Path properties of the solution to the stochastic heat equation with L\'evy noise
| Autor: | Robert C. Dalang, Thomas Humeau, Carsten Chong |
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| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
Statistics and Probability
regularity stable noise 010103 numerical & computational mathematics 60H15 60G17 60G51 60G52 stochastic pdes Space (mathematics) 01 natural sciences integrals levy noise 010104 statistics & probability Mathematics - Analysis of PDEs Mathematics::Probability 0101 mathematics driven Mathematics irregularity Partial differential equation Stochastic process Applied Mathematics Multiplicative function Mathematical analysis cadlag modification White noise space Sobolev space sample path properties theorem Modeling and Simulation Bounded function Heat equation Mathematics - Probability |
| Popis: | We consider sample path properties of the solution to the stochastic heat equation, in $${\mathbb {R}}^d$$ or bounded domains of $${\mathbb {R}}^d$$ , 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 $$-\frac{d}{2}$$ . 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. |
| Databáze: | OpenAIRE |
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