Feynman-Kac representation for the parabolic Anderson model driven by fractional noise

DOI10.1016/J.JFA.2015.06.003MaRDI QIDQ2355436zbMATH OpenOpenAlexFDO

Authors Kamran Kalbasi, Thomas Mountford

Publication date 23 July 2015

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.09050

zbMATH Keywords

Feynman-Kac formulafractional Brownian motionparabolic Anderson modelrandom walkstochastic heat equation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: We consider the parabolic Anderson model driven by fractional noise: ${\displaystyle }$ frac{partial}{partial t}u(t,x)= kappa �oldsymbol{Delta} u(t,x)+ u(t,x)frac{partial}{partial t}W(t,x) qquad xinmathbb{Z}^d;,; tgeq 0,, ${\displaystyle }$ where $kappa>0$ is a diffusion constant, $$ is the discrete Laplacian defined by $$, and ${W(t,x);;;tgeq0}_{xinmathbb{Z}^d}$ is a family of independent fractional Brownian motions with Hurst parameter $Hin(0,1)$, indexed by $mathbb{Z}^d$. We make sense of this equation via a Stratonovich integration obtained by approximating the fractional Brownian motions with a family of Gaussian processes possessing absolutely continuous sample paths. We prove that the Feynman-Kac representation �egin{equation} u(t,x)=mathbb{E}^xBigl[u_o(X(t))exp int_0^t W�igl(mathrm{d}s, X(t-s)�igr)Bigr],, end{equation} is a mild solution to this problem. Here $u_o(y)$ is the initial value at site $yinmathbb{Z}^d$, $X(t);;;tgeq0$ is a simple random walk with jump rate $kappa$, started at $xinmathbb{Z}^d$ and independent of the family ${W(t,x);;;tgeq0}_{xinmathbb{Z}^d}$ and $mathbb{E}^x$ is expectation with respect to this random walk. We give a unified argument that works for any Hurst parameter $Hin(0,1)$.

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Cited in

(8)

• Intermittency for the stochastic heat equation driven by a rough time fractional Gaussian noise
• Anderson polymer in a fractional Brownian environment: asymptotic behavior of the partition function
• Precise moment asymptotics for the stochastic heat equation of a time-derivative Gaussian noise
• Feynman–Kac formula for parabolic Anderson model in Gaussian potential and fractional white noise
• Feynman–Kac Representation for Parabolic Anderson Equations with General Gaussian Noise
• Feynman-Kac formula for general diffusion equations driven by TFBM with Hurst index \(H \in (0,1)\)
• Feynman-Kac formula for tempered fractional general diffusion equations driven by TFBM
• Continuity of solutions for tempered fractional general diffusion equations driven by TFBM

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