Gaussian estimates for the density of the non-linear stochastic heat equation in any space dimension

DOI10.1016/J.SPA.2011.08.013zbMATH Open1246.60089arXiv1010.2155OpenAlexW1970946682MaRDI QIDQ655331FDOQ655331

Authors: Eulalia Nualart, Lluís Quer-Sardanyons 

Publication date: 4 January 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In this paper, we establish lower and upper Gaussian bounds for the probability density of the mild solution to the stochastic heat equation with multiplicative noise and in any space dimension. The driving perturbation is a Gaussian noise which is white in time with some spatially homogeneous covariance. These estimates are obtained using tools of the Malliavin calculus. The most challenging part is the lower bound, which is obtained by adapting a general method developed by Kohatsu-Higa to the underlying spatially homogeneous Gaussian setting. Both lower and upper estimates have the same form: a Gaussian density with a variance which is equal to that of the mild solution of the corresponding linear equation with additive noise.

Full work available at URL: https://arxiv.org/abs/1010.2155

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zbMATH Keywords

Malliavin calculusstochastic heat equationspatially homogeneous Gaussian noiseGaussian density estimates

Mathematics Subject Classification ID

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

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Cited In (15)

• Heat equation in a multidimensional domain with a general stochastic measure
• Gaussian density estimates for solutions to quasi-linear stochastic partial differential equations
• Hölder continuity of solutions to the Dirichlet problem for SPDEs with spatially correlated noise
• Talagrand concentration inequalities for stochastic heat-type equations under uniform distance
• Density analysis of BSDEs
• Optimal Gaussian density estimates for a class of stochastic equations with additive noise
• Positivity and lower bounds for the density of Wiener functionals
• Density analysis of non-Markovian BSDEs and applications to biology and finance
• Asymptotic behavior of the density in a parabolic SPDE
• Gaussian estimates for a heat equation on a network
• Density estimates for the solutions of backward stochastic differential equations driven by Gaussian processes
• Approximations for a solution to stochastic heat equation with stable noise
• Moderate deviations for a stochastic heat equation with spatially correlated noise
• On the density of systems of non-linear spatially homogeneous SPDEs
• Exponential divergence estimates and heat kernel tail.

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