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Macroscopic Multi-fractality of Gaussian Random Fields and Linear Stochastic Partial Differential Equations with Colored Noise

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  • Jaeyun Yi

    (Pohang University of Science and Technology (POSTECH))

Abstract

We consider the linear stochastic heat and wave equations with generalized Gaussian noise that is white in time and spatially correlated. Under the assumption that the homogeneous spatial correlation f satisfies some mild conditions, we show that the solutions to the linear stochastic partial differential equations (SPDEs) exhibit tall peaks in macroscopic scales, which means they are macroscopically multi-fractal. We compute the macroscopic Hausdorff dimension of the peaks for Gaussian random fields with vanishing correlation and then apply this result to the solution of the linear SPDEs. We also study the spatio-temporal multi-fractality of the linear SPDEs.

Suggested Citation

  • Jaeyun Yi, 2023. "Macroscopic Multi-fractality of Gaussian Random Fields and Linear Stochastic Partial Differential Equations with Colored Noise," Journal of Theoretical Probability, Springer, vol. 36(2), pages 926-947, June.
    • Handle: RePEc:spr:jotpro:v:36:y:2023:i:2:d:10.1007_s10959-022-01198-6
    DOI: 10.1007/s10959-022-01198-6
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    References listed on IDEAS

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    1. Kim, Kunwoo, 2019. "On the large-scale structure of the tall peaks for stochastic heat equations with fractional Laplacian," Stochastic Processes and their Applications, Elsevier, vol. 129(6), pages 2207-2227.
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