Weak convergence for the stochastic heat equation driven by Gaussian white noise

DOI10.1214/EJP.V15-792MaRDI QIDQ638320zbMATH OpenOpenAlexFDO

Authors Xavier Bardina, Maria Jolis, Lluís Quer-Sardanyons

Publication date 9 September 2011

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

Full work available at URL https://arxiv.org/abs/0907.2508, http://www.emis.de/journals/EJP-ECP/_ejpecp/viewarticle177b.html

zbMATH Keywords

weak convergencestochastic heat equationwhite noiseDonsker kernelstwo-parameter Poisson process

Mathematics Subject Classification ID

Random fields (60G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Abstract: In this paper, we consider a quasi-linear stochastic heat equation on $[0,1]$, with Dirichlet boundary conditions and controlled by the space-time white noise. We formally replace the random perturbation by a family of noisy inputs depending on a parameter $ninmathbbN$ such that approximate the white noise in some sense. Then, we provide sufficient conditions ensuring that the real-valued {it mild} solution of the SPDE perturbed by this family of noises converges in law, in the space $mathcalC([0,T]imes[0,1])$ of continuous functions, to the solution of the white noise driven SPDE. Making use of a suitable continuous functional of the stochastic convolution term, we show that it suffices to tackle the linear problem. For this, we prove that the corresponding family of laws is tight and we identify the limit law by showing the convergence of the finite dimensional distributions. We have also considered two particular families of noises to that our result applies. The first one involves a Poisson process in the plane and has been motivated by a one-dimensional result of Stroock, which states that the family of processes $nin{t}_0^t(-1{)}^{N(n^{2}s)}ds$, where $N$ is a standard Poisson process, converges in law to a Brownian motion. The second one is constructed in terms of the kernels associated to the extension of Donsker's theorem to the plane.

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• The complex Brownian motion as a strong limit of processes constructed from a Poisson process
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• Normal approximation of the solution to the stochastic heat equation with Lévy noise
• The Stratonovich heat equation: a continuity result and weak approximations
• Weak convergence for the fourth-order stochastic heat equation with fractional noises

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