Gaussian estimates for the density of the non-linear stochastic heat equation in any space dimension
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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.
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Cited in
(20)- Optimal lower bounds on hitting probabilities for stochastic heat equations in spatial dimension \(k \geq 1\)
- Exponential divergence estimates and heat kernel tail.
- Optimal Gaussian density estimates for a class of stochastic equations with additive noise
- Gaussian fluctuations of a nonlinear stochastic heat equation in dimension two
- Approximations for a solution to stochastic heat equation with stable noise
- On the density of the supremum of the solution to the linear stochastic heat equation
- Density estimates for the solutions of backward stochastic differential equations driven by Gaussian processes
- Gaussian density estimates for solutions to quasi-linear stochastic partial differential equations
- Talagrand concentration inequalities for stochastic heat-type equations under uniform distance
- Density analysis of non-Markovian BSDEs and applications to biology and finance
- Gaussian estimates for a heat equation on a network
- Asymptotic behavior of the density in a parabolic SPDE
- Positivity and lower bounds for the density of Wiener functionals
- Heat equation in a multidimensional domain with a general stochastic measure
- Density analysis of BSDEs
- Hölder continuity of solutions to the Dirichlet problem for SPDEs with spatially correlated noise
- Moderate deviations for a stochastic heat equation with spatially correlated noise
- A nonlinear stochastic heat equation: Hölder continuity and smoothness of the density of the solution
- On the density of systems of non-linear spatially homogeneous SPDEs
- Gaussian upper density estimates for spatially homogeneous SPDEs
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