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A Note on a Feynman-Kac-Type Formula


 
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1. Title Title of document A Note on a Feynman-Kac-Type Formula
 
2. Creator Author's name, affiliation, country Raluca M Balan; University of Ottawa
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) fractional Brownian motion, stochastic heat equation, Feynman-Kac formula, planar Poisson process
 
3. Subject Subject classification Primary 60H15; secondary 60H05
 
4. Description Abstract In this article, we establish a probabilistic representation for the second-order moment of the solution of stochastic heat equation, with multiplicative noise, which is fractional in time and colored in space. This representation is similar to the one given in Dalang, Mueller and Tribe (2008) in the case of an s.p.d.e. driven by a Gaussian noise, which is white in time. Unlike the formula of Dalang, Mueller and Tribe (2008) ,which is based on the usual Poisson process, our representation is based on the planar Poisson process, due to the fractional component of the noise.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) Natural Sciences and Engineering Research Council of Canada
 
7. Date (YYYY-MM-DD) 2009-06-25
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1468
 
10. Identifier Digital Object Identifier 10.1214/ECP.v14-1468
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 14
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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