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Article: Feynman-Kac formula for heat equation driven by fractional white noise
Title | Feynman-Kac formula for heat equation driven by fractional white noise |
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Authors | |
Keywords | Absolute Continuity Chaos Expansion Exponential Integrability Feynman-Kac Formula Fractional Noise Hölder Continuity Stochastic Heat Equations |
Issue Date | 2011 |
Publisher | Institute of Mathematical Statistics. The Journal's web site is located at http://www.imstat.org/aop/default.htm |
Citation | Annals of Probability, 2011, v. 39 n. 1, p. 291-326 How to Cite? |
Abstract | We establish a version of the Feynman-Kac formula for the multidimensional stochastic heat equation with a multiplicative fractional Brownian sheet. We use the techniques of Malliavin calculus to prove that the process defined by the Feynman-Kac formula is a weak solution of the stochastic heat equation. From the Feynman-Kac formula, we establish the smoothness of the density of the solution and the Hölder regularity in the space and time variables.We also derive a Feynman-Kac formula for the stochastic heat equation in the Skorokhod sense and we obtain the Wiener chaos expansion of the solution. © Institute of Mathematical Statistics, 2011. |
Persistent Identifier | http://hdl.handle.net/10722/180469 |
ISSN | 2021 Impact Factor: 2.288 2020 SCImago Journal Rankings: 3.184 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
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dc.contributor.author | Hu, Y | en_US |
dc.contributor.author | Nualart, D | en_US |
dc.contributor.author | Song, J | en_US |
dc.date.accessioned | 2013-01-28T01:38:30Z | - |
dc.date.available | 2013-01-28T01:38:30Z | - |
dc.date.issued | 2011 | en_US |
dc.identifier.citation | Annals of Probability, 2011, v. 39 n. 1, p. 291-326 | en_US |
dc.identifier.issn | 0091-1798 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/180469 | - |
dc.description.abstract | We establish a version of the Feynman-Kac formula for the multidimensional stochastic heat equation with a multiplicative fractional Brownian sheet. We use the techniques of Malliavin calculus to prove that the process defined by the Feynman-Kac formula is a weak solution of the stochastic heat equation. From the Feynman-Kac formula, we establish the smoothness of the density of the solution and the Hölder regularity in the space and time variables.We also derive a Feynman-Kac formula for the stochastic heat equation in the Skorokhod sense and we obtain the Wiener chaos expansion of the solution. © Institute of Mathematical Statistics, 2011. | en_US |
dc.language | eng | en_US |
dc.publisher | Institute of Mathematical Statistics. The Journal's web site is located at http://www.imstat.org/aop/default.htm | - |
dc.relation.ispartof | Annals of Probability | en_US |
dc.rights | © Institute of Mathematical Statistics, 2011. This article is available online at https://doi.org/10.1214/10-AOP547 | - |
dc.subject | Absolute Continuity | en_US |
dc.subject | Chaos Expansion | en_US |
dc.subject | Exponential Integrability | en_US |
dc.subject | Feynman-Kac Formula | en_US |
dc.subject | Fractional Noise | en_US |
dc.subject | Hölder Continuity | en_US |
dc.subject | Stochastic Heat Equations | en_US |
dc.title | Feynman-Kac formula for heat equation driven by fractional white noise | en_US |
dc.type | Article | en_US |
dc.identifier.email | Song, J: txjsong@hku.hk | en_US |
dc.identifier.authority | Song, J=rp01700 | en_US |
dc.description.nature | published_or_final_version | en_US |
dc.identifier.doi | 10.1214/10-AOP547 | en_US |
dc.identifier.scopus | eid_2-s2.0-78650296391 | en_US |
dc.identifier.hkuros | 220391 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-78650296391&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 39 | en_US |
dc.identifier.issue | 1 | en_US |
dc.identifier.spage | 291 | en_US |
dc.identifier.epage | 326 | en_US |
dc.identifier.isi | WOS:000286157200008 | - |
dc.publisher.place | United States | en_US |
dc.identifier.scopusauthorid | Hu, Y=7407117772 | en_US |
dc.identifier.scopusauthorid | Nualart, D=7004476842 | en_US |
dc.identifier.scopusauthorid | Song, J=55489918300 | en_US |
dc.identifier.issnl | 0091-1798 | - |