SPDEs with fractional noise in space: Continuity in law with respect to the Hurst index

Luca M. Giordano, Maria Jolis, Lluís Quer-Sardanyons

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Abstract

In this article, we consider the quasi-linear stochastic wave and heat equations on the real line and with an additive Gaussian noise which is white in time and behaves in space like a fractional Brownian motion with Hurst index H ∈ (0, 1). The drift term is assumed to be globally Lipschitz. We prove that the solution of each of the above equations is continuous in terms of the index H, with respect to the convergence in law in the space of continuous functions.

Original languageEnglish
Pages (from-to)352-386
Number of pages35
JournalBernoulli
Volume26
Issue number1
Publication statusPublished - 2020

Keywords

  • Fractional noise
  • Stochastic heat equation
  • Stochastic wave equation
  • Weak convergence

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