Intermittency and multifractality: a case study via parabolic stochastic PDEs

DOI10.1214/16-AOP1147MaRDI QIDQ682245zbMATH OpenOpenAlexFDO

Authors D. Khoshnevisan, Kunwoo Kim, Y. Xiao

Publication date 14 February 2018

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

Full work available at URL https://arxiv.org/abs/1503.06249, https://projecteuclid.org/euclid.aop/1511773662

zbMATH Keywords

stochastic partial differential equationsintermittencymultifractalitymacroscopic/large-scale Hausdorff dimension

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Processes in random environments (60K37)

Abstract: Let $xi$ denote space-time white noise, and consider the following stochastic partial differential equations: (i) $$, started identically at one; and (ii) $$, started identically at zero. It is well known that the solution to (i) is intermittent, whereas the solution to (ii) is not. And the two equations are known to be in different universality classes. We prove that the tall peaks of both systems are multifractals in a natural large-scale sense. Some of this work is extended to also establish the multifractal behavior of the peaks of stochastic PDEs on $mathbf{R}_{+}imesmathbf{R}^d$ with $dge2$. G. Lawler has asked us if intermittency is the same as multifractality. The present work gives a negative answer to this question. As a byproduct of our methods, we prove also that the peaks of the Brownian motion form a large-scale monofractal, whereas the peaks of the Ornstein--Uhlenbeck process on $mathbfR$ are multifractal. Throughout, we make extensive use of the macroscopic fractal theory of M.T. Barlow and S. J. Taylor (1989, 1992). We expand on aspects of the Barlow-Taylor theory, as well.

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Cited in

(50)

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• Dissipation in parabolic SPDEs
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• Almost sure growth of integrated supOU processes
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• Sojourn time dimensions of fractional Brownian motion
• Spatial asymptotics for the Feynman-Kac formulas driven by time-dependent and space-fractional rough Gaussian fields with the measure-valued initial data
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• Regularity of an abstract Wiener integral
• Matching upper and lower moment bounds for a large class of stochastic PDEs driven by general space-time Gaussian noises

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