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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References
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- L. Chen and K. Kim, Nonlinear stochastic heat equation driven by spatially colored noise: moments and intermittency, Acta Math. Sci. Ser. B. 39 (2019), no. 3, 645–668. MR 4066498
- Z.-Q. Chen and X. Zhang, Heat kernels and analyticity of non-symmetric jump diffusion semigroups, Probab. Theory Relat. Fields 165 (2016), no. 1, 267–312. MR 3500272
- R. C. Dalang, Extending martingale measure stochastic integral with applications to spatially homogeneous S.P.D.E.’s, Electron. J. Probab. 4 (1999), 1–29. MR 1684157
- R. C. Dalang and N. E. Frangos, The stochastic wave equation in two spatial dimensions, Ann. Probab. 26 (1998), no. 1, 187–212. MR 1617046
- R. C. Dalang, D. Khoshnevisan, and E. Nualart, Hitting probabilities for systems of non-linear stochastic heat equations in spatial dimension $k\ge 1$, Stoch. Partial Differ. Equ. Anal. Comput. 1 (2013), no. 1, 94–151. MR 3327503
- R. C. Dalang and L. Quer-Sardanyons, Stochastic integrals for SPDE’s: A comparison, Expo. Math. 29 (2011), no. 1, 67–109. MR 2785545
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- M. Foondun and D. Khoshnevisan, On the stochastic heat equation with spatially-colored random forcing, Trans. Amer. Math. Soc. 365 (2013), 409–458. MR 2984063
- M. Foondun, D. Khoshnevisan, and P. Mahboubi, Analysis of the gradient of the solution to a stochastic heat equation via fractional Brownian motion, Stoch. Partial Differ. Equ. Anal. Comput. 3 (2015), no. 2, 133–158. MR 3350450
- R. Herrell, R. Song, D. Wu, and Y. Xiao, Sharp space-time regularity of the solution to a stochastic heat equation driven by a fractional-colored noise, Stoch. Anal. Appl. 38 (2020), 747–768. MR 4112745
- J. Huang and D. Khoshnevisan, On the multifractal local behavior of parabolic stochastic PDEs, Electron. Commun. Probab. 22 (2017), 1–11. MR 3710805
- Z. M. Khalil and C. A. Tudor, On the distribution and $q$-variation of the solution to the heat equation with fractional Laplacian, Probab. Math. Statist. 39 (2019), no. 2, 315–335. MR 4053322
- D. Khoshnevisan, Analysis of stochastic partial differential equations, American Mathematical Soc., 2014. MR 3222416
- D. Khoshnevisan and M. Sanz-Solé, Optimal regularity of SPDEs with additive noise, Electron. J. Probab. 28 (2023), 1–31. MR 4668856
- D. Khoshnevisan, J. Swanson, Y. Xiao, and L. Zhang, Weak existence of a solution to a differential equation driven by a very rough fBm, Preprint available at arXiv:1309.3613v2, 2014.
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- J. Pospíšil and R. Tribe, Parameter estimates and exact variations for stochastic heat equations driven by space-time white noise, Stoch. Anal. Appl. 25 (2007), no. 3, 593–611. MR 2321899
- C. Qualls and H. Watanabe, An asymptotic $0$-$1$ behavior of Gaussian processes, Ann. Math. Stat. 42 (1971), no. 6, 2029–2035. MR 307317
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- E. M. Stein, Singular integrals and differentiability properties of functions, Princeton University Press, 1970. MR 290095
- M. Talagrand, Lower classes of fractional Brownian motion, J. Theor. Probab. 9 (1996), 191–213. MR 1371076
- C. A. Tudor and Y. Xiao, Sample path properties of the solution to the fractional-colored stochastic heat equation, Stoch. Dyn. 17 (2017), no. 1, 1750004. MR 3583991
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- R. Wang, Analysis of the gradient for the stochastic fractional heat equation with spatially-colored noise in $\mathbb R^d$, Discrete Contin. Dyn. Syst. B 29 (2024), no. 6, 2769–2785. MR 4729304
- R. Wang and S. Zhang, Decompositions of stochastic convolution driven by a white-fractional Gaussian noise, Front. Math. China 16 (2021), no. 4, 1063–1073. MR 4307364
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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