The time-fractional stochastic heat equation driven by time-space white noise

Abstract

We study the time-fractional stochastic heat equation driven by time-space white noise with space dimension $d\in \mathbb{N}=\{1,2,...\}$ and the fractional time-derivative is the Caputo derivative of order $\alpha \in (0,2)$. We consider the equation in the sense of distribution, and we find an explicit expression for the ${\mathcal{S}}^{\prime }$-valued solution $Y(t,x)$, where ${\mathcal{S}}^{\prime }$ is the space of tempered distributions. Following the terminology of Y. Hu \cite{Hu}, we say that the solution is \emph{mild} if $Y(t,x)\in L^2(\mathbb{P})$ for all $t,x$, where $\mathbb{P}$ is the probability law of the underlying time-space Brownian motion. It is well-known that in the classical case with $\alpha =1$, the solution is mild if and only if the space dimension $d=1$. We prove that if $\alpha \in (1,2)$ the solution is mild if $d=1$ or $d=2$. If $\alpha <1$ we prove that the solution is not mild for any $d$.