Paper #371

Títol:

Asymptotic behaviour of the density in a parabolic SPDE

Autors:

Arturo Kohatsu, D. Márquez Carreras i M. Sanz Solé

Data:

Abril 1999

Resum:

Consider the density of the solution $X(t,x)$ of a stochastic heat equation with small noise at a fixed $t\in [0,T]$, $x \in [0,1]$. In the paper we study the asymptotics of this density as the noise is vanishing. A kind of Taylor expansion in powers of the noise parameter is obtained. The coefficients and the residue of the expansion are explicitly calculated. In order to obtain this result some type of exponential estimates of tail probabilities of the difference between the approximating process and the limit one is proved. Also a suitable local integration by parts formula is developped.

Paraules clau:

Malliavin Calculus, parabolic SPDE, large deviations, Taylor expansion of a density, exponential estimates of the tail probabilities, stochastic integration by parts formula

Codis JEL:

C15

Àrea de Recerca:

Estadística, Econometria i Mètodes Quantitatius

Publicat a:

Mathematics Preprint Series 257 of the Universitat de Barcelona and Journal of Theoretical Probability, 14, (2001), pp. 427-462

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