<p>The purpose of this paper is to investigate the problem of autocorrelated moving boundaries for a one-dimensional heat equation, where the moving boundary is a fractional Brownian motion <InlineEquation ID="IEq1"> <EquationSource Format="TEX">\(B^H\)</EquationSource> <EquationSource Format="MATHML"><math> <msup> <mi>B</mi> <mi>H</mi> </msup> </math></EquationSource> </InlineEquation> with Hurst parameter <InlineEquation ID="IEq2"> <EquationSource Format="TEX">\(H &gt;1/2\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>H</mi> <mo>&gt;</mo> <mn>1</mn> <mo stretchy="false">/</mo> <mn>2</mn> </mrow> </math></EquationSource> </InlineEquation> and the dependent Volterra-type Dirichlet boundary term <InlineEquation ID="IEq3"> <EquationSource Format="TEX">\(\xi \)</EquationSource> <EquationSource Format="MATHML"><math> <mi>ξ</mi> </math></EquationSource> </InlineEquation> is verified to lie in the exponential Orlicz space <InlineEquation ID="IEq4"> <EquationSource Format="TEX">\( \mathcal {S}_{\Psi }^{(v)}(\Omega \times (0,T])\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <msubsup> <mi mathvariant="script">S</mi> <mrow> <mi mathvariant="normal">Ψ</mi> </mrow> <mrow> <mo stretchy="false">(</mo> <mi>v</mi> <mo stretchy="false">)</mo> </mrow> </msubsup> <mrow> <mo stretchy="false">(</mo> <mi mathvariant="normal">Ω</mi> <mo>×</mo> <mrow> <mo stretchy="false">(</mo> <mn>0</mn> <mo>,</mo> <mi>T</mi> <mo stretchy="false">]</mo> </mrow> <mo stretchy="false">)</mo> </mrow> </mrow> </math></EquationSource> </InlineEquation> with <InlineEquation ID="IEq5"> <EquationSource Format="TEX">\(v\in (0,1]\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>v</mi> <mo>∈</mo> <mo stretchy="false">(</mo> <mn>0</mn> <mo>,</mo> <mn>1</mn> <mo stretchy="false">]</mo> </mrow> </math></EquationSource> </InlineEquation>. This problem is interpreted as a single-layer potential involving stochastic heat kernel <Equation ID="Equ18"> <EquationSource Format="TEX">\(\begin{aligned} G\left( t-s,x-B^H(s)\right) = \frac{1}{\sqrt{4\pi (t-s)}} \exp \left( -\frac{\left( x-B^H(s)\right) ^2}{4(t-s)}\right) , \end{aligned}\)</EquationSource> <EquationSource Format="MATHML"><math display="block"> <mrow> <mtable> <mtr> <mtd columnalign="right"> <mrow> <mi>G</mi> <mfenced close=")" open="("> <mi>t</mi> <mo>-</mo> <mi>s</mi> <mo>,</mo> <mi>x</mi> <mo>-</mo> <msup> <mi>B</mi> <mi>H</mi> </msup> <mrow> <mo stretchy="false">(</mo> <mi>s</mi> <mo stretchy="false">)</mo> </mrow> </mfenced> <mo>=</mo> <mfrac> <mn>1</mn> <msqrt> <mrow> <mn>4</mn> <mi>π</mi> <mo stretchy="false">(</mo> <mi>t</mi> <mo>-</mo> <mi>s</mi> <mo stretchy="false">)</mo> </mrow> </msqrt> </mfrac> <mo>exp</mo> <mfenced close=")" open="("> <mo>-</mo> <mfrac> <msup> <mfenced close=")" open="("> <mi>x</mi> <mo>-</mo> <msup> <mi>B</mi> <mi>H</mi> </msup> <mrow> <mo stretchy="false">(</mo> <mi>s</mi> <mo stretchy="false">)</mo> </mrow> </mfenced> <mn>2</mn> </msup> <mrow> <mn>4</mn> <mo stretchy="false">(</mo> <mi>t</mi> <mo>-</mo> <mi>s</mi> <mo stretchy="false">)</mo> </mrow> </mfrac> </mfenced> <mo>,</mo> </mrow> </mtd> </mtr> </mtable> </mrow> </math></EquationSource> </Equation>with <InlineEquation ID="IEq6"> <EquationSource Format="TEX">\(0&lt;s&lt; t\le T\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mn>0</mn> <mo>&lt;</mo> <mi>s</mi> <mo>&lt;</mo> <mi>t</mi> <mo>≤</mo> <mi>T</mi> </mrow> </math></EquationSource> </InlineEquation>, <InlineEquation ID="IEq7"> <EquationSource Format="TEX">\(x\in D_{B^{H}}^{-} (t) \)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>x</mi> <mo>∈</mo> <msubsup> <mi>D</mi> <mrow> <msup> <mi>B</mi> <mi>H</mi> </msup> </mrow> <mo>-</mo> </msubsup> <mrow> <mo stretchy="false">(</mo> <mi>t</mi> <mo stretchy="false">)</mo> </mrow> </mrow> </math></EquationSource> </InlineEquation> and <InlineEquation ID="IEq8"> <EquationSource Format="TEX">\(D_{B^{H}}^{-} (t) = \{x\in \mathbb {R}: {x&lt;B^H(t)} \}\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <msubsup> <mi>D</mi> <mrow> <msup> <mi>B</mi> <mi>H</mi> </msup> </mrow> <mo>-</mo> </msubsup> <mrow> <mo stretchy="false">(</mo> <mi>t</mi> <mo stretchy="false">)</mo> </mrow> <mo>=</mo> <mrow> <mo stretchy="false">{</mo> <mi>x</mi> <mo>∈</mo> <mi mathvariant="double-struck">R</mi> <mo>:</mo> <mrow> <mi>x</mi> <mo>&lt;</mo> <msup> <mi>B</mi> <mi>H</mi> </msup> <mrow> <mo stretchy="false">(</mo> <mi>t</mi> <mo stretchy="false">)</mo> </mrow> </mrow> <mo stretchy="false">}</mo> </mrow> </mrow> </math></EquationSource> </InlineEquation>. To derive regularity estimates and asymptotic behavior, our approach relies on Dudley’s entropy integral method and a universal bound for the excursion probability <Equation ID="Equ19"> <EquationSource Format="TEX">\(\begin{aligned} P \left( \sup _{(s,t)\in \mathcal {Q}} \frac{ B^H(t)-B^H(s) }{(t-s)^{\frac{1}{2}+\gamma }}&gt;z \right) ,\quad z&gt; E \left[ \sup _{(s,t)\in \mathcal {Q}} \frac{ B^H(t)-B^H(s)}{(t-s)^{\frac{1}{2}+\gamma }} \right] , \end{aligned}\)</EquationSource> <EquationSource Format="MATHML"><math display="block"> <mrow> <mtable> <mtr> <mtd columnalign="right"> <mrow> <mi>P</mi> <mfenced close=")" open="("> <munder> <mo movablelimits="true">sup</mo> <mrow> <mo stretchy="false">(</mo> <mi>s</mi> <mo>,</mo> <mi>t</mi> <mo stretchy="false">)</mo> <mo>∈</mo> <mi mathvariant="script">Q</mi> </mrow> </munder> <mfrac> <mrow> <msup> <mi>B</mi> <mi>H</mi> </msup> <mrow> <mo stretchy="false">(</mo> <mi>t</mi> <mo stretchy="false">)</mo> </mrow> <mo>-</mo> <msup> <mi>B</mi> <mi>H</mi> </msup> <mrow> <mo stretchy="false">(</mo> <mi>s</mi> <mo stretchy="false">)</mo> </mrow> </mrow> <msup> <mrow> <mo stretchy="false">(</mo> <mi>t</mi> <mo>-</mo> <mi>s</mi> <mo stretchy="false">)</mo> </mrow> <mrow> <mfrac> <mn>1</mn> <mn>2</mn> </mfrac> <mo>+</mo> <mi>γ</mi> </mrow> </msup> </mfrac> <mo>&gt;</mo> <mi>z</mi> </mfenced> <mo>,</mo> <mspace width="1em" /> <mi>z</mi> <mo>&gt;</mo> <mi>E</mi> <mfenced close="]" open="["> <munder> <mo movablelimits="true">sup</mo> <mrow> <mo stretchy="false">(</mo> <mi>s</mi> <mo>,</mo> <mi>t</mi> <mo stretchy="false">)</mo> <mo>∈</mo> <mi mathvariant="script">Q</mi> </mrow> </munder> <mfrac> <mrow> <msup> <mi>B</mi> <mi>H</mi> </msup> <mrow> <mo stretchy="false">(</mo> <mi>t</mi> <mo stretchy="false">)</mo> </mrow> <mo>-</mo> <msup> <mi>B</mi> <mi>H</mi> </msup> <mrow> <mo stretchy="false">(</mo> <mi>s</mi> <mo stretchy="false">)</mo> </mrow> </mrow> <msup> <mrow> <mo stretchy="false">(</mo> <mi>t</mi> <mo>-</mo> <mi>s</mi> <mo stretchy="false">)</mo> </mrow> <mrow> <mfrac> <mn>1</mn> <mn>2</mn> </mfrac> <mo>+</mo> <mi>γ</mi> </mrow> </msup> </mfrac> </mfenced> <mo>,</mo> </mrow> </mtd> </mtr> </mtable> </mrow> </math></EquationSource> </Equation>where <InlineEquation ID="IEq9"> <EquationSource Format="TEX">\(\mathcal {Q}=\{(s,t): 0\le s \le t\le T \}\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi mathvariant="script">Q</mi> <mo>=</mo> <mo stretchy="false">{</mo> <mo stretchy="false">(</mo> <mi>s</mi> <mo>,</mo> <mi>t</mi> <mo stretchy="false">)</mo> <mo>:</mo> <mn>0</mn> <mo>≤</mo> <mi>s</mi> <mo>≤</mo> <mi>t</mi> <mo>≤</mo> <mi>T</mi> <mo stretchy="false">}</mo> </mrow> </math></EquationSource> </InlineEquation> and <InlineEquation ID="IEq10"> <EquationSource Format="TEX">\(\gamma \in [0,H-1/2)\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>γ</mi> <mo>∈</mo> <mo stretchy="false">[</mo> <mn>0</mn> <mo>,</mo> <mi>H</mi> <mo>-</mo> <mn>1</mn> <mo stretchy="false">/</mo> <mn>2</mn> <mo stretchy="false">)</mo> </mrow> </math></EquationSource> </InlineEquation>. By potential theoretic arguments, we establish the unique weak solution to the fractional Brownian moving boundary problem in <InlineEquation ID="IEq11"> <EquationSource Format="TEX">\( L^p(\Omega ; C_{(v)}((0,T];C_b(-\infty ,B^{H}(\cdot ))))\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <msup> <mi>L</mi> <mi>p</mi> </msup> <mrow> <mo stretchy="false">(</mo> <mi mathvariant="normal">Ω</mi> <mo>;</mo> <msub> <mi>C</mi> <mrow> <mo stretchy="false">(</mo> <mi>v</mi> <mo stretchy="false">)</mo> </mrow> </msub> <mrow> <mo stretchy="false">(</mo> <mrow> <mo stretchy="false">(</mo> <mn>0</mn> <mo>,</mo> <mi>T</mi> <mo stretchy="false">]</mo> </mrow> <mo>;</mo> <msub> <mi>C</mi> <mi>b</mi> </msub> <mrow> <mo stretchy="false">(</mo> <mo>-</mo> <mi>∞</mi> <mo>,</mo> <msup> <mi>B</mi> <mi>H</mi> </msup> <mrow> <mo stretchy="false">(</mo> <mo>·</mo> <mo stretchy="false">)</mo> </mrow> <mo stretchy="false">)</mo> </mrow> <mo stretchy="false">)</mo> </mrow> <mo stretchy="false">)</mo> </mrow> </mrow> </math></EquationSource> </InlineEquation> with <InlineEquation ID="IEq12"> <EquationSource Format="TEX">\(p&gt;1\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>p</mi> <mo>&gt;</mo> <mn>1</mn> </mrow> </math></EquationSource> </InlineEquation> and <InlineEquation ID="IEq13"> <EquationSource Format="TEX">\(v\in (0,1]\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mi>v</mi> <mo>∈</mo> <mo stretchy="false">(</mo> <mn>0</mn> <mo>,</mo> <mn>1</mn> <mo stretchy="false">]</mo> </mrow> </math></EquationSource> </InlineEquation>.</p>

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The existence and uniqueness for a heat equation with fractional Brownian moving boundaries and Volterra-type Dirichlet boundary term

  • Tiandao Zhou,
  • Huisheng Shu

摘要

The purpose of this paper is to investigate the problem of autocorrelated moving boundaries for a one-dimensional heat equation, where the moving boundary is a fractional Brownian motion \(B^H\) B H with Hurst parameter \(H >1/2\) H > 1 / 2 and the dependent Volterra-type Dirichlet boundary term \(\xi \) ξ is verified to lie in the exponential Orlicz space \( \mathcal {S}_{\Psi }^{(v)}(\Omega \times (0,T])\) S Ψ ( v ) ( Ω × ( 0 , T ] ) with \(v\in (0,1]\) v ( 0 , 1 ] . This problem is interpreted as a single-layer potential involving stochastic heat kernel \(\begin{aligned} G\left( t-s,x-B^H(s)\right) = \frac{1}{\sqrt{4\pi (t-s)}} \exp \left( -\frac{\left( x-B^H(s)\right) ^2}{4(t-s)}\right) , \end{aligned}\) G t - s , x - B H ( s ) = 1 4 π ( t - s ) exp - x - B H ( s ) 2 4 ( t - s ) , with \(0<s< t\le T\) 0 < s < t T , \(x\in D_{B^{H}}^{-} (t) \) x D B H - ( t ) and \(D_{B^{H}}^{-} (t) = \{x\in \mathbb {R}: {x<B^H(t)} \}\) D B H - ( t ) = { x R : x < B H ( t ) } . To derive regularity estimates and asymptotic behavior, our approach relies on Dudley’s entropy integral method and a universal bound for the excursion probability \(\begin{aligned} P \left( \sup _{(s,t)\in \mathcal {Q}} \frac{ B^H(t)-B^H(s) }{(t-s)^{\frac{1}{2}+\gamma }}>z \right) ,\quad z> E \left[ \sup _{(s,t)\in \mathcal {Q}} \frac{ B^H(t)-B^H(s)}{(t-s)^{\frac{1}{2}+\gamma }} \right] , \end{aligned}\) P sup ( s , t ) Q B H ( t ) - B H ( s ) ( t - s ) 1 2 + γ > z , z > E sup ( s , t ) Q B H ( t ) - B H ( s ) ( t - s ) 1 2 + γ , where \(\mathcal {Q}=\{(s,t): 0\le s \le t\le T \}\) Q = { ( s , t ) : 0 s t T } and \(\gamma \in [0,H-1/2)\) γ [ 0 , H - 1 / 2 ) . By potential theoretic arguments, we establish the unique weak solution to the fractional Brownian moving boundary problem in \( L^p(\Omega ; C_{(v)}((0,T];C_b(-\infty ,B^{H}(\cdot ))))\) L p ( Ω ; C ( v ) ( ( 0 , T ] ; C b ( - , B H ( · ) ) ) ) with \(p>1\) p > 1 and \(v\in (0,1]\) v ( 0 , 1 ] .