Two-point correlation function and Feynman-Kac formula for the stochastic heat equation

DOI10.1007/S11118-016-9601-YzbMATH Open1367.60079arXiv1509.01121OpenAlexW2964350307MaRDI QIDQ526993FDOQ526993

Le Chen, Yaozhong Hu, David Nualart

Publication date: 15 May 2017

Published in: Potential Analysis (Search for Journal in Brave)

Abstract: In this paper, we obtain an explicit formula for the two-point correlation function for the solutions to the stochastic heat equation on $mathbbR$. The bounds for $p$-th moments proved in [3] are simplified. We validate the Feynman-Kac formula for the $p$-point correlation function of the solutions to this equation with measure-valued initial data.

Full work available at URL: https://arxiv.org/abs/1509.01121

zbMATH Keywords

Malliavin calculusFeynman-Kac formulastochastic heat equationtwo-point correlation functionBrownian local-time

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65) Local time and additive functionals (60J55)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Malliavin Calculus and Related Topics
• Stochastic heat equation driven by fractional noise and local time
• Parabolic Anderson problem and intermittency
• Moments and growth indices for the nonlinear stochastic heat equation with rough initial conditions
• Smoothness of Brownian local times and related functionals
• Fundamental solution of the heat and Schrödinger equations with point interaction
• Smoothness of local times of semimartingales
• The two-dimensional stochastic heat equation: renormalizing a multiplicative noise

Cited In (7)

• The stochastic heat equation: Feynman-Kac formula and intermittence.
• Parabolic stochastic PDEs on bounded domains with rough initial conditions: moment and correlation bounds
• Feynman-Kac formula for iterated derivatives of the parabolic Anderson model
• Spatial asymptotic of the stochastic heat equation with compactly supported initial data
• Some recent progress on stochastic heat equations
• Spatial ergodicity for SPDEs via Poincaré-type inequalities
• Nonlinear stochastic heat equation driven by spatially colored noise: moments and intermittency

This page was built for publication: Two-point correlation function and Feynman-Kac formula for the stochastic heat equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q526993)