The almost-sure asymptotic behavior of the solution to the stochastic heat equation with Lévy noise

Abstract

We examine the almost-sure asymptotics of the solution to the stochastic heat equation driven by a Lévy space-time white noise. When a spatial point is fixed and time tends to infinity, we show that the solution develops unusually high peaks over short time intervals, even in the case of additive noise, which leads to a breakdown of an intuitively expected strong law of large numbers. More precisely, if we normalize the solution by an increasing nonnegative function, we either obtain convergence to $0$, or the limit superior and/or inferior will be infinite. A detailed analysis of the jumps further reveals that the strong law of large numbers can be recovered on discrete sequences of time points increasing to infinity. This leads to a necessary and sufficient condition that depends on the Lévy measure of the noise and the growth and concentration properties of the sequence at the same time. Finally, we show that our results generalize to the stochastic heat equation with a multiplicative nonlinearity that is bounded away from zero and infinity.

arXiv commentForthcoming in The Annals of Probability

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Cited by in corpus (4)

• Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes
• Intermittency and multiscaling in limit theorems
• The stochastic heat equation with multiplicative Lévy noise: Existence, moments, and intermittency
• Intermittency in the small-time behavior of Lévy processes