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Long time existence for the heat equation with a spatially correlated noise term 

Author: N. Franzova
DOI: 10.1080/07362999908809596
Publication Frequency: 6 issues per year
Published in: journal Stochastic Analysis and Applications, Volume 17, Issue 2 1999 , pages 169 - 190
Formats available: PDF (English)
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Abstract

We consider the equation ./LSAA_A_8809596_O_XML_IMAGES/LSAA_A_8809596_O_ILM0001.gif ,with Dirichlet boundary conditions. (N)dot(t, x) denotes a twoparameter colored noise, which is a Gaussian process, but contrary to the often used white noise it is correlated in the space variable. Large deviation result estimates the probability of the noise term to become large during a given time interval. This then leads to the proof that for ./LSAA_A_8809596_O_XML_IMAGES/LSAA_A_8809596_O_ILM0002.gif  (here agr indicates the size of the correlation) the solution exists for all time with probability 1. This extends the result known for the white noise
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