Stochastic Heat Equation with Multiplicative Fractional-Colored Noise
Probability
2009-06-24 v2
Abstract
We consider the stochastic heat equation with multiplicative noise in , where denotes the Wick product, and the solution is interpreted in the mild sense. The noise is fractional in time (with Hurst index ), and colored in space (with spatial covariance kernel ). We prove that if is the Riesz kernel of order , or the Bessel kernel of order , then the sufficient condition for the existence of the solution is (if ), respectively (if ), whereas if is the heat kernel or the Poisson kernel, then the equation has a solution for any . We give a representation of the -th order moment of the solution, in terms of an exponential moment of the "convoluted weighted" intersection local time of independent -dimensional Brownian motions.
Cite
@article{arxiv.0812.1913,
title = {Stochastic Heat Equation with Multiplicative Fractional-Colored Noise},
author = {Raluca Balan and Ciprian Tudor},
journal= {arXiv preprint arXiv:0812.1913},
year = {2009}
}