Quantitative central limit theorems for the parabolic Anderson model driven by colored noises

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  • David Nualart
  • Panqiu Xia
  • Guangqu Zheng

In this paper, we study the spatial averages of the solution to the parabolic Anderson model driven by a space-time Gaussian homogeneous noise that is colored in both time and space. We establish quantitative central limit theorems (CLT) of this spatial statistics under some mild assumptions, by using the Malliavin-Stein approach. The highlight of this paper is the obtention of rate of convergence in the colored-in-time setting, where one can not use Ito calculus due to the lack of martingale structure. In particular, modulo highly technical computations, we apply a modified version of second-order Gaussian Poincaré inequality to overcome this lack of martingale structure and our work improves the results by Nualart-Zheng (Electron. J. Probab. 2020) and Nualart-Song-Zheng (ALEA, Lat. Am. J. Probab. Math. Stat. 2021).

Original languageEnglish
Article number120
JournalElectronic Journal of Probability
Volume27
Number of pages43
ISSN1083-6489
DOIs
Publication statusPublished - 2022

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© 2022, Institute of Mathematical Statistics. All rights reserved.

    Research areas

  • Dalang’s condition, fractional Brownian motion, Mallivain calculus, parabolic Anderson model, quantitative central limit theorem, second-order Poincaré inequality, Skorohod integral, Stein method

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