A note on decompositions of the stochastic convolution driven by a white-fractional Gaussian noise

Ran Wang; Shiling Zhang

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arXiv · 1912.03684

A note on decompositions of the stochastic convolution driven by a white-fractional Gaussian noise

Ran Wang·Shiling Zhang

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Abstract

Let $u = \{u(t, x); (t,x)\in \mathbb R_+\times \mathbb R\}$ be the solution to a linear stochastic heat equation driven by a Gaussian noise, which is a Brownian motion in time and a fractional Brownian motion in space with Hurst parameter $H\in(0, 1)$. For any given $x\in \mathbb R$ (resp. $t\in \mathbb R_+$), we show a decomposition of the stochastic process $t\mapsto u(t,x)$ (resp. $x\mapsto u(t,x)$) as the sum of a fractional Brownian motion with Hurst parameter $H/2$ (resp. $H$) and a stochastic process with $C^{\infty}$-continuous trajectories. Some applications of those decompositions are discussed.

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Ran Wang, Shiling Zhang. 2019-12-08. A note on decompositions of the stochastic convolution driven by a white-fractional Gaussian noise. https://arxiv.org/abs/1912.03684

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