show a functional version of this central limit theorem.

Full work available at URL: https://arxiv.org/abs/1810.09492

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zbMATH Keywords

Malliavin calculuscentral limit theoremStein's methodstochastic heat equation

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Central limit and other weak theorems (60F05)

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Cited In (53)

• Convergence of densities of spatial averages of the parabolic Anderson model driven by colored noise
• The central limit theorems for integrable Hamiltonian systems perturbed by white noise
• Gaussian fluctuations of spatial averages of a system of stochastic heat equations
• Gaussian fluctuation for spatial average of super-Brownian motion
• Central limit theorems for nonlinear stochastic wave equations in dimension three
• An almost sure central limit theorem for the parabolic Anderson model with delta initial condition
• An invariance principle for stochastic heat equations with periodic coefficients
• Gaussian fluctuation for spatial average of the stochastic pseudo-partial differential equation with fractional noise
• Pathwise large deviations for white noise chaos expansions
• Title not available (Why is that?)
• Central limit theorem for finite- and infinite-dimensional diffusions in ergodic environments
• Feynman-Kac formula for iterated derivatives of the parabolic Anderson model
• Another look into the Wong-zakai theorem for stochastic heat equation
• Central limit theorems for heat equation with time-independent noise: The regular and rough cases
• Gaussian fluctuations for the stochastic heat equation with colored noise
• Central limit theorems for spatial averages of the stochastic heat equation via Malliavin-Stein's method
• Title not available (Why is that?)
• Quantitative normal approximations for the stochastic fractional heat equation
• Spatial integral of the solution to hyperbolic Anderson model with time-independent noise
• Almost sure central limit theorems for the parabolic Anderson model with Neumann/Dirichlet/periodic boundary conditions
• Asymptotic behavior of the density in a parabolic SPDE
• Convergence of densities of spatial averages of stochastic heat equation
• Central limit theorems for stochastic wave equations in dimensions one and two
• On central limit theorems for power variations of the solution to the stochastic heat equation
• Large time asymptotic properties of the stochastic heat equation
• Continuity in law for solutions of SPDES with space-time homogeneous Gaussian noise
• Central limit theorem for Gibbs measures on path spaces including long range and singular interactions and homogenization of the stochastic heat equation
• Spatial ergodicity and central limit theorems for parabolic Anderson model with delta initial condition
• Quenched central limit theorem for the stochastic heat equation in weak disorder
• Gaussian fluctuation for spatial average of parabolic Anderson model with Neumann/Dirichlet/periodic boundary conditions
• Existence of density for the stochastic wave equation with space-time homogeneous Gaussian noise
• A central limit theorem for stochastic heat equations in random environment
• Central limit theorem for a fractional stochastic heat equation with spatially correlated noise
• Spatial ergodicity for SPDEs via Poincaré-type inequalities
• Central limit theorem for the solution to the heat equation with moving time
• Spatial average for the solution to the heat equation with Rosenblatt noise
• The law of the iterated logarithm for spatial averages of the stochastic heat equation
• An almost sure central limit theorem for the stochastic heat equation
• Spatial averages for the Parabolic Anderson model driven by rough noise
• Non-central limit theorem for the spatial average of the solution to the wave equation with Rosenblatt noise
• Averaging Gaussian functionals
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• A central limit theorem for the stochastic wave equation with fractional noise
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• Hyperbolic Anderson model with Lévy white noise: spatial ergodicity and fluctuation
• The hyperbolic Anderson model: moment estimates of the Malliavin derivatives and applications
• Hermite spatial variations for the solution to the stochastic heat equation
• Rescaled Whittaker driven stochastic differential equations converge to the additive stochastic heat equation

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