Stochastic PDEs with multiscale structure

DOI10.1214/EJP.V17-1807MaRDI QIDQ456194zbMATH OpenOpenAlexWikidataFDO

Authors Martin Hairer, David Kelly

Publication date 23 October 2012

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1202.1775

zbMATH Keywords

homogenisationperiodic structuresstochastic PDEs

Mathematics Subject Classification ID

Homogenization in context of PDEs; PDEs in media with periodic structure (35B27) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: We study the spatial homogenisation of parabolic linear stochastic PDEs exhibiting a two-scale structure both at the level of the linear operator and at the level of the Gaussian driving noise. We show that in some cases, in particular when the forcing is given by space-time white noise, it may happen that the homogenised SPDE is not what one would expect from existing results for PDEs with more regular forcing terms.

Review text

The authors study the spatial homogenisation of parabolic, linear stochastic partial differential equations (SPDE) of the form NEWLINE\[NEWLINE du_{\varepsilon}(x,t)=\mathcal{L}_{\varepsilon}u_{\varepsilon}(x,t)dt+\sum_{k\in\mathbb{Z}}q_{k}\left(\frac{x}{\varepsilon}\right)e^{ikx}dW_{k}(t)\quad\text{on}\;[0,2\pi] NEWLINE\]NEWLINE with homogeneous Dirichlet boundary conditions, where NEWLINE\[NEWLINE \mathcal{L}_{\varepsilon}=\frac{1}{\varepsilon}b\left(\frac{x}{\varepsilon}\right)\partial_{x}+\frac{1}{2}\sigma^{2}\left(\frac{x}{\varepsilon}\right)\partial_{x}^{2} NEWLINE\]NEWLINE and \(b,\sigma\) are suitable smooth periodic functions on \([0,2\pi]\). Assuming uniform ellipticity of \(\sigma\) and the centering condition for \(b,\sigma\), it is shown that \(u_{\varepsilon}\) converges to solutions of appropriate SPDE with diffusion coefficients depending on the the behavior of \(q_{k}\). It is pointed out that, in general, the resulting limiting SPDE does not coincide with the intuitive guess based on the corresponding deterministic homogenisation problem.

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(12)

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