Stochastic heat equation with rough dependence in space
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Abstract: This paper studies the nonlinear one-dimensional stochastic heat equation driven by a Gaussian noise which is white in time and which has the covariance of a fractional Brownian motion with Hurst parameter 1/4 extless{}H extless{}1/2 in the space variable. The existence and uniqueness of the solution u are proved assuming the nonlinear coefficient is differentiable with a Lipschitz derivative and vanishes at 0. In the case of a multiplicative noise, that is the linear equation, we derive the Wiener chaos expansion of the solution and a Feynman-Kac formula for the moments of the solution. These results allow us to establish sharp lower and upper asymptotic bounds for the moments of the solution.
The authors consider a nonlinear one-dimensional stochastic partial differential equation driven by a noise \(\dot W = \frac{\partial^2 W}{\partial t \partial x}\) where \(W\) is a standard Brownian motion in time and a fractional Brownian motion with Hurst parameter \(H \in (\frac14,\frac12)\) in space. They get the existence and uniqueness of the solution for a differentiable coefficient \(\sigma\) with a Lipschitz derivative and \(\sigma(0)=0\). The uniqueness of mild solution is obtained using a truncation argument. The existence is proven taking approximations obtained by regularizing the noise and using a compactness argument. Once existence and uniqueness are obtained, they establish the Hölder continuity of the solution in both space and time variables. They also derive bounds for the moments of the solution.
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