All Questions
Tagged with ap.analysis-of-pdes pr.probability
105 questions
5
votes
0
answers
412
views
Is it really interesting to prove well-posedness of unsolved SPDE?
Lots of nonlinear SPDE remained open for decades (especially the non-deterministic ones in higher dimensions because of the regularity of the noise) until Hairer's breakthrough (regularity structures),...
- 573
2
votes
0
answers
93
views
$\Phi_d^3$ SPDE
One of the first prototypes of a singular stochastic PDE is the $\Phi_d^4$ SPDE
$$\partial_t u=\Delta u-u^3+\xi,$$
where $\xi$ is space-time white noise. It is difficult to study because $u$ is ...
- 1,904
4
votes
0
answers
113
views
SPDE Renormalization
some SPDE (in higher dimensions) can only be interpreted in a "renormalised" sense. For example considering $\Phi_2^4$ on $\mathbb{R}_+\times \mathbb{T}^d$ the solution is defined as the ...
- 573
5
votes
1
answer
139
views
Dispersion of random walk with scaled step sizes
Let $Y_j$ be a sequence of independent Gaussian random variables with mean zero and unit variance ($\mathbb{E} Y_j = 0$ and $\mathbb{E} Y_j^2 = 1$) and let $\sigma:\mathbb{R}\to [1,2]$.
We define the ...
- 452
3
votes
0
answers
196
views
Towards Schauder estimates: smoothing effect of the semi-group generated by $\Delta+(-\Delta)^{1/2}$
Consider the semi-group $(P_r)_r$ generated by $\Delta+(-\Delta)^{1/2}:$ for a distribution $f$ let $P_rf:=p(r,\cdot)*f$ where $p(r,x):=\sum_{q \in \mathbb{Z}^d}e^{2\pi\mathrm{i}\langle q,x\rangle}e^{-...
- 573
2
votes
0
answers
136
views
Towards the KPZ: Wiener-Ito integral, Kolmogorov type criterion
Consider a space-time white noise $\xi$ and the heat semi-group $(P_r).$
The following Kolmogorov type criterion allows to construct modifications in Besov Space (Here we have a partition of unity $(\...
- 573
1
vote
0
answers
48
views
Rigorous analysis of phase transitions and universality in a non-linear model of interacting oscillators
Consider a system of interacting non-linear oscillators governed by the McKean-Vlasov equation:
$$\frac{\partial p(x,t)}{\partial t} = \frac{\partial}{\partial x}\left[\frac{\partial V(x)}{\partial x}...
user530766
5
votes
1
answer
205
views
Continuity dependence and convergence of the renormalized $\Phi^4_2$ model
This question is continuous for the one asked here: Local solutions of renormalized stochastic PDE but it was better to ask it separetely.
Again, we are interested in the local behavior of the $\Phi_2^...
- 573
4
votes
1
answer
211
views
Local solutions of renormalized stochastic PDE
To illustrate the problem consider the mild formulation of the $\Phi^4_2$ model on $[0,T]\times \mathbb{T}^d$: $$\phi=P_r\phi_0+\int_0^rP_{r-q}(-\phi^3(q))dq+Y_r \ \ \ \ \ \ (1)$$ where $(P_r)_{r \...
- 573
2
votes
0
answers
137
views
Holder-Besov space and time continuity
Let $\mathbb{T}^d$ be the $d$-dimensional torus, $\mathscr{S}:=C^\infty(\mathbb{T}^d)$ the Schwartz space, $\mathscr{S}'$ the space of tempered distributions.
We consider a dyadic partition of unity $(...
- 573
4
votes
0
answers
76
views
Regularity structures-paracontrolled distributions: do they always work for sub-critical SPDE?
Stochastic PDE could be solved using either regularity structures or paracontrolled distributions, as long it's sub-critical.
I was wondering if this was proven, that is every sub-critical SPDE could ...
- 573
3
votes
1
answer
251
views
Feynman–Kac formula for other operators
I recently came across the Feynman-Kac formula which states that given an open domain $\Omega\in\mathbb{R}^n$ and $f \in L^2(\Omega)$
where $x \in \Omega$ and $t > 0$, then
$e^{t\Delta_D}f(x) = ...
- 41
7
votes
2
answers
307
views
PDE for the probability of Brownian motion staying in an area (reference request)
I am looking for a (preferably some monograph) reference on the following fact:
$$
u ( t, x ) = \mathbb{P} \{ x + B_s \in A \ \text{for all} \ s \leq t \}
$$
satisfies the heat equation
$$
\frac{\...
- 620
2
votes
1
answer
131
views
Gradient flows and particle representations
I was looking into gradient flows and their particle representations, mostly in the context of probability.
A simple example of this is the continuity equation. Consider evolving a sample $x \sim \...
- 123
5
votes
1
answer
437
views
Elliptic PDEs in Finance
In mathematical finance, one often encounters parabolic PDEs typically through the Feynman-Kac representation theorem/formula. However, I'm curious are there interesting examples of Elliptic boundary ...
- 5,405
2
votes
0
answers
203
views
Time reversal of infinite-dimensional SDE
Consider the SDE $${\rm d}X_t=b(t,X_t) \, {\rm d}t+\sigma(t,X_t) \, {\rm d}W_t,\tag1$$ where $b:[0,T]\times V\to H$, $\sigma:[0,T]\times V\to\operatorname{HS}(U_0,H)$, $$V\subseteq H\subseteq V^\ast\...
- 167
0
votes
1
answer
54
views
How is this interpolating curve well-defined in the minimizing movement scheme?
Let $\Omega$ be a compact domain of $\mathbb R^d$. Let $\mathcal P (\Omega)$ be the space of probability measures on $\Omega$. For each $\tau >0$, let $(\varrho^\tau_{(k)})_{k \in \mathbb N} \...
- 825
1
vote
0
answers
89
views
Heat kernel and estimates
In the article by Hairer-Labbe (A simple construction of the continuum
parabolic Anderson model on $\mathbb{R}^2$), they used the following "well known" fact (picture below) in holder spaces....
- 573
6
votes
0
answers
243
views
Global well posedness of $\phi^4_1$
We consider the $\phi^4_1$ model: $\partial_t\phi=\Delta\phi-\phi^3+\xi$ on $[0,T] \times \mathbb{R},$ where $\xi$ is a space time white noise.
I know how to solve this equation locally on the torus, ...
- 573
2
votes
0
answers
70
views
Reference request : A SPDE model
Let $\Omega_0\subset\mathbb R^d$ be open and bounded with sufficiently smooth boundary $\partial\Omega_0$. Let $O\subset \Omega_0$ be a random open subset. Set $\Omega:=\Omega_0\setminus O$. Consider ...
- 1,399
1
vote
0
answers
93
views
SPDE via fixed point argument and Young's theorem
Let $(P_r)_{r\geq 0}$ be a strongly continuous semi-group (not necessarily the heat kernel).
It is well known that we can prove local well-posedness of a few SPDE using a fixed point argument: Young's ...
- 573
1
vote
1
answer
433
views
Derivative of Wasserstein distance $W^p_p$ along solutions of the continuity equation (contradicting statements in different sources)
Let $(\rho^{(i)}_t,{\bf v}^{(i)}_t)$ for $i = 1,2$ be two solutions of the continuity equation $$\partial \rho^{(i)}_t + \nabla\cdot \left({\bf v}^{(i)}_t \rho^{(i)}_t\right) = 0 \label{1}\tag{1}$$ on ...
- 730
3
votes
2
answers
403
views
Functional integral formulas for the wave equation and other hyperbolic PDEs
The Feynman–Kac formula provides a functional (Wiener) integral representation of the solution $u$ to the heat equation
\begin{align*}
\partial_t u &= \frac{1}{2}\Delta_x u,\\
u(0,x) &= ...
- 11.8k
2
votes
1
answer
228
views
When is a stationary measure of a Markov chain "exponentially localized"?
Here exponentially localized can be thought in a non-rigorous manner as a measure that is mostly supported on a sparse number of nodes.
Some intuition can gained by thinking about a diffusion process, ...
- 2,281
2
votes
0
answers
94
views
Convergence of Green's function of fractional heat equation
For the fractional heat equation
\begin{equation} \partial_t u + (-\Delta^s)u=0 \text{ in } \mathbb{R}^d \times (0,\infty),
\end{equation} where $s \in (0,1)$ where the fractional laplacian is the ...
- 21
2
votes
1
answer
483
views
What is an analogous version of the Ornstein–Uhlenbeck process on Riemannian manifolds?
Recall that the Ornstein–Uhlenbeck (OU) process in $\mathbb{R}^d$ is defined by the following SDE,
$$
d Z_t=\frac{-1}{2} Z_t d t+d W_t, \quad t \geqslant 0
$$
where $\left(W_t\right)_{t \geqslant 0}$ ...
- 537
1
vote
1
answer
386
views
Role of verification theorems in stochastic optimal control?
I am currently working on the optimal control of certain classes of stochastic processes and I have difficulties understanding the roles of verification theorems.
My problem is the following: I am not ...
- 23
0
votes
0
answers
34
views
Inequalities for generalized variance
Let $(X, \mu)$ be a measured space with $\mu(X) = 1$.
Given $\phi \in L^\infty(X, \mu)$, $\phi > 0$, let me define, for $\alpha \geq 1$, $\beta > 0$, the quantity
$$
I(\alpha, \beta) = \left(\...
- 1,263
2
votes
1
answer
698
views
Reference for representation of heat equation with Neumann boundary condition on smooth domain using reflected Brownian motion
We know that the solution of the heat equation $\partial_tu=\frac 12\Delta u$ with Dirichlet boundary condition $u\rvert_{\partial\Omega}=g$ is $u(t,x)=\mathbb{E}[g(B_\tau)\mid B_t=x]$, with $\tau$ ...
- 715
1
vote
0
answers
166
views
Wiener Integral and its distribution
Let $(\Omega, \mathcal{A}, \mathbb{P})$ be a probability space.
Let $(W(t))_{x \in \mathbb{R}^d}$ be a Gaussian random field.
Then, we can define Wiener integral $\int_{\mathbb{R}^d} f(\xi) \, dW(\xi)$...
- 193
4
votes
0
answers
134
views
Weighted logarithmic Sobolev inequality
$\DeclareMathOperator\Ent{Ent}$The usual logarithmic Sobolev inequality says that
$$
\Ent_\mu(f^2)\leq C\int |\nabla f|^2 d\mu
$$
where the entropy
$$
\Ent_\mu(f^2)=\int f^2 \log\left( \frac{f^2}{\int ...
- 5,380
3
votes
1
answer
466
views
Equivalence between two fractional Sobolev spaces
For $s \in (0,1)$, we consider the spectral fractional Laplacian
\begin{align}
(-\Delta)^{-s}u = \sum_{k=1}^{\infty}\lambda_k^{-s}(\phi_k,u)_{L^2}\phi_k
\end{align}
where
\begin{align*}
\begin{cases}
...
- 161
1
vote
0
answers
152
views
Poisson Kernel and solution formula for fractional elliptic problem
$$
k (-\Delta)^s u + u = 0, \qquad x \in U, \\
u(x) = f(x), \qquad x \in \mathbb R^n \setminus U,
$$
with $f \in L^\infty(\mathbb R^n)$, $k>0$, and $(-\Delta)^s$ is the singular integral ...
- 839
3
votes
0
answers
158
views
$L^\infty-L^\infty$ bounds for heat semigroups constructed from the Dirichlet Laplacian
Let $D \subset \mathbb{R}^n$ be a bounded domain with Lipschitz boundary, and let $\Delta$ be the Laplace operator with the Dirichlet boundary condition on $D$. Let $e^{t\Delta}$ be the corresponding ...
- 1,407
1
vote
0
answers
248
views
Regularity of Fokker-Planck equation
Consider solutions $\rho_{1,2}$ of the Fokker-Planck equation
$$\begin{cases}\partial_t \rho_i = \Delta \rho_i + \nabla \cdot (\rho_i \nabla \Phi_{1,2})\\
\rho_i(0,\cdot) = \rho^0 \end{cases}$$
for ...
- 223
2
votes
0
answers
138
views
Update on Viskov's paper on random processes, Lagrange inversion, and the Heisenberg–Weyl algebra
"A Random Walk with a Skip-Free Component and the Lagrange Inversion Formula" by Viskov presents connections among Lagrange inversion and measures of random Lévy processes. The freely ...
- 10.5k
2
votes
1
answer
136
views
Does higher volatility of SDE imply lower probability of staying positive?
Given two SDEs $X^1$, $X^2$ :
$$X^i_t=1+t+\int_0^t\sigma_i(s)dW_s,\quad \forall t\ge 0,$$
where $\sigma_i:\mathbb R_+\to [1/2,1]$ are non-decreasing s.t. $\sigma_1(t)\le \sigma_2(t)$ for all $t\ge 0$....
- 1,334
0
votes
1
answer
162
views
Iterated integrations by parts using the fractional Laplacian
Let $u \in C^\infty_c(\mathbb{\Omega})$ and $\varphi$ be an eigenfunction of the fractional Laplacian $(-\Delta)^s$ in $\Omega$ with eigenvalue $\lambda$. In what sense, if any, is it true that
$$\...
- 839
2
votes
0
answers
86
views
Continuity of the entropy of the solution of a parabolic PDE at $t=0$
Consider the following initial value problem for a parabolic PDE :
$$\begin{cases}
\textrm{div}\big(A\,\nabla u(t,x) + b(x)\, u(t,x)\big) \,=\,\partial_t u(t,x) \quad x\in\mathbb R^d\,,\ t>0 \\[4pt]...
- 311
2
votes
1
answer
268
views
Existence of the derivative of functionals of Brownian motion
Let $v(x, t) = \mathbb E [f(x + W_t)]$ with a Brownian motion $W$. Then, Malliavin calculus leads to the sensitivity in $x$:
$$\partial_x v(x, t) = \frac{1}{t} \mathbb E [ f(x + W_t) W_t ].$$
I am ...
- 1,399
3
votes
0
answers
145
views
Density of invariant measure of stochastic differential equation
I have a question: is it possible that an SDE has a "nice" density, but its invariant measure does not have a "nice" density? I asked this question at math.stackexchange but ...
- 931
0
votes
0
answers
173
views
Lemma 3.10 of paper 'Periodic nonlinear Schrodinger Equation and Invariant measure' by J.Bourgain
I am reading a paper 'Periodic nonlinear Schrodinger Equation and Invariant measure' by J.Bourgain.
And I have a questions in the proof of lemma 3.10.
Please click the paper title for the link.
The ...
- 239
2
votes
1
answer
171
views
Mean value formula for fractional heat equation
For the solution $u(z) = u(t,x)$ of the heat equation $u_t -\Delta u = 0$ we have
$$u(z_0) = \int_{\Omega_r(z_0)}u(z) K_r(z_0-z) dz,$$
where $$\Omega_r(z_0) = \left\{z \in \mathbb{R}^{N+1}: \Gamma(z_0-...
- 161
4
votes
1
answer
387
views
Asymptotic formula for fractional Laplacian
For the solution of
$$
\begin{cases}
\lambda u^\epsilon - \frac{\epsilon^2}{2} \Delta u^\epsilon = 0 &\text{in } \Omega \\
u^\epsilon=1 & \text{on } \partial \Omega
\end{cases}
$$
Varadhan ...
- 303
1
vote
0
answers
526
views
Martingales associated with heat equation
I am trying to learn the connection between Brownian motion and heat equation (in the spirit of Feynman-Kac, for example, here). I read (Michael E. Taylor's PDE book, Volume II, Chapter 11, ...
- 1,407
2
votes
0
answers
52
views
Reference Request: Dirichlet operators with singular coefficients
Let $d\geq 2$, $\delta \in (0,1)$ and let $\mathcal{L}_{d,\delta}$ be the second order differential operator defined by
\begin{align*}
\mathcal{L}_{d,\delta}(f)(x) = \Delta(f)(x)-\delta \|x\|^{\delta-...
- 778
8
votes
4
answers
2k
views
How to interpret couplings in optimal transport?
Let $\mu$ and $\nu$ be two measures on some (at least measurable) space $X$. In optimal transport theory, Monge's problem to
$$ \text{minimize} \quad \int c(x,T(x))\mu(dx) \quad \text{over measurable ...
- 309
1
vote
0
answers
102
views
Dislocations and Random Matrix Theory
Does anyone have a good reference book that works as a good starting point for an analyst to learn about the connection between Random Matrix Theory and Dislocations? Thank you for your help.
By ...
- 595
2
votes
0
answers
146
views
Exit time for Brownian motion with stochastic barriers
I am interested in the expected exit time of a one-dimensional Brownian particle from a stochastically evolving interval as follows.
Context:
If $L_t$ and $R_t$ denote the distance to the left and ...
- 91
2
votes
2
answers
155
views
Existence of classical solution for a parabolic equation without Hölder continuity in time for its coefficients
Consider equation
$$\partial_t u = \partial_x u + \partial_{xx} u - c u + f, \hbox{ on } (t, x) \in (0, \infty) \times \mathbb R$$
with initial condition $u(0, x) = g(x).$
Suppose that $c(t, x)$ and $...
- 1,399