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Mathematics > Probability

Title: A critical drift-diffusion equation: intermittent behavior

Abstract: We consider a drift-diffusion process with a time-independent and divergence-free random drift that is of white-noise character. We are interested in the critical case of two space dimensions, where one has to impose a small-scale cut-off for well-posedness, and is interested in the marginally super-diffusive behavior on large scales.
In the presence of an (artificial) large-scale cut-off at scale L, as a consequence of standard stochastic homogenization theory, there exist harmonic coordinates with a stationary gradient $F_L$; the merit of these coordinates being that under their lens, the drift-diffusion process turns into a martingale.
It has recently been established that the second moments diverge as $\mathbb{E}|F_L|^2\sim\sqrt{\ln L}$ for $L\uparrow\infty$. We quantitatively show that in this limit, and in the regime of small P\'eclet number, $|F_L|^2/\mathbb{E}|F_L|^2$ is not equi-integrable, and that $\mathbb{E}|{\rm det}F_L|/\mathbb{E}|F_L|^2 $ is small. Hence the Jacobian matrix of the harmonic coordinates is very peaked and non-conformal.
We establish this asymptotic behavior by characterizing a proxy $\tilde F_L$ introduced in previous work as the solution of an It\^{o} SDE w. r. t. the variable $\ln L$, and which implements the concept of a scale-by-scale homogenization based on a variance decomposition and admits an efficient calculus. For this proxy, we establish $\mathbb{E}|\tilde F_L|^4\gg(\mathbb{E}|\tilde F_L|^2)^2$ and $\mathbb{E}({\rm det}\tilde F_L-1)^2\ll 1$. In view of the former property, we assimilate this phenomenon to intermittency. In fact, $\tilde F_L$ behaves like a tensorial stochastic exponential, and as a field can be assimilated to multiplicative Gaussian chaos.
Comments: 34 pages
Subjects: Probability (math.PR); Analysis of PDEs (math.AP)
Cite as: arXiv:2404.13641 [math.PR]
  (or arXiv:2404.13641v1 [math.PR] for this version)

Submission history

From: Christian Wagner [view email]
[v1] Sun, 21 Apr 2024 12:33:57 GMT (38kb)

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