Annales de l'Institut Henri Poincaré, Probabilités et Statistiques

On the global maximum of the solution to a stochastic heat equation with compact-support initial data

Mohammud Foondun and Davar Khoshnevisan

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Consider a stochastic heat equation tu=κxx2u+σ(u) for a space–time white noise and a constant κ>0. Under some suitable conditions on the initial function u0 and σ, we show that the quantities

lim sup t→∞t−1sup xRln El(|ut(x)|2) and lim sup t→∞t−1ln E(sup xR|ut(x)|2)

are equal, as well as bounded away from zero and infinity by explicit multiples of 1/κ. Our proof works by demonstrating quantitatively that the peaks of the stochastic process xut(x) are highly concentrated for infinitely-many large values of t. In the special case of the parabolic Anderson model – where σ(u)=λu for some λ>0 – this “peaking” is a way to make precise the notion of physical intermittency.


Nous considérons l’équation de la chaleur stochastique tu=κ∂xx2u+σ(u) avec un bruit blanc spatio-temporel et une constante κ>0. Sous des conditions adéquates sur la condition initiale u0 et sur σ, nous montrons que les quantités

lim sup t→∞t−1sup xRln E(|ut(x)|2) et lim sup t→∞t−1ln E(sup xR|ut(x)|2)

sont égales. Par ailleurs, nous les bornons inférieurement et supérieurement par des constantes strictement positives et finies dépendant explicitement de 1/κ. Nos démonstrations reposent sur la preuve quantitative de la forte concentration des pics du processus xut(x) pour de grandes valeurs de t infiniment nombreuses. Dans le cas particulier du modèle d’Anderson parabolique-où σ(u)=λu pour un λ>0 – ce phénomène de pics est une façon de préciser la notion physique d’intermittence.

Article information

Ann. Inst. H. Poincaré Probab. Statist., Volume 46, Number 4 (2010), 895-907.

First available in Project Euclid: 4 November 2010

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Zentralblatt MATH identifier

Primary: 35R60: Partial differential equations with randomness, stochastic partial differential equations [See also 60H15] 37H10: Generation, random and stochastic difference and differential equations [See also 34F05, 34K50, 60H10, 60H15] 60H15: Stochastic partial differential equations [See also 35R60]
Secondary: 82B44: Disordered systems (random Ising models, random Schrödinger operators, etc.)

Stochastic heat equation Intermittency


Foondun, Mohammud; Khoshnevisan, Davar. On the global maximum of the solution to a stochastic heat equation with compact-support initial data. Ann. Inst. H. Poincaré Probab. Statist. 46 (2010), no. 4, 895--907. doi:10.1214/09-AIHP328.

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