Logarithmic asymptotics of the densities of SPDEs driven by spatially correlated noise

DOI10.1007/978-3-319-11292-3_16MaRDI QIDQ5374170zbMATH OpenOpenAlexFDO

Authors André Süss, Marta Sanz-Solé

Publication date 9 April 2018

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.1257

zbMATH Keywords

large deviation principlelogarithmic estimates of densitiesMalliavin calculusstochastic heat equationstochastic partial differential equationsstochastic wave equationtopological supportVaradhan estimates

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: We consider the family of stochastic partial differential equations indexed by a parameter $epsin(0,1]$, �egin{equation*} Lu^{eps}(t,x) = epssigma(u^eps(t,x))dot{F}(t,x)+b(u^eps(t,x)), end{equation*} $(t,x)in(0,T]imesRd$ with suitable initial conditions. In this equation, $L$ is a second-order partial differential operator with constant coefficients, $sigma$ and $b$ are smooth functions and $dotF$ is a Gaussian noise, white in time and with a stationary correlation in space. Let $p^{e}p{s}_{t,x}$ denote the density of the law of $u^{e}ps(t,x)$ at a fixed point $(t,x)in(0,T]imesRd$. We study the existence of $li{m}_{epsdownarrow0}ep{s}^{2}log{p}^{e}p{s}_{t,x}(y)$ for a fixed $yinR$. The results apply to a class of stochastic wave equations with $din1,2,3$ and to a class of stochastic heat equations with $dge1$.

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Cited in

(4)

• Stability and genericity for SPDE's driven by spatially correlated noise
• Behaviour of the density in perturbed SPDE's with spatially correlated noise
• Random-field solutions to linear hyperbolic stochastic partial differential equations with variable coefficients
• ON THE ASYMPTOTICS OF THE DENSITY IN PERTURBED SPDE'S WITH SPATIALLY CORRELATED NOISE

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