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

DOI10.1007/S11464-021-0950-5zbMATH Open1479.60077arXiv1912.03684OpenAlexW3195834170MaRDI QIDQ2239347FDOQ2239347

Authors: Ran Wang, Shiling Zhang 

Publication date: 3 November 2021

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

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.

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

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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)

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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

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