Hitting probabilities for systems of non-linear stochastic heat equations with multiplicative noise
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Publication:2391166
Abstract: We consider a system of d non-linear stochastic heat equations in spatial dimension 1 driven by d-dimensional space-time white noise. The non-linearities appear both as additive drift terms and as multipliers of the noise. Using techniques of Malliavin calculus, we establish upper and lower bounds on the one-point density of the solution u(t,x), and upper bounds of Gaussian-type on the two-point density of (u(s,y),u(t,x)). In particular, this estimate quantifies how this density degenerates as (s,y) converges to (t,x). From these results, we deduce upper and lower bounds on hitting probabilities of the process {u(t,x)}_{t in mathbb{R}_+, x in [0,1]}, in terms of respectively Hausdorff measure and Newtonian capacity. These estimates make it possible to show that points are polar when d >6 and are not polar when d<6. We also show that the Hausdorff dimension of the range of the process is 6 when d>6, and give analogous results for the processes t mapsto u(t,x) and x mapsto u(t,x). Finally, we obtain the values of the Hausdorff dimensions of the level sets of these processes.
The authors consider a system of \(d\) non-linear stochastic partial differential equations driven by \(d\) independent space-time white noises on \([0,T] \times [0,1]\). The non-linearities appear as additive drift terms and as multipliers of the noise. The aim is to present a potential theory for the \(d\) dimensional process \(u(t,x)\) solution of the SPDE. The existence, smoothness and uniform boundedness of the density function \(p_{t,x}\) of the random vector \(u(t,x)\) is established. Using Malliavin calculus the authors obtain upper and lower bounds on the density \(p_{t,x}\) and upper bounds of Gaussian type on the two-point density function \(p_{s,y;t,x}\). The proof of this last upper bound is the main technical effort in the paper since the authors give a detailed analysis of the behaviour of the Malliavin matrix of \((u(s,y),u(t,x))\) as a function of \((s,t;y,x)\) using a perturbation method. Then, they are able to obtain upper and lower bounds on hitting probabilities of the process \(\{u(t,x); t \geq 0, x \in[0,1] \}\) in terms of Hausdorff measure and Newtonian capacity. They show that points are polar when \(d \geq 7\) and are not polar when \(d \leq 5\). Moreover, the Hausdorff dimension of the range of the process is 6 when \(d >6\).
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Cited in
(42)- Gaussian density estimates for solutions to quasi-linear stochastic partial differential equations
- Hitting probabilities for systems of stochastic PDEs: an overview
- Polar functions for anisotropic Gaussian random fields
- Global solutions to stochastic reaction-diffusion equations with super-linear drift and multiplicative noise
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