A Feynman-Kac approach for the spatial derivative of the solution to the Wick stochastic heat equation driven by time homogeneous white noise

Hyun-Jung Kim; Ramiro Scorolli

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arXiv · 2112.11051

A Feynman-Kac approach for the spatial derivative of the solution to the Wick stochastic heat equation driven by time homogeneous white noise

Hyun-Jung Kim·Ramiro Scorolli

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Abstract

We consider the (unique) mild solution $u(t,x)$ of a 1-dimensional stochastic heat equation on $[0,T]\times\mathbb R$ driven by time-homogeneous white noise in the Wick-Skorokhod sense. The main result of this paper is the computation of the spatial derivative of $u(t,x)$, denoted by $\partial_x u(t,x)$, and its representation as a Feynman-Kac type closed form. The chaos expansion of $\partial_x u(t,x)$ makes it possible to find its (optimal) H\"older regularity especially in space.

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BibTeX RIS

Hyun-Jung Kim, Ramiro Scorolli. 2021-12-21. A Feynman-Kac approach for the spatial derivative of the solution to the Wick stochastic heat equation driven by time homogeneous white noise. https://arxiv.org/abs/2112.11051

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