Large Deviation Principle for the Fourth-order Stochastic Heat Equations with Fractional Noises

In this paper, we shall study a fourth-order stochastic heat equation driven by a fractional noise, which is fractional in time and white in space. We will discuss the existence and uniqueness of the solution to the equation. Furthermore, the regularity of the solution will be obtained. On the other hand, the large deviation principle for the equation with a small perturbation will be established through developing a classical method.

TRANSPORTATION COST-INFORMATION INEQUALITY FOR A STOCHASTIC HEAT EQUATION DRIVEN BY FRACTIONAL-COLORED NOISE

In this paper,we prove Talagrand’s T2 transportation cost-information inequality for the law of stochastic heat equation driven by Gaussian noise,which is fractional for a time variable with the Hurst index H∈(1/2,1),and is correlated for the spatial variable.The Girsanov theorem for fractional-colored Gaussian noise plays an important role in the proof.

THE LAW OF THE ITERATED LOGARITHM FOR SPATIAL AVERAGES OF THE STOCHASTIC HEAT EQUATION

Let u(t,x)be the solution to the one-dimensional nonlinear stochastic heat equation driven by space-time white noise with u(0,x)=1 for all x∈R.In this paper,we prove the law of the iterated logarithm(LIL for short)and the functional LIL for a linear additive functional of the form∫[0,R]u(t,x)dx and the nonlinear additive functionals of the form∫[0,R]g(u(t,x))dx,where g:R→R is nonrandom and Lipschitz continuous,as R→∞for fixed t>0,using the localization argument.

AN INTEGRATION BY PARTS FORMULA FOR STOCHASTIC HEAT EQUATIONS WITH FRACTIONAL NOISE

In this paper,we establish the integration by parts formula for the solution of fractional noise driven stochastic heat equations using the method of coupling.As an application,we also obtain the shift Harnack inequalities.

On the well-posedness for stochastic fourth-order Schrdinger equations

The influence of the random perturbations on the fourth-order nonlinear SchrSdinger equations,iut＋△^2u＋ε△u＋λ｜u｜^p-1u=ξ,（t,x）∈R^＋×R^n,n≥1,ε∈{-1,0,＋1},is investigated in this paper. The local well-posedness in the energy space H^2（R^n） are proved for p 〉n＋4/n＋2,and p≤2^#-1 if n≥5.Global existence is also derived for either defocusing or focusing L^2-subcritical nonlinearities.

SOME RECENT PROGRESS ON STOCHASTIC HEAT EQUATIONS

This article attempts to give a short survey of recent progress on a class of elementary stochastic partial differential equations (for example, stochastic heat equations) driven by Gaussian noise of various covariance structures. The focus is on the existence and uniqueness of the classical (square integrable) solution (mild solution, weak solution). It is also concerned with the Feynman-Kac formula for the solution;Feynman-Kac formula for the moments of the solution;and their applications to the asymptotic moment bounds of the solution. It also briefly touches the exact asymptotics of the moments of the solution.

NONLINEAR STOCHASTIC HEAT EQUATION DRIVEN BY SPATIALLY COLORED NOISE:MOMENTS AND INTERMITTENCY

In this article, we study the nonlinear stochastic heat equation in the spatial domain R^d subject to a Gaussian noise which is white in time and colored in space. The spatial correlation can be any symmetric, nonnegative and nonnegative-definite function that satisfies Dalang's condition. We establish the existence and uniqueness of a random field solution starting from measure-valued initial data. We find the upper and lower bounds for the second moment. With these moment bounds, we first establish some necessary and sufficient conditions for the phase transition of the moment Lyapunov exponents, which extends the classical results from the stochastic heat equation on Z^d to that on R^d.Then, we prove a localization result for the intermittency fronts, which extends results by Conus and Khoshnevisan [9] from one space dimension to higher space dimension. The linear case has been recently proved by Huang et al [17] using different techniques.

PRECISE MOMENT ASYMPTOTICS FOR THE STOCHASTIC HEAT EQUATION OF A TIME-DERIVATIVE GAUSSIAN NOISE

This article establishes the precise asymptotics Eu^m(t, x)(t → ∞ or m → ∞) for the stochastic heat equation ?u/?t(t, x) =1/2?u(t, x) + u(t, x)(t, x)?W/?t(t, x) with the time-derivative Gaussian noise W?/?t(t, x) that is fractional in time and homogeneous in space.

A Review of Wavelets Solution to Stochastic Heat Equation with Random Inputs

We consider a wavelet-based solution to the stochastic heat equation with random inputs. Computational methods based on the wavelet transform are analyzed for solving three types of stochastic heat equation. The methods are shown to be very convenient for solving such problems, since the initial and boundary conditions are taken into account automatically. The results reveal that the wavelet algorithms are very accurate and efficient.

ON THE NECESSARY AND SUFFICIENT CONDITIONS TO SOLVE A HEAT EQUATION WITH GENERAL ADDITIVE GAUSSIAN NOISE

In this note, we consider stochastic heat equation with general additive Gaussian noise. Our aim is to derive some necessary and sufficient conditions on the Gaussian noise in order to solve the corresponding heat equation. We investigate this problem invoking two differen t met hods, respectively, based on variance compu tations and on pat h-wise considerations in Besov spaces. We are going to see that, as anticipated, both approaches lead to the same necessary and sufficient condition on the noise. In addition, the path-wise approach brings out regularity results for the solution.

The Cauchy Problem for the Heat Equation with a Random Right Part from the Space <i>Sub_φ</i>(Ω)

The influence of random factors should often be taken into account in solving problems of mathematical physics. The heat equation with random factors is a classical problem of the parabolic type of mathematical physics. In this paper, the heat equation with random right side is examined. In particular, we give conditions of existence with probability, one classical solutions in the case when the right side is a random field, sample continuous with probability one from the space Subφ (Ω). Estimation for the distribution of the supremum of solutions of such equations is founded.

Moderate Deviations for Stochastic Heat Equation with Rough Dependence in Space

In this paper, we establish a moderate deviation principle for the stochastic heat equation driven by a Gaussian noise which is white in time and which has the covariance of a fractional Brownian motion with Hurst parameter H ∈(1/4, 1/2) in the space variable. The weak convergence approach plays an important role.

Asymptotic Distributions for Power Variation of the Solution to a Stochastic Heat Equation

Let u={u(t,x),t∈[0,T],x∈R}be a solution to a stochastic heat equation driven by a space-time white noise.We study that the realized power variation of the process u with respect to the time,properly normalized,has Gaussian asymptotic distributions.In particular,we study the realized power variation of the process u with respect to the time converges weakly to Brownian motion.

Transportation Inequalities for Stochastic Heat Equation with Rough Dependence in Space

In this paper,we prove a Talagrand’s T2 transportation cost-information inequality for the law of the nonlinear one-dimensional stochastic heat equation driven by a Gaussian noise,which is white in time and which has the covariance of a fractional Brownian motion with Hurst parameter H∈(1/4,1/2)in the space variable,on the continuous path space with respect to the weighted L2-norm.

Null Controllability for Some Systems of Two Backward Stochastic Heat Equations with One Control Force

Abstract The authors establish the null controllability for some systems coupled by two backward stochastic heat equations. The desired controllability result is obtained by means of proving a suitable observability estimate for the dual system of the controlled system.

Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations

Based on a recent result on linking stochastic differential equations on R^d to （finite-dimensional） Burger-KPZ type nonlinear parabolic partial differential equations, we utilize Galerkin type finite-dimensional approximations to characterize the path-independence of the density process of Girsanov transformation for the infinite-dimensionl stochastic evolution equations. Our result provides a link of infinite-dimensional semi-linear stochastic differential equations to infinite-dimensional Burgers-KPZ type nonlinear parabolic partial differential equations. As an application, this characterization result is applied to stochastic heat equation in one space dimension over the unit interval.

Solvability of Parabolic Anderson Equation with Fractional Gaussian Noise

This paper provides necessary as well as sufficient conditions on the Hurst parameters so that the continuous time parabolic Anderson model ∂u/∂t=1/2△+u˙W on[0,∞)×R^(d) with d≥1 has a unique randomfield solution,where W(t,x)is a fractional Brownian sheet on[0,∞)×Rd and formally ˙W=∂d+1/∂t+∂x_(1)…∂x_(d)=W(t,x).When the noise W(t,x) is white in time,our condition is both necessary and sufficient when the initial data u(0,x)is bounded between two positive constants.When the noise is fractional in time with Hurst parameter H_(0)>1/2,our sufficient condition,which improves the known results in the literature,is different from the necessary one.

One-dimensional heat equation with discontinuous conductance

We study a second-order parabolic equation with divergence form elliptic operator,having a piecewise constant diffusion coefficient with two points of discontinuity.Such partial differential equations appear in the modelization of diffusion phenomena in medium consisting of three kinds of materials.Using probabilistic methods,we present an explicit expression of the fundamental solution under certain conditions.We also derive small-time asymptotic expansion of the PDE’s solutions in the general case.The obtained results are directly usable in applications.

蒙特卡罗方法在解微分方程边值问题中的应用

介绍了蒙特卡罗方法的基本原理以及随机数的产生方法。基于蒙特卡罗方法的思想,结合有限差分方法,建立了求解微分方程边值问题的随机概率模型,并以第一类边界条件的拉普拉斯方程和一个给定初值及边界条件的非稳态热传导方程为数值算例,研究了蒙特卡罗方法在求解微分方程边值问题中的应用。结果表明:利用蒙特卡罗方法,不仅可以有效解决给定边界条件的微分方程,对于给定初值条件的微分方程,也可以从时域有限差分方程出发,采用蒙特卡罗方法进行求解。数值模拟和对误差的理论分析均表明,增加蒙特卡罗试验中的模拟粒子点数,可以提高计算结果的精度。

一类带动态边值条件的随机热力方程的吸引子

主要研究一类带动态边值条件的随机非线性热力方程.通过分析方程的特征,设置了相应的空间,然后建立方程在2类空间中的先验估计,最终证明了这个带动态边值条件的随机热力方程的随机吸引子的存在性.