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Convergence to SPDEs in Stratonovich Form

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Abstract

We consider the perturbation of parabolic operators of the form ∂ t  + P(x, D) by large-amplitude highly oscillatory spatially dependent potentials modeled as Gaussian random fields. The amplitude of the potential is chosen so that the solution to the random equation is affected by the randomness at the leading order. We show that, when the dimension is smaller than the order of the elliptic pseudo-differential operator P(x, D), the perturbed parabolic equation admits a solution given by a Duhamel expansion. Moreover, as the correlation length of the potential vanishes, we show that the latter solution converges in distribution to the solution of a stochastic parabolic equation with multiplicative noise that should be interpreted in the Stratonovich sense. The theory of mild solutions for such stochastic partial differential equations is developed.

The behavior described above should be contrasted to the case of dimensions larger than or equal to the order of the elliptic pseudo-differential operator P(x, D). In the latter case, the solution to the random equation converges strongly to the solution of a homogenized (deterministic) parabolic equation as is shown in [2]. A stochastic limit is obtained only for sufficiently small space dimensions in this class of parabolic problems.

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  1. Department of Applied Physics and Applied Mathematics, Columbia University, New York, NY, 10027, USA

    Guillaume Bal

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  1. Guillaume Bal
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Correspondence to Guillaume Bal.

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Communicated by H.-T. Yau

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Bal, G. Convergence to SPDEs in Stratonovich Form. Commun. Math. Phys. 292, 457–477 (2009). https://doi.org/10.1007/s00220-009-0898-x

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  • DOI: https://doi.org/10.1007/s00220-009-0898-x

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