Normal approximation of the solution to the stochastic heat equation with Levy noise

Given a sequence L & x2d9;epsilon of Levy noises, we derive necessary and sufficient conditions in terms of their variances sigma 2(epsilon) such that the solution to the stochastic heat equation with noise sigma(epsilon)-1L & x2d9;epsilon converges in law to the solution to the same equation with Gaussian noise. Our results apply to both equations with additive and multiplicative noise and hence lift the findings of Asmussen and Rosinski (J Appl Probab 38(2):482-493, 2001), Cohen and Rosinski (Bernoulli 13(1):195-210, 2007) for finite-dimensional Levy processes to the infinite-dimensional setting without making distributional assumptions on the solutions such as infinite divisibility. One important ingredient of our proof is to characterize the solution to the limit equation by a sequence of martingale problems. To this end, it is crucial to view the solution processes both as random fields and as cadlag processes with values in a Sobolev space of negative real order.

Stochastic partial differential equations driven by Lévy white noises

Thomas Marie Jean-Baptiste Humeau

We study various aspects of stochastic partial differential equations driven by Lévy white noise. This driving noise, which is a generalization of Gaussian white noise, can be viewed either as a generalized random process or as an independently scattered random measure. After unifying these approaches and establishing appropriate stochastic integral representations, we show that a necessary and sufficient condition for a Lévy white noise to have values in the space of tempered Schwartz distributions, is that the underlying Lévy measure have a positive absolute moment. In the case of a linear stochastic partial differential equation with a general differential operator and driven by a symmetric pure jump Lévy white noise, we show that when the mild solution is locally Lebesgue integrable, then it is equal to the generalized solution, and that a random field representation exists for the generalized solution if and only if the fundamental solution of the operator has certain integrability properties. In that case, we show that the random field representation is equal to the mild solution. For this purpose, a new stochastic Fubini theorem is proved. These results are applied to the linear stochastic heat and wave equations driven by a symmetric alpha-stable noise. We then study the non-linear stochastic heat equation driven by a general type of Lévy white noise, possibly with heavy tails and non-summable small jumps. Our framework includes in particular the alpha-stable noise. In the case of the equation on the whole space, we show that the law of the solution that we construct does not depend on the space variable. Then we show in various domains D that the solution u to the stochastic heat equation is such that t -> u(t,·) has a càdlàg version in a fractional Sobolev space of order r < -d /2. Finally, we show that the partial functions have a continuous version under some optimal moment conditions. In the alpha-stable case, we show that for the choices of alpha for which this moment condition is not satisfied, the sample paths of the partial functions are unbounded on any non-empty open subset.

EPFL2017

Path properties of the solution to the stochastic heat equation with Levy noise

Carsten Hao Ye Chong, Robert Dalang, Thomas Marie Jean-Baptiste Humeau

We consider sample path properties of the solution to the stochastic heat equation, in Rd or bounded domains of Rd, driven by a Levy space-time white noise. When viewed as a stochastic process in time with values in an infinite-dimensional space, the solution is shown to have a cadlag modification in fractional Sobolev spaces of index less than - Concerning the partial regularity of the solution in time or space when the other variable is fixed, we determine critical values for the Blumenthal-Getoor index of the Levy noise such that noises with a smaller index entail continuous sample paths, while Levy noises with a larger index entail sample paths that are unbounded on any non-empty open subset. Our results apply to additive as well as multiplicative Levy noises, and to light- as well as heavy-tailed jumps.

SPRINGER2019

Moments And Growth Indices For The Nonlinear Stochastic Heat Equation With Rough Initial Conditions

Le Chen, Robert Dalang

We study the nonlinear stochastic heat equation in the spatial domain R, driven by space-time white noise. A central special case is the parabolic Anderson model. The initial condition is taken to be a measure on R, such as the Dirac delta function, but this measure may also have noncompact support and even be nontempered (e.g., with exponentially growing tails). Existence and uniqueness of a random field solution is proved without appealing to Gronwall's lemma, by keeping tight control over moments in the Picard iteration scheme. Upper bounds on all pth moments (p >= 2) are obtained as well as a lower bound on second moments. These bounds become equalities for the parabolic Anderson model when p = 2. We determine the growth indices introduced by Conus and Khoshnevisan [Probab. Theory Related Fields 152 (2012) 681-701].

Inst Mathematical Statistics2015

Stochastic partial differential equations driven by Lévy white noises

Thomas Marie Jean-Baptiste Humeau

EPFL2017