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

DOI10.1214/16-AIHP756zbMATH Open1372.60092arXiv1509.00897OpenAlexW2963898504MaRDI QIDQ2403221FDOQ2403221

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)

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.

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

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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)

Cited In (28)

• LYAPUNOV EXPONENTS FOR STOCHASTIC ANDERSON MODELS WITH NON-GAUSSIAN NOISE
• Phase transitions in asymptotically singular Anderson Hamiltonian and parabolic model
• Time correlations for the parabolic Anderson model
• Stochastic fractional diffusion equations with Gaussian noise rough in space
• 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
• Feynman-Kac formula for iterated derivatives of the parabolic Anderson model
• An approximation result for a class of stochastic heat equations with colored noise
• Multiplicative stochastic heat equations on the whole space
• Spatial asymptotic of the stochastic heat equation with compactly supported initial data
• Some non-existence results for a class of stochastic partial differential equations
• A remark on a result of Xia Chen
• Localization of a one-dimensional simple random walk among power-law renewal obstacles
• Spatial integral of the solution to hyperbolic Anderson model with time-independent noise
• Large time asymptotics for the parabolic Anderson model driven by space and time correlated noise
• 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
• Blow-up results for space-time fractional stochastic partial differential equations
• Spatial Hölder continuity for the parabolic Anderson model with the singular initial conditions
• Stochastic wave equation with Lévy white noise
• Spatial averages for the Parabolic Anderson model driven by rough noise
• Asymptotics of the density of parabolic Anderson random fields
• 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
• Nonlinear stochastic heat equation driven by spatially colored noise: moments and intermittency

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