Stochastic heat equation with rough dependence in space
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Publication:682274
DOI10.1214/16-AOP1172zbMATH Open1393.60066arXiv1505.04924MaRDI QIDQ682274FDOQ682274
Authors: Yaozhong Hu, Jingyu Huang, Khoa Lê, David Nualart, S. Tindel 
Publication date: 14 February 2018
Published in: The Annals of Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1505.04924
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fractional Brownian motionFeynman-Kac formulastochastic heat equationWiener chaos expansionintermittency
Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)
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