Central limit theorems for spatial averages of the stochastic heat equation via Malliavin-Stein's method

DOI10.1007/S40072-021-00224-8MaRDI QIDQ6163563zbMATH OpenOpenAlexWikidataFDO

Authors Le Chen, D. Khoshnevisan, David Nualart, Fei Pu

Publication date 26 June 2023

Published in Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2008.02408

zbMATH Keywords

ergodicityMalliavin calculuscentral limit theoremStein's methodstochastic heat equation

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Central limit and other weak theorems (60F05)

Abstract: Suppose that ${u(t,,x)}_{t>0,xinmathbb{R}^d}$ is the solution to a $d$-dimensional stochastic heat equation driven by a Gaussian noise that is white in time and has a spatially homogeneous covariance that satisfies Dalang's condition. The purpose of this paper is to establish quantitative central limit theorems for spatial averages of the form $N^{-d}in{t}_{[0,N{]}^d}g(u(t,,x)),mathrmdx$, as $Nightarrowinfty$, where $g$ is a Lipschitz-continuous function or belongs to a class of locally-Lipschitz functions, using a combination of the Malliavin calculus and Stein's method for normal approximations. Our results include a central limit theorem for the {it Hopf-Cole} solution to KPZ equation. We also establish a functional central limit theorem for these spatial averages.

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Cited in

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• Gaussian fluctuation for spatial average of the stochastic pseudo-partial differential equation with fractional noise
• Central limit theorem for a fractional stochastic heat equation with spatially correlated noise
• Convergence of densities of spatial averages of the parabolic Anderson model driven by colored noise
• Gaussian fluctuations of a nonlinear stochastic heat equation in dimension two
• Gaussian fluctuations of spatial averages of a system of stochastic heat equations
• An almost sure central limit theorem for the stochastic heat equation
• Central limit theorems for nonlinear stochastic wave equations in dimension three
• Gaussian fluctuation for spatial average of super-Brownian motion
• A central limit theorem for the stochastic heat equation
• Feynman-Kac formula for iterated derivatives of the parabolic Anderson model
• Central limit theorem for Gibbs measures on path spaces including long range and singular interactions and homogenization of the stochastic heat equation

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