Lp-theory for the stochastic heat equation with infinite-dimensional fractional noise

Raluca M. Balan

Displaying similar documents to “Lp-theory for the stochastic heat equation with infinite-dimensional fractional noise”

α-time fractional brownian motion: PDE connections and local times

Erkan Nane, Dongsheng Wu, Yimin Xiao (2012)

ESAIM: Probability and Statistics

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For 0 < ≤ 2 and 0 < < 1, an -time fractional Brownian motion is an iterated process = {() = (()) ≥ 0} obtained by taking a fractional Brownian motion {() ∈ ℝ} with Hurst index 0 < < 1 and replacing the time parameter with a strictly -stable Lévy process {() ≥ 0} in ℝ independent of {() ∈ R}. It is shown that such processes have natural connections to partial differential equations and, when is a stable subordinator, can arise as scaling limit...

α-time fractional Brownian motion: PDE connections and local times

Erkan Nane, Dongsheng Wu, Yimin Xiao (2012)

ESAIM: Probability and Statistics

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-theory for the stochastic heat equation with infinite-dimensional fractional noise

Raluca M. Balan (2012)

ESAIM: Probability and Statistics

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In this article, we consider the stochastic heat equation $d u = (Δ u + f (t, x)) d t + \sum_{k = 1}^{\infty} g^{k} (t, x) δ β_{t}^{k}, t \in [0, T]$ , with random coefficients and , driven by a sequence () of i.i.d. fractional Brownian motions of index . Using the Malliavin calculus techniques and a -th moment maximal inequality for the infinite sum of Skorohod integrals with respect to (), we prove that the equation has a unique solution (in a Banach space of summability exponent ≥ 2), and this solution is Hölder continuous in both time and space.

Densité des orbites des trajectoires browniennes sous l’action de la transformation de Lévy

Jean Brossard, Christophe Leuridan (2012)

Annales de l'I.H.P. Probabilités et statistiques

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Let be a measurable transformation of a probability space $(E, ℰ, π)$ , preserving the measure. Let be a random variable with law . Call (⋅, ⋅) a regular version of the conditional law of given (). Fix $B \in ℰ$ . We first prove that if is reachable from -almost every point for a Markov chain of kernel , then the -orbit of -almost every point visits . We then apply this result to the Lévy transform, which transforms the Brownian motion into the Brownian motion || − , where is the local time at 0...

Semimartingale decomposition of convex functions of continuous semimartingales by brownian perturbation

Nastasiya F. Grinberg (2013)

ESAIM: Probability and Statistics

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In this note we prove that the local martingale part of a convex function of a -dimensional semimartingale = + can be written in terms of an Itô stochastic integral ∫()d, where () is some particular measurable choice of subgradient ∇ f ( x ) of at , and is the martingale part of . This result was first proved by Bouleau in [N. Bouleau, 292 (1981) 87–90]. Here we present a new treatment of the problem. We first prove the result for $\tilde{X} = X + ϵ B$ x10ff65; X = X + ϵB , > 0, where is...

Density of paths of iterated Lévy transforms of brownian motion

Marc Malric (2012)

ESAIM: Probability and Statistics

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The Lévy transform of a Brownian motion is the Brownian motion given by = sgn()d; call the Brownian motion obtained from by iterating times this transformation. We establish that almost surely, the sequence of paths ( → ) is dense in Wiener space, for the topology of uniform convergence on compact time intervals.

Density of paths of iterated Lévy transforms of Brownian motion

Marc Malric (2012)

ESAIM: Probability and Statistics

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Wiener integral for the coordinate process under the σ-finite measure unifying brownian penalisations

Kouji Yano (2011)

ESAIM: Probability and Statistics

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Wiener integral for the coordinate process is defined under the -finite measure unifying Brownian penalisations, which has been introduced by [Najnudel , 345 (2007) 459–466] and [Najnudel , 19. Mathematical Society of Japan, Tokyo (2009)]. Its decomposition before and after last exit time from 0 is studied. This study prepares for the author's recent study [K. Yano, 258 (2010) 3492–3516] of Cameron-Martin formula for the -finite measure.

Limit theorems for measure-valued processes of the level-exceedance type

Andriy Yurachkivsky (2011)

ESAIM: Probability and Statistics

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Let, for each ∈ , (, ۔) be a random measure on the Borel -algebra in ℝ such that E(, ℝ) < ∞ for all and let $\hat{ψ}$ (, ۔) be its characteristic function. We call the function $\hat{ψ}$ ( ,…, ; ,…, ) = $𝖤 \prod_{j = 1}^{l} \hat{ψ} (t_{j}, z_{j})$ of arguments ∈ ℕ, , … ∈ , , ∈ ℝ the of the measure-valued random function (MVRF) (۔, ۔). A general limit theorem for MVRF's in terms of covaristics is proved and...

A simple proof of the characterization of functions of low Aviles Giga energy on a ball via regularity

Andrew Lorent (2012)

ESAIM: Control, Optimisation and Calculus of Variations

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The Aviles Giga functional is a well known second order functional that forms a model for blistering and in a certain regime liquid crystals, a related functional models thin magnetized films. Given Lipschitz domain ⊂ ℝthe functional is $I_{} (u) = \frac{1}{2} \int_{Ω}^{- 1} {| 1 - | D u |}^{2} |^{2} + {| D^{2} u |}^{2} d z$ I ϵ ( u ) = 1 2 ∫ Ω ϵ -1 1 − Du 2 2 + ϵ D 2 u 2 d z wherebelongs to the subset of functions in $W_{0}^{2, 2} (Ω)$ W02,2(Ω) whose gradient (in the sense of trace) satisfies()· = 1 where is the inward pointing unit normal to at . In [1...

Asymptotic behavior of second-order dissipative evolution equations combining potential with non-potential effects

Hedy Attouch, Paul-Émile Maingé (2011)

ESAIM: Control, Optimisation and Calculus of Variations

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In the setting of a real Hilbert space $ℋ$ , we investigate the asymptotic behavior, as time goes to infinity, of trajectories of second-order evolution equations () + $\dot{u}$ () + (()) + (()) = 0, where is the gradient operator of a convex differentiable potential function : $ℋ \to ℝ$ ,: $ℋ \to ℋ$ is a maximal monotone operator which is assumed to be-cocoercive, and > 0 is a damping parameter. Potential and non-potential effects are associated...

Hydrodynamic limit of a d-dimensional exclusion process with conductances

Fábio Júlio Valentim (2012)

Annales de l'I.H.P. Probabilités et statistiques

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Fix a polynomial of the form () = + ∑2≤≤ =1 with (1) gt; 0. We prove that the evolution, on the diffusive scale, of the empirical density of exclusion processes on $𝕋^{d}$ , with conductances given by special class of functions, is described by the unique weak solution of the non-linear parabolic partial differential equation = ∑ ...

Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections

Romuald Elie, Idris Kharroubi (2014)

ESAIM: Probability and Statistics

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This paper is dedicated to the analysis of backward stochastic differential equations (BSDEs) with jumps, subject to an additional global constraint involving all the components of the solution. We study the existence and uniqueness of a minimal solution for these so-called constrained BSDEs with jumps a penalization procedure. This new type of BSDE offers a nice and practical unifying framework to the notions of constrained BSDEs presented in [S. Peng and M. Xu, (2007)] and BSDEs with...

Means in complete manifolds: uniqueness and approximation

Marc Arnaudon, Laurent Miclo (2014)

ESAIM: Probability and Statistics

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Let be a complete Riemannian manifold, ∈ ℕ and ≥ 1. We prove that almost everywhere on = ( ,, ) ∈ for Lebesgue measure in , the measure $μ (x) = N \sum_{k = 1}^{N} x_{k}$ μ ( x ) = 1 N ∑ k = 1 N δ x k has a unique–mean (). As a consequence, if = ( ,, ) is a -valued random variable with absolutely continuous law, then almost surely (()) has a unique –mean. In particular if ( ...