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2019 Rescaled Whittaker driven stochastic differential equations converge to the additive stochastic heat equation
Yu-Ting Chen
Electron. J. Probab. 24: 1-33 (2019). DOI: 10.1214/19-EJP289

Abstract

We study some linear SDEs arising from the two-dimensional $q$-Whittaker driven particle system on the torus as $q\to 1$. The main result proves that the SDEs along certain characteristics converge to the additive stochastic heat equation. Extensions for the SDEs with generalized coefficients and in other spatial dimensions are also obtained. Our proof views the limiting process after recentering as a process of the convolution of a space-time white noise and the Fourier transform of the heat kernel. Accordingly we turn to similar space-time stochastic integrals defined by the SDEs, but now the convolution and the Fourier transform are broken. To obtain tightness of these induced integrals, we bound the oscillations of complex exponentials arising from divergence of the characteristics, with two methods of different nature.

Citation

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Yu-Ting Chen. "Rescaled Whittaker driven stochastic differential equations converge to the additive stochastic heat equation." Electron. J. Probab. 24 1 - 33, 2019. https://doi.org/10.1214/19-EJP289

Information

Received: 23 April 2018; Accepted: 2 March 2019; Published: 2019
First available in Project Euclid: 9 April 2019

zbMATH: 1412.60080
MathSciNet: MR3940766
Digital Object Identifier: 10.1214/19-EJP289

Subjects:
Primary: 60G15, 60H10, 60H15

JOURNAL ARTICLE
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