English

Stochastic Heat Equation with Multiplicative Fractional-Colored Noise

Probability 2009-06-24 v2

Abstract

We consider the stochastic heat equation with multiplicative noise ut=1/2Δu+uW˙u_t={1/2}\Delta u+ u \diamond \dot{W} in \bR+×\bRd\bR_{+} \times \bR^d, where \diamond denotes the Wick product, and the solution is interpreted in the mild sense. The noise W˙\dot W is fractional in time (with Hurst index H1/2H \geq 1/2), and colored in space (with spatial covariance kernel ff). We prove that if ff is the Riesz kernel of order α\alpha, or the Bessel kernel of order α<d\alpha<d, then the sufficient condition for the existence of the solution is d2+αd \leq 2+\alpha (if H>1/2H>1/2), respectively d<2+αd<2+\alpha (if H=1/2H=1/2), whereas if ff is the heat kernel or the Poisson kernel, then the equation has a solution for any dd. We give a representation of the kk-th order moment of the solution, in terms of an exponential moment of the "convoluted weighted" intersection local time of kk independent dd-dimensional Brownian motions.

Keywords

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}
}
R2 v1 2026-06-21T11:50:18.304Z