Stochastic heat equation driven by fractional noise and local time

DOI10.1007/S00440-007-0127-5zbMATH Open1152.60331arXiv0704.1824OpenAlexW2092630121MaRDI QIDQ957728FDOQ957728

Authors: Yaozhong Hu, David Nualart 

Publication date: 1 December 2008

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: The aim of this paper is to study the $d$-dimensional stochastic heat equation with a multiplicative Gaussian noise which is white in space and it has the covariance of a fractional Brownian motion with Hurst parameter $\mathrm{\%}Hin(0,1)$ in time. Two types of equations are considered. First we consider the equation in the It^{o}-Skorohod sense, and later in the Stratonovich sense. An explicit chaos development for the solution is obtained. On the other hand, the moments of the solution are expressed in terms of the exponential moments of some weighted intersection local time of the Brownian motion.

Full work available at URL: https://arxiv.org/abs/0704.1824

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Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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