Macroscopic multi-fractality of Gaussian random fields and linear stochastic partial differential equations with colored noise

DOI10.1007/S10959-022-01198-6MaRDI QIDQ6161599zbMATH OpenOpenAlexWikidataFDO

Authors Jaeyun Yi

Publication date 5 June 2023

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10959-022-01198-6

zbMATH Keywords

colored noiseGaussian random fieldmacroscopic Hausdorff dimensionmulti-fractalstochastic heat equationsstochastic wave equations

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) White noise theory (60H40) Processes in random environments (60K37)

Review text

The author of this paper considers the linear stochastic heat and wave equations with geographically and temporally coupled generalised Gaussian noise. The author demonstrates that the solutions to the linear stochastic partial differential equations (SPDEs) display tall peaks on macroscopic scales, indicating that they are macroscopically multi-fractal, under the supposition that the homogeneous spatial correlation \(f\) meets some modest criteria. The author also calculates the macroscopic Hausdorff dimension of the peaks for vanishing correlation Gaussian random fields, and then uses this finding to solve the linear SPDEs. Additionally, the linear SPDEs' spatio-temporal multi-fractality is investigated.

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Cited in

(5)

• A macroscopic multifractal analysis of parabolic stochastic PDEs
• On the large-scale structure of the tall peaks for stochastic heat equations with fractional Laplacian
• Dynamical fractional and multifractal fields
• Fractal geometry of the parabolic Anderson model in 2D and 3D with white noise potential
• Macroscopic Hausdorff dimension of the level sets of the Airy processes

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