Isotropic Gaussian random fields on the sphere: regularity, fast simulation and stochastic partial differential equations
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stochastic partial differential equationsfast Fourier transformKolmogorov-Chentsov theoremsample differentiabilitystrong convergence ratesspectral Galerkin methodsisotropic Gaussian random fieldsspherical harmonic functionsKarhunen-Loève expansionsample Hölder continuity
Gaussian processes (60G15) Random fields (60G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Spherical harmonics (33C55) Sample path properties (60G17) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Rate of convergence, degree of approximation (41A25) Numerical methods for discrete and fast Fourier transforms (65T50)
Abstract: Isotropic Gaussian random fields on the sphere are characterized by Karhunen-Lo`{e}ve expansions with respect to the spherical harmonic functions and the angular power spectrum. The smoothness of the covariance is connected to the decay of the angular power spectrum and the relation to sample H"{o}lder continuity and sample differentiability of the random fields is discussed. Rates of convergence of their finitely truncated Karhunen-Lo`{e}ve expansions in terms of the covariance spectrum are established, and algorithmic aspects of fast sample generation via fast Fourier transforms on the sphere are indicated. The relevance of the results on sample regularity for isotropic Gaussian random fields and the corresponding lognormal random fields on the sphere for several models from environmental sciences is indicated. Finally, the stochastic heat equation on the sphere driven by additive, isotropic Wiener noise is considered, and strong convergence rates for spectral discretizations based on the spherical harmonic functions are proven.
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