Given the heat equation:


with the boundary conditions:


and a Neumann boundary condition of the kind:


where $\nu(t)$ is a stochastic variable with gaussian distribution ${\sigma=\sigma_0,\mu=0}$ and $C$ a constant, what is the distribution of the $\Phi(L,t)$?

Thanks in advance

  • $\begingroup$ It's not clear to me what you mean by "$\nu(t)$ is a stochastic variable". You have to specify what the covariance is between $\nu(t)$ and $\nu(s)$. In his answer, Jon has interpreted $\nu(t)$ to be Gaussian white noise. Is this what you meant? $\endgroup$ – Paul Tupper Feb 13 '12 at 18:55
  • $\begingroup$ @Paul Tupper: Yes, the Jon's interpretation is correct. $\endgroup$ – Riccardo.Alestra Feb 14 '12 at 10:43

In this case $\Phi(x,t)$ is itself a stochastic process and this equation should be rewritten in a proper way. There is some literature as this and a more general theory of stochastic pde due to John Walsh (a tutorial can be found here). In this case, a general solution can be written down using the fundamental solution of the heat equation given by

$$\Delta(x,t)=\frac{1}{\sqrt{4\pi k^2 t}}e^{-\frac{x^2}{4k^2 t}}$$

and then one has

$$\Phi(x,t)=\int dx'\Phi_0(x')\Delta(x-x',t)+k^2\int dt'[\nu(t')+C]\Delta(x,t-t')$$

and we can easily compute

$$\langle\Phi(x,t)\rangle = \int dx'\Phi_0(x')\Delta(x-x',t)+k^2C\int dt'\Delta(x,t-t')$$

$$\langle\Phi(x,t)\Phi(y,s)\rangle=\int dx'\Phi_0(x')\Delta(x-x',t)\int dy'\Phi_0(y')\Delta(y-y',s)+$$ $$k^2C\int dx'\Phi_0(x')\Delta(x-x',t)\int ds'\Delta(y,s-s')+$$ $$k^2C\int dt'\Delta(x,t-t')\int dy'\Phi_0(y')\Delta(y-y',s)+$$ $$k^4C^2\int dt'\Delta(x,t-t')\int ds'\Delta(x,s-s')+k^4\sigma^2_0\int dt'\Delta(x,t-t')\Delta(y,s-t')$$

where I used the fact that $\langle\nu(s)\nu(t)\rangle=\sigma^2_0\delta(t-s)$. It is interesting to note the simplest case $\Phi_0=0$ and $C=0$ producing immediately

$$\langle\Phi(x,t)\rangle = 0$$


$$\langle\Phi(x,t)\Phi(y,s)\rangle=k^4\sigma^2_0\int dt'\Delta(x,t-t')\Delta(y,s-t').$$

So, all higher order even correlation functions are given by products of the fundamental solution of the heat equation properly integrate in intermediate times.


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