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Davar Khoshnevisan

Publications and source records attributed to Davar Khoshnevisan.

At least 55 records · Page 3Linked to original sources

Decorrelation of total mass via energy

The main result of this small note is a quantified version of the assertion that if u and v solve two nonlinear stochastic heat equations, and if the mutual energy between the initial states of the two stochastic PDEs is small, then the total masses of the two systems are nearly uncorrelated for a very long time. One of the consequences of this fact is that a stochastic heat equation with regular coefficients is a finite system if and only if the initial state is integrable.

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Weak existence of a solution to a differential equation driven by a very rough fBm

We prove that if $f:\mathbb{R}\to\mathbb{R}$ is Lipschitz continuous, then for every $H\in(0,1/4]$ there exists a probability space on which we can construct a fractional Brownian motion $X$ with Hurst parameter $H$, together with a process $Y$ that: (i) is Hölder-continuous with Hölder exponent $γ$ for any $γ\in(0,H)$; and (ii) solves the differential equation $dY_t = f(Y_t) dX_t$. More significantly, we describe the law of the stochastic process $Y$ in terms of the solution to a non-linear stochastic partial differential equation.

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Analysis of the gradient of the solution to a stochastic heat equation via fractional Brownian motion

Consider the stochastic partial differential equation $\partial_t u = Lu+σ(u)ξ$, where $ξ$ denotes space-time white noise and $L:=-(-Δ)^{α/2}$ denotes the fractional Laplace operator of index $α/2\in(\nicefrac12\,,1]$. We study the detailed behavior of the approximate spatial gradient $u_t(x)-u_t(x-\varepsilon)$ at fixed times $t>0$, as $\varepsilon\downarrow0$. We discuss a few applications of this work to the study of the sample functions of the solution to the KPZ equation as well.

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Strong invariance and noise-comparison principles for some parabolic stochastic PDEs

We consider a system of interacting diffusions on the integer lattice. By letting the mesh size go to zero and by using a suitable scaling, we show that the system converges (in a strong sense) to a solution of the stochastic heat equation on the real line. As a consequence, we obtain comparison inequalities for product moments of the stochastic heat equation with different nonlinearities.

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On the chaotic character of the stochastic heat equation, before the onset of intermitttency

We consider a nonlinear stochastic heat equation $\partial_tu=\frac{1}{2}\partial_{xx}u+σ(u)\partial_{xt}W$, where $\partial_{xt}W$ denotes space-time white noise and $σ:\mathbf {R}\to \mathbf {R}$ is Lipschitz continuous. We establish that, at every fixed time $t>0$, the global behavior of the solution depends in a critical manner on the structure of the initial function $u_0$: under suitable conditions on $u_0$ and $σ$, $\sup_{x\in \mathbf {R}}u_t(x)$ is a.s. finite when $u_0$ has compact support, whereas with probability one, $\limsup_{|x|\to\infty}u_t(x)/({\log}|x|)^{1/6}>0$ when $u_0$ is bounded uniformly away from zero. This sensitivity to the initial data of the stochastic heat equation is a way to state that the solution to the stochastic heat equation is chaotic at fixed times, well before the onset of intermittency.

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Non-linear noise excitation and intermittency under high disorder

Consider the semilinear heat equation $\partial_t u = \partial^2_x u + λσ(u)ξ$ on the interval $[0\,,1]$ with Dirichlet zero boundary condition and a nice non-random initial function, where the forcing $ξ$ is space-time white noise and $λ>0$ denotes the level of the noise. We show that, when the solution is intermittent [that is, when $\inf_z|σ(z)/z|>0$], the expected $L^2$-energy of the solution grows at least as $\exp\{cλ^2\}$ and at most as $\exp\{cλ^4\}$ as $λ\to\infty$. In the case that the Dirichlet boundary condition is replaced by a Neumann boundary condition, we prove that the $L^2$-energy of the solution is in fact of sharp exponential order $\exp\{cλ^4\}$. We show also that, for a large family of one-dimensional randomly-forced wave equations, the energy of the solution grows as $\exp\{cλ\}$ as $λ\to\infty$. Thus, we observe the surprising result that the stochastic wave equation is, quite typically, significantly less noise-excitable than its parabolic counterparts.

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An asymptotic theory for randomly forced discrete nonlinear heat equations

We study discrete nonlinear parabolic stochastic heat equations of the form, $u_{n+1}(x)-u_n(x)=(\mathcal {L}u_n)(x)+σ(u_n(x))ξ_n(x)$, for $n\in {\mathbf{Z}}_+$ and $x\in {\mathbf{Z}}^d$, where $\boldsymbol ξ:=\{ξ_n(x)\}_{n\ge 0,x\in {\mathbf{Z}}^d}$ denotes random forcing and $\mathcal {L}$ the generator of a random walk on ${\mathbf{Z}}^d$. Under mild conditions, we prove that the preceding stochastic PDE has a unique solution that grows at most exponentially in time. And that, under natural conditions, it is "weakly intermittent." Along the way, we establish a comparison principle as well as a finite support property.

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Critical Brownian sheet does not have double points

We derive a decoupling formula for the Brownian sheet which has the following ready consequence: An $N$-parameter Brownian sheet in $\mathbf{R}^d$ has double points if and only if $d<4N$. In particular, in the critical case where $d=4N$, the Brownian sheet does not have double points. This answers an old problem in the folklore of the subject. We also discuss some of the geometric consequences of the mentioned decoupling, and establish a partial result concerning $k$-multiple points in the critical case $k(d-2N)=d$.

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Hitting probabilities for systems of non-linear stochastic heat equations in spatial dimension $k\geq 1$

We consider a system of $d$ non-linear stochastic heat equations in spatial dimension $k \geq 1$, whose solution is an $\R^d$-valued random field $u= \{u(t\,,x),\, (t,x) \in \R_+ \times \R^k\}$. The $d$-dimensional driving noise is white in time and with a spatially homogeneous covariance defined as a Riesz kernel with exponent $β$, where $0<β<(2 \wedge k)$. The non-linearities appear both as additive drift terms and as multipliers of the noise. Using techniques of Malliavin calculus, we establish an upper bound on the two-point density, with respect to Lebesgue measure, of the $\R^{2d}$-valued random vector $(u(s,y),u(t,x))$, that, in particular, quantifies how this density degenerates as $(s,y) \to (t,x)$. From this result, we deduce a lower bound on hitting probabilities of the process $u$, in terms of Newtonian capacity. We also establish an upper bound on hitting probabilities of the process in terms of Hausdorff measure. These estimates make it possible to show that points are polar when $d > \frac{4+2k}{2-β}$ and are not polar when $d < \frac{4+2k}{2-β}$. %(if $\frac{4+2k}{2-β}$ is an integer, then the case $d=\frac{4+2k}{2-β}$ is open). In the first case, we also show that the Hausdorff dimension of the range of the process is $\frac{4+2k}{2-β}$ a.s.

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Intermittency and chaos for a stochastic non-linear wave equation in dimension 1

We consider a non-linear stochastic wave equation driven by space-time white noise in dimension 1. First of all, we state some results about the intermittency of the solution, which have only been carefully studied in some particular cases so far. Then, we establish a comparison principle for the solution, following the ideas of Mueller. We think it is of particular interest to obtain such a result for a hyperbolic equation. Finally, using the results mentioned above, we aim to show that the solution exhibits a chaotic behavior, in a similar way as was established by Conus, Joseph, and Khoshnevisan for the heat equation. We study the two cases where 1. the initial conditions have compact support, where the global maximum of the solution remains bounded and 2. the initial conditions are bounded away from 0, where the global maximum is almost surely infinite. Interesting estimates are also provided on the behavior of the global maximum of the solution.

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On the chaotic character of the stochastic heat equation, II

Consider the stochastic heat equation $\partial_t u = (\frac{\varkappa}{2})Δu+σ(u)\dot{F}$, where the solution $u:=u_t(x)$ is indexed by $(t,x)\in (0, \infty)\times\R^d$, and $\dot{F}$ is a centered Gaussian noise that is white in time and has spatially-correlated coordinates. We analyze the large-$|x|$ fixed-$t$ behavior of the solution $u$ in different regimes, thereby study the effect of noise on the solution in various cases. Among other things, we show that if the spatial correlation function $f$ of the noise is of Riesz type, that is $f(x)\propto \|x\|^{-α}$, then the "fluctuation exponents" of the solution are $ψ$ for the spatial variable and $2ψ-1$ for the time variable, where $ψ:=2/(4-α)$. Moreover, these exponent relations hold as long as $α\in(0, d\wedge 2)$; that is precisely when Dalang's theory implies the existence of a solution to our stochastic PDE. These findings bolster earlier physical predictions.

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Initial measures for the stochastic heat equation

We consider a family of nonlinear stochastic heat equations of the form $\partial_t u=\mathcal{L}u + σ(u)\dot{W}$, where $\dot{W}$ denotes space-time white noise, $\mathcal{L}$ the generator of a symmetric Lévy process on $\R$, and $σ$ is Lipschitz continuous and zero at 0. We show that this stochastic PDE has a random-field solution for every finite initial measure $u_0$. Tight a priori bounds on the moments of the solution are also obtained. In the particular case that $\mathcal{L}f=cf"$ for some $c>0$, we prove that if $u_0$ is a finite measure of compact support, then the solution is with probability one a bounded function for all times $t>0$.

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Correlation-length bounds, and estimates for intermittent islands in parabolic SPDEs

We consider the nonlinear stochastic heat equation in one dimension. Under some conditions on the nonlinearity, we show that the "peaks" of the solution are rare, almost fractal like. We also provide an upper bound on the length of the "islands," the regions of large values. These results are obtained by analyzing the correlation length of the solution.

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Packing Dimension Profiles and Levy Processes

We extend the concept of packing dimension profiles, due to Falconer and Howroyd (1997) and Howroyd (2001), and use our extension in order to determine the packing dimension of an arbitrary image of a general Levy process.

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Charged polymers in the attractive regime: a first order transition from Brownian scaling to four points localization

We study a quenched charged-polymer model, introduced by Garel and Orland in 1988, that reproduces the folding/unfolding transition of biopolymers. We prove that, below the critical inverse temperature, the polymer is delocalized in the sense that: (1) The rescaled trajectory of the polymer converges to the Brownian path; and (2) The partition function remains bounded. At the critical inverse temperature, we show that the maximum time spent at points jumps discontinuously from 0 to a positive fraction of the number of monomers, in the limit as the number of monomers tends to infinity. Finally, when the critical inverse temperature is large, we prove that the polymer collapses in the sense that a large fraction of its monomers live on four adjacent positions, and its diameter grows only logarithmically with the number of the monomers. Our methods also provide some insight into the annealed phase transition and at the transition due to a pulling force; both phase transitions are shown to be discontinuous.

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On the existence and position of the farthest peaks of a family of stochastic heat and wave equations

We study a family of non-linear stochastic heat equations in (1+1) dimensions, driven by the generator of a Lévy process and space-time white noise. We assume that the underlying Lévy process has finite exponential moments in a neighborhood of the origin and that the initial condition has exponential decay at infinity. Then we prove that under natural conditions on the non-linearity: (i) The absolute moments of the solution to our stochastic heat equation grow exponentially with time; and (ii) The distances to the origin of the farthest high peaks of those moments grow exactly linearly with time. Very little else seems to be known about the location of the high peaks of the solution to the non-linear stochastic heat equation under the present setting. Finally, we show that these results extend to the stochastic wave equation driven by Laplacian.

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Weak nonmild solutions to some SPDEs

We study the nonlinear stochastic heat equation driven by space-time white noise in the case that the initial datum $u_0$ is a (possibly signed) measure. In this case, one cannot obtain a mild random-field solution in the usual sense. We prove instead that it is possible to establish the existence and uniqueness of a weak solution with values in a suitable function space. Our approach is based on a construction of a generalized definition of a stochastic convolution via Young-type inequalities.

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On the Stochastic Heat Equation with Spatially-Colored Random forcing

We consider the stochastic heat equation of the following form \frac{\partial}{\partial t}u_t(x) = (\sL u_t)(x) +b(u_t(x)) + σ(u_t(x))\dot{F}_t(x)\quad \text{for}t>0, x\in \R^d, where $\sL$ is the generator of a Lévy process and $\dot{F}$ is a spatially-colored, temporally white, gaussian noise. We will be concerned mainly with the long-term behavior of the mild solution to this stochastic PDE. For the most part, we work under the assumptions that the initial data $u_0$ is a bounded and measurable function and $σ$ is nonconstant and Lipschitz continuous. In this case, we find conditions under which the preceding stochastic PDE admits a unique solution which is also \emph{weakly intermittent}. In addition, we study the same equation in the case that $\mathcal{L}u$ is replaced by its massive/dispersive analogue $\mathcal{L}u-λu$ where $λ\in\R$. Furthermore, we extend our analysis to the case that the initial data $u_0$ is a measure rather than a function. As it turns out, the stochastic PDE in question does not have a mild solution in this case. We circumvent this problem by introducing a new concept of a solution that we call a \emph{temperate solution}, and proceed to investigate the existence and uniqueness of a temperate solution. We are able to also give partial insight into the long-time behavior of the temperate solution when it exists and is unique. Finally, we look at the linearized version of our stochastic PDE, that is the case when $σ$ is identically equal to one [any other constant works also].In this case, we study not only the existence and uniqueness of a solution, but also the regularity of the solution when it exists and is unique.

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