Amplitude equations for SPDEs driven by fractional additive noise with small hurst parameter

DOI10.1142/S0219493722400135MaRDI QIDQ5083420zbMATH OpenOpenAlexFDO

Authors D. Blömker, Alexandra Neamţu

Publication date 20 June 2022

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2109.09387

zbMATH Keywords

amplitude equationsfractional Brownian motionmultiscale analysisYoung-type estimates

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: We study stochastic partial differential equations (SPDEs) with potentially very rough fractional noise with Hurst parameter $Hin(0,1)$. Close to a change of stability measured with a small parameter $varepsilon$, we rely on the natural separation of time-scales and establish a simplified description of the essential dynamics. We prove that up to an error term bounded by a power of $varepsilon$ depending on the Hurst parameter we can approximate the solution of the SPDE in first order by an SDE, the so called amplitude equation, and in second order by a fast infinite dimensional Ornstein-Uhlenbeck process. To this aim we need to establish an explicit averaging result for stochastic integrals driven by rough fractional noise for small Hurst parameters.

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Cited in

(11)

• Amplitude equations for SPDEs with cubic nonlinearity forced by general multiplicative Gaussian noise
• Modulation and amplitude equations on bounded domains for nonlinear SPDEs driven by cylindrical \(\alpha\)-stable Lévy processes
• Amplitude equations for SPDEs with cubic nonlinearities
• The high-order approximation of SPDEs with multiplicative noise via amplitude equations
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