Asymptotic expansion for the quadratic variations of the solution to the heat equation with additive white noise

Héctor Araya and Ciprian A. Tudor

Abstract

We consider the sequence of spatial quadratic variations of the solution to the stochastic heat equation with space-time white noise. This sequence satisfies a Central Limit Theorem. By using Malliavin calculus, we refine this result by proving the convergence of the sequence of densities and by finding the second-order term in the asymptotic expansion of the densities. In particular, our proofs are based on sharp estimates of the correlation structure of the solution, which may have their own interest.

Más información

Título de la Revista: STOCHASTICS AND DYNAMICS
Volumen: 21
Número: 2
Editorial: WORLD SCIENTIFIC PUBL CO PTE LTD
Fecha de publicación: 2021
Idioma: Inglés
URL: https://www.worldscientific.com/doi/abs/10.1142/S0219493721500106
DOI:

https://doi.org/10.1142/S0219493721500106

Notas: Artículo aparece en WOS, pero sistema no lo encuentra.