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

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

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.

Review text

The authors consider the stochastic heat equation on \(\mathbb{R}^{d}\) defined for \(t\geq0\), \(x\in\mathbb{R}^{d}\) by NEWLINE\[NEWLINE \frac{\partial u}{\partial t}=\frac{1}{2}\Delta u+u\,\frac{\partial W}{\partial t}(t,x) , NEWLINE\]NEWLINE where the initial condition \(u(0,x)=u_{0}(x)\) is a bounded measurable function and \(W=\{W(t,x), t\geq 0,x\in\mathbb{R}^{d}\}\) is a fractional Brownian motion of Hurst parameter \(H\in ( \frac{1}{4},\frac{1}{2} ) \) in time and it has a spatial covariance \(Q(x,y)\), which is locally \(\gamma\)-Hölder continuous, with \(\gamma>2-4H\). They obtain a generalization of the well-known Feyman-Kac formula to the case of a random potential of the form \(\frac{\partial W}{\partial t}(t,x)\). More precisely, they show that the solution to above equation is given by NEWLINE\[NEWLINE u(t,x)=\operatorname{E}^{B} \biggl[ u_{0}(B_{t}^{x})\exp\int _{0}^{t}W(ds,B_{t-s}^{x}) \biggr] , NEWLINE\]NEWLINE where \(B=\{B_{t}^{x}=B_{t}+x,t\geq0,x\in\mathbb{R}^{d}\}\) is a \(d\)-dimensional Brownian motion starting at \(x\in\mathbb{R}^{d}\), independent of \(W\).

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