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

Brownian bridgeexponential growth indexFeynman-Kac formulaGaussian noiseparabolic Anderson modelphase transitionstochastic heat equation

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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• Gaussian fluctuations for the wave equation under rough random perturbations
• Discrete Feynman-Kac approximation for parabolic Anderson model using random walks
• Blow-up results for space-time fractional stochastic partial differential equations

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