Sample path properties and small ball probabilities for stochastic fractional diffusion equations
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arXiv
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| Format: | Preprint |
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2024
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| _version_ | 1866915025940119552 |
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| author | Guo, Yuhui Song, Jian Wang, Ran Xiao, Yimin |
| author_facet | Guo, Yuhui Song, Jian Wang, Ran Xiao, Yimin |
| contents | We consider the following stochastic space-time fractional diffusion equation with vanishing initial condition:$$ \partial^β u(t, x)=- \left(-Δ\right)^{α/ 2} u(t, x)+ I_{0+}^γ\left[\dot{W}(t, x)\right],\quad t\in[0,T],\: x \in \mathbb{R}^d,$$ where $α>0$, $β\in(0,2)$, $γ\in[0,1)$, $\left(-Δ\right)^{α/2}$ is the fractional/power of Laplacian and $\dot{W}$ is a fractional space-time Gaussian noise. We prove the existence and uniqueness of the solution and then focus on various sample path regularity properties of the solution. More specifically, we establish the exact uniform and local moduli of continuity and Chung-type laws of the iterated logarithm. The small ball probability is also studied. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2411_12192 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Sample path properties and small ball probabilities for stochastic fractional diffusion equations Guo, Yuhui Song, Jian Wang, Ran Xiao, Yimin Probability Primary 60G17, 60H15, Secondary 60G15, 60G22, 33E12 We consider the following stochastic space-time fractional diffusion equation with vanishing initial condition:$$ \partial^β u(t, x)=- \left(-Δ\right)^{α/ 2} u(t, x)+ I_{0+}^γ\left[\dot{W}(t, x)\right],\quad t\in[0,T],\: x \in \mathbb{R}^d,$$ where $α>0$, $β\in(0,2)$, $γ\in[0,1)$, $\left(-Δ\right)^{α/2}$ is the fractional/power of Laplacian and $\dot{W}$ is a fractional space-time Gaussian noise. We prove the existence and uniqueness of the solution and then focus on various sample path regularity properties of the solution. More specifically, we establish the exact uniform and local moduli of continuity and Chung-type laws of the iterated logarithm. The small ball probability is also studied. |
| title | Sample path properties and small ball probabilities for stochastic fractional diffusion equations |
| topic | Probability Primary 60G17, 60H15, Secondary 60G15, 60G22, 33E12 |
| url | https://arxiv.org/abs/2411.12192 |