Stochastic Heat Equation with Multiplicative Fractional-Colored Noise
We consider the stochastic heat equation with multiplicative noise in ℝ + ×ℝ d , whose solution is interpreted in the mild sense. The noise is fractional in time (with Hurst index H ≥1/2), and colored in space (with spatial covariance kernel f ). When H >1/2, the equation generalizes the Itô-sens...
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Veröffentlicht in: | Journal of theoretical probability 2010, Vol.23 (3), p.834-870 |
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Hauptverfasser: | , |
Format: | Artikel |
Sprache: | eng |
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Zusammenfassung: | We consider the stochastic heat equation with multiplicative noise
in ℝ
+
×ℝ
d
, whose solution is interpreted in the mild sense. The noise
is fractional in time (with Hurst index
H
≥1/2), and colored in space (with spatial covariance kernel
f
). When
H
>1/2, the equation generalizes the Itô-sense equation for
H
=1/2. We prove that if
f
is the Riesz kernel of order
α
, or the Bessel kernel of order
α
<
d
, then the sufficient condition for the existence of the solution is
d
≤2+
α
(if
H
>1/2), respectively
d |
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ISSN: | 0894-9840 1572-9230 |
DOI: | 10.1007/s10959-009-0237-3 |