Decompositions of stochastic convolution driven by a white-fractional Gaussian noise

DOI10.1007/S11464-021-0950-5MaRDI QIDQ2239347zbMATH OpenOpenAlexFDO

Authors Ran Wang, Shiling Zhang

Publication date 3 November 2021

Published in Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.03684

zbMATH Keywords

stochastic heat equationlaw of the iterated logarithmpath regularityfractional Brownian motion (fBm)

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Sample path properties (60G17)

Abstract: Let $u=u(t,x);(t,x)inmathbb{R}_{+}imesmathbbR$ be the solution to a linear stochastic heat equation driven by a Gaussian noise, which is a Brownian motion in time and a fractional Brownian motion in space with Hurst parameter $Hin(0,1)$. For any given $xinmathbbR$ (resp. $tinmathbb{R}_{+}$), we show a decomposition of the stochastic process $tmapstou(t,x)$ (resp. $xmapstou(t,x)$) as the sum of a fractional Brownian motion with Hurst parameter $H/2$ (resp. $H$) and a stochastic process with $C^{infty}$-continuous trajectories. Some applications of those decompositions are discussed.

Recommendations

• On the law of the solution to a stochastic heat equation with fractional noise in time
• Fractional stochastic wave equation driven by a Gaussian noise rough in space
• Stochastic heat equation driven by fractional noise and local time
• A decomposition of the bifractional Brownian motion and some applications
• Stochastic fractional heat equations driven by fractional noises

Cites work

• scientific article; zbMATH DE number 3984248 (Why is no real title available?)
• A decomposition of the bifractional Brownian motion and some applications
• Analysis of the gradient of the solution to a stochastic heat equation via fractional Brownian motion
• Decomposition and limit theorems for a class of self-similar Gaussian processes
• Erratum: ``A connection between the stochastic heat equation and fractional Brownian motion, and a simple proof of a result of Talagrand
• Existence and uniqueness of a mild solution to the stochastic heat equation with white and fractional noises
• Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's
• Fractional stochastic wave equation driven by a Gaussian noise rough in space
• Integration questions related to fractional Brownian motion
• Markov Processes, Gaussian Processes, and Local Times
• On mild and weak solutions for stochastic heat equations with piecewise-constant conductivity
• On the distribution and \(q\)-variation of the solution to the heat equation with fractional Laplacian
• Parabolic SPDEs and intermittency. 16th Brazilian Summer School of Probability. Recife, Brazil, August 6--11, 2012
• SPDEs with affine multiplicative fractional noise in space with index \(\frac{1}{4} < H < \frac{1}{2}\)
• SPDEs with rough noise in space: Hölder continuity of the solution
• Sample paths of the solution to the fractional-colored stochastic heat equation
• Sharp space-time regularity of the solution to stochastic heat equation driven by fractional-colored noise
• Small values of Gaussian processes and functional laws of the iterated logarithm
• Some recent progress on stochastic heat equations
• Stochastic Equations in Infinite Dimensions
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic evolution equations with a spatially homogeneous Wiener process
• Stochastic evolution equations with fractional Brownian motion
• Stochastic heat equation with rough dependence in space
• Strong local nondeterminism and sample path properties of Gaussian random fields

Cited in

(2)

• On the law of the solution to a stochastic heat equation with fractional noise in time
• Temporal properties of the stochastic fractional heat equation with spatially-colored noise

This page was built for publication: Decompositions of stochastic convolution driven by a white-fractional Gaussian noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2239347)