English

Intermittency for the wave and heat equations with fractional noise in time

Probability 2016-03-31 v2

Abstract

In this article, we consider the stochastic wave and heat equations driven by a Gaussian noise which is spatially homogeneous and behaves in time like a fractional Brownian motion with Hurst index H>1/2H>1/2. The solutions of these equations are interpreted in the Skorohod sense. Using Malliavin calculus techniques, we obtain an upper bound for the moments of order p2p\geq2 of the solution. In the case of the wave equation, we derive a Feynman-Kac-type formula for the second moment of the solution, based on the points of a planar Poisson process. This is an extension of the formula given by Dalang, Mueller and Tribe [Trans. Amer. Math. Soc. 360 (2008) 4681-4703], in the case H=1/2H=1/2, and allows us to obtain a lower bound for the second moment of the solution. These results suggest that the moments of the solution grow much faster in the case of the fractional noise in time than in the case of the white noise in time.

Keywords

Cite

@article{arxiv.1311.0021,
  title  = {Intermittency for the wave and heat equations with fractional noise in time},
  author = {Raluca M. Balan and Daniel Conus},
  journal= {arXiv preprint arXiv:1311.0021},
  year   = {2016}
}

Comments

Published at http://dx.doi.org/10.1214/15-AOP1005 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)