Feynman-Kac formula for heat equation driven by fractional white noise

DOI10.1214/10-AOP547zbMath1210.60056arXiv0906.3076OpenAlexW2167470329MaRDI QIDQ624663

Jian Song, David Nualart, Yaozhong Hu

Publication date: 9 February 2011

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.3076

zbMATH Keywords

Hölder continuityFeynman-Kac formulachaos expansionabsolute continuityexponential integrabilityFracional noisestochastic heat equtions

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Initial-boundary value problems for second-order parabolic equations (35K20) Sample path properties (60G17) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Continuity and singularity of induced measures (60G30)

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Cites Work

• Feynman-Kac formula for the heat equation driven by fractional noise with Hurst parameter \(H < 1/2\)
• Skorohod integration and stochastic calculus beyond the fractional Brownian scale
• Stochastic heat equation driven by fractional noise and local time
• Almost sure exponential behavior of a directed polymer in a fractional Brownian environment
• Wick calculus for nonlinear Gaussian functionals
• Spatially homogeneous random evolutions
• Forward, backward and symmetric stochastic integration
• Burgers' system with a fractional Brownian random force
• The Malliavin Calculus and Related Topics
• Functional Integration and Partial Differential Equations. (AM-109)
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