Renormalisation in the presence of variance blowup
Probability
2024-12-23 v2
Abstract
We show that if one drives the KPZ equation by the derivative of a space-time white noise smoothened out at scale and multiplied by then, as , solutions converge to the Cole-Hopf solutions to the KPZ equation driven by space-time white noise. In the same vein, we also show that if one drives an SDE by fractional Brownian motion with Hurst parameter , smoothened out at scale and multiplied by then, as , solutions converge to an SDE driven by white noise. The mechanism giving rise to both results is the same, but the proof techniques differ substantially.
Keywords
Cite
@article{arxiv.2401.10868,
title = {Renormalisation in the presence of variance blowup},
author = {Martin Hairer},
journal= {arXiv preprint arXiv:2401.10868},
year = {2024}
}
Comments
Accepted version