Hairer in his spdes notes on pg.6, says that GFF is the stationary solution of $u_{t}(z)=\Delta u(z)+\xi(z,t)$, where $\xi$ is the space-time white noise $$\xi(x,t)=\sum \sqrt{\lambda_{k}} B_{k}(t)e_{k}(x)$$ for iid Brownian motions $B_{k}$ and L2 basis $e_{k}$. So that means we take $$u(x,t)=\Delta^{-1}\xi(x,t). $$ and that at each fixed time it is a GFF $$h(x)=\sum \frac{1}{\sqrt{\lambda_{k}}} B_{k}(t)e_{k}(x).$$

In many of the standard spde textbooks, we can find existence and uniqueness of invariant measure for parabolic pdes (eg. using the Bismut-Elworthy-Li formula). But I want to know if for SHE we have stronger results eg. on the rate.

Q: Does SHE in a bounded domain with zero boundary converge to a steady state? So if $u(x,0)=GFF$ or $=0$, do we have some asymptotic results? Any rates? What is the largest function space over which it makes sense to take limits?

In Walsh's spdes book pg.418 there is a computation for SHE on infinite domains with $d\geq 3$ showing that one obtains the Green function covariance. But is there a clean treatment for bounded domains, at least for reference purposes.

Weak convergence

First we show that covariances agree. For bounded domains D the formula is $$u(x,t)=e^{t\Delta }u(x,0)+\int_{[0,t]}\int_{D}H(t-s,x-y)dW(s,y),$$

where the second term is a Wiener integral with Heat kernel H for domain D. We will compute the covariance for the bounded domain for zero initial data and $\xi(x,t):=\sum B_{k}(t) e_{k}(x)$. We have $$u(x,t)=\int_{[0,t]}\int_{D}H(t-s,x-y)dW(s,y)$$

$$=\sum_{k\geq 1}\int_{0}^{t}e^{-\lambda_{k}(t-s)}dB_{k}(s) e_{k}(x).$$

Therefore, by Ito isometry we indeed obtain the Green function:

$$E[u(t,x)u(t,y)]=\frac{1}{2}\sum_{k\geq 1}\frac{e_{k}(x)e_{k}(y)}{\lambda_{k}}(1-e^{-\lambda_{k}t})\to G(x,y).$$

Function space weak limit We have that the SHE $u\in C^{-\varepsilon}(\mathbb{R}_{+},D)$ and the GFF $h\in H^{-\varepsilon}(D)$ for all $\varepsilon>0$. By Morrey's inequality $$ H^{2}(D)\subset C^{0,\varepsilon}(D)=C^{\varepsilon}(D), $$ where $H^{2}(D)$ is the Sobolev space where second weak derivatives are also square integrable and so we also have $H^{2}(D)\subset H^{\varepsilon}(D)$ for $\varepsilon\leq 2$. So we will work with functions $f\in H^{2}(D)$.

By the covariance computation above we also obtain $$\left \langle u(\cdot,t),f \right\rangle_{H^{2}} \stackrel{law}{\to} \left \langle h(\cdot),f \right\rangle_{H^{2}}.$$

  • $\begingroup$ Is the question clear? Please let me know if I can improve it in any way. Because I am only starting out in SPDEs, I am not sure how difficult this question is. $\endgroup$ – Thomas Kojar Jun 27 '18 at 18:58

Your Answer

By clicking "Post Your Answer", you acknowledge that you have read our updated terms of service, privacy policy and cookie policy, and that your continued use of the website is subject to these policies.

Browse other questions tagged or ask your own question.