Feynman-Kac formula for the heat equation driven by fractional noise with Hurst parameter H < 1/2

DOI10.1214/11-AOP649zbMATH Open1253.60074arXiv1007.5507MaRDI QIDQ428140FDOQ428140

Authors: Yaozhong Hu, David Nualart, Fei Lu 

Publication date: 19 June 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: In this paper, a Feynman-Kac formula is established for stochastic partial differential equation driven by Gaussian noise which is, with respect to time, a fractional Brownian motion with Hurst parameter $H<1/2$. To establish such a formula, we introduce and study a nonlinear stochastic integral from the given Gaussian noise. To show the Feynman--Kac integral exists, one still needs to show the exponential integrability of nonlinear stochastic integral. Then, the approach of approximation with techniques from Malliavin calculus is used to show that the Feynman-Kac integral is the weak solution to the stochastic partial differential equation.

Full work available at URL: https://arxiv.org/abs/1007.5507

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zbMATH Keywords

stochastic partial differential equationsFeynman-Kac formulafractional Brownian field

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional processes, including fractional Brownian motion (60G22) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (34)

• Solving a stochastic heat equation driven by a bi-fractional noise
• Moment stability via resolvent operators of fractional stochastic differential inclusions driven by fractional Brownian motion
• Optimal Hölder continuity and hitting probabilities for SPDEs with rough fractional noises
• Intermittency for the wave and heat equations with fractional noise in time
• Feynman-Kac formula for heat equation driven by fractional white noise
• Intermittency for the stochastic heat equation driven by a rough time fractional Gaussian noise
• A note on intermittency for the fractional heat equation
• Feynman-Kac formula for general diffusion equations driven by TFBM with Hurst index \(H \in (0,1)\)
• Some properties of the solution to fractional heat equation with a fractional Brownian noise
• The stochastic heat equation: Feynman-Kac formula and intermittence.
• Solvability of parabolic Anderson equation with fractional Gaussian noise
• Nonlocal stochastic integro-differential equations driven by fractional Brownian motion
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• Tempered fractional Sobolev spaces
• A note on a Feynman-Kac-type formula
• On nonlinear rough paths
• On the necessary and sufficient conditions to solve a heat equation with general additive Gaussian noise
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• Weak convergence for quasilinear stochastic heat equation driven by a fractional noise with Hurst parameter \(H \in (\frac{1}{2},1)\)
• A Feynman–Kac approach for the spatial derivative of the solution to the Wick stochastic heat equation driven by time homogeneous white noise
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• On impulsive Hilfer fractional stochastic differential system driven by Rosenblatt process
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• Title not available (Why is that?)
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