Large time asymptotics for the parabolic Anderson model driven by spatially correlated noise

DOI10.1214/16-AIHP756MaRDI QIDQ2403221zbMATH OpenOpenAlexFDO

Authors Jingyu Huang, Khoa Lê, David Nualart

Publication date 15 September 2017

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.00897

zbMATH Keywords

phase transitionFeynman-Kac formulastochastic heat equationBrownian bridgeparabolic Anderson modelGaussian noiseexponential growth index

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: In this paper we study the linear stochastic heat equation, also known as parabolic Anderson model, in multidimension driven by a Gaussian noise which is white in time and it has a correlated spatial covariance. Examples of such covariance include the Riesz kernel in any dimension and the covariance of the fractional Brownian motion with Hurst parameter $Hin(frac14,frac12]$ in dimension one. First we establish the existence of a unique mild solution and we derive a Feynman-Kac formula for its moments using a family of independent Brownian bridges and assuming a general integrability condition on the initial data. In the second part of the paper we compute Lyapunov exponents, lower and upper exponential growth indices in terms of a variational quantity. The last part of the paper is devoted to study the phase transition property of the Anderson model.

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Cited in

(28)

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• Time correlations for the parabolic Anderson model
• LYAPUNOV EXPONENTS FOR STOCHASTIC ANDERSON MODELS WITH NON-GAUSSIAN NOISE
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• Large time asymptotics for the fluctuation SPDE in the Kuramoto synchronization model
• Spatial asymptotics for the parabolic Anderson models with generalized time-space Gaussian noise
• Precise high moment asymptotics for parabolic Anderson model with log-correlated Gaussian field
• An approximation result for a class of stochastic heat equations with colored noise
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• A remark on a result of Xia Chen
• Some non-existence results for a class of stochastic partial differential equations
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• Spatial integral of the solution to hyperbolic Anderson model with time-independent noise
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• Blow-up results for space-time fractional stochastic partial differential equations
• Existence of density for the stochastic wave equation with space-time homogeneous Gaussian noise
• Spatial asymptotics for the Feynman-Kac formulas driven by time-dependent and space-fractional rough Gaussian fields with the measure-valued initial data
• Spatial Hölder continuity for the parabolic Anderson model with the singular initial conditions
• Stochastic wave equation with Lévy white noise
• Asymptotics of the density of parabolic Anderson random fields
• Spatial averages for the Parabolic Anderson model driven by rough noise
• Phase transitions in the non-stationary lattice Anderson model
• Fractional stochastic wave equation driven by a Gaussian noise rough in space
• SPDEs with rough noise in space: Hölder continuity of the solution
• Second order Lyapunov exponents for parabolic and hyperbolic Anderson models

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