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Theory of Probability and Mathematical Statistics

ISSN 1547-7363(online) ISSN 0094-9000(print)

   
 
 

 

Temporal properties of the stochastic fractional heat equation with spatially-colored noise


Authors: Ran Wang and Yimin Xiao
Journal: Theor. Probability and Math. Statist. 110 (2024), 121-142
MSC (2020): Primary 60H15, 60G17, 60G22
DOI: https://doi.org/10.1090/tpms/1209
Published electronically: May 10, 2024
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Abstract: Consider the stochastic partial differential equation \begin{equation*} \frac {\partial }{\partial t}u_t(\boldsymbol {x})= -(-\Delta )^{\frac {\alpha }{2}}u_t(\boldsymbol {x}) +b\left (u_t(\boldsymbol {x})\right )+\sigma \left (u_t(\boldsymbol {x})\right ) \dot F(t, \boldsymbol {x}), \quad t\ge 0,\: \boldsymbol {x}\in \mathbb R^d, \end{equation*} where $-(-\Delta )^{\frac {\alpha }{2}}$ denotes the fractional Laplacian with power $\frac {\alpha }{2}\in (\frac 12,1]$, and the driving noise $\dot F$ is a centered Gaussian field which is white in time and has a spatial homogeneous covariance given by the Riesz kernel. We study the detailed behavior of the approximation of the temporal gradient $u_{t+{\varepsilon }}(\boldsymbol {x})-u_t(\boldsymbol {x})$ at any fixed $t > 0$ and $\boldsymbol {x}\in \mathbb R^d$, as ${\varepsilon }\downarrow 0$. As applications, we deduce Khintchin’s law of iterated logarithm, Chung’s law of iterated logarithm, and a result on the $q$-variations of the temporal process $\{u_t(\boldsymbol {x})\}_{ t \ge 0}$ of the solution, where $\boldsymbol {x}\in \mathbb R^d$ is fixed.


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Additional Information

Ran Wang
Affiliation: School of Mathematics and Statistics, Wuhan University, Wuhan, 430072, People’s Republic of China
Email: rwang@whu.edu.cn

Yimin Xiao
Affiliation: Department of Statistics and Probability, Michigan State University, East Lansing, Michigan 48824
MR Author ID: 256757
ORCID: 0000-0002-9474-1605
Email: xiaoy@msu.edu

Keywords: Stochastic heat equation, fractional Brownian motion, fractional Laplacian, law of iterated logarithm, $q$-variation
Received by editor(s): July 26, 2023
Accepted for publication: November 29, 2023
Published electronically: May 10, 2024
Additional Notes: The research of the second author was partially supported by NSF grant DMS-2153846.
Article copyright: © Copyright 2024 Taras Shevchenko National University of Kyiv