Decompositions of stochastic convolution driven by a white-fractional Gaussian noise

Abstract

Let u=\{u(t,x);(t,x)\in {ℝ}_{+}\times ℝ\}be the solution to a linear stochastic heat equation driven by a Gaussian noise, which is a Brownian motion in time and a fractional Brownian motion in space with Hurst parameterH\in (\mathrm{0},\mathrm{1}): For any givenx\in ℝ(\text{resp}\text{.},t\in {ℝ}_{+}), we show a decomposition of the stochastic processt\to u(t,x)(\mathrm{r}\mathrm{e}\mathrm{s}\mathrm{p}.,x\to u(t,x))as the sum of a fractional Brownian motion with Hurst parameter H/2 (resp., H) and a stochastic process with C^∞-continuous trajectories. Some applications of those decompositions are discussed.

Key words： Stochastic heat equation; fractional Brownian motion (fBm); path regularity; law of the iterated logarithm

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