On the density of the supremum of the solution to the linear stochastic heat equation

Abstract

We study the regularity of the probability density function of the supremum of the solution to the linear stochastic heat equation. Using a general criterion for the smoothness of densities for locally nondegenerate random variables, we establish the smoothness of the joint density of the random vector whose components are the solution and the supremum of an increment in time of the solution over an interval (at a fixed spatial position), and the smoothness of the density of the supremum of the solution over a space-time rectangle that touches the $$t = 0$$ axis. Applying the properties of the divergence operator, we establish a Gaussian-type upper bound on these two densities respectively, which presents a close connection with the Holder-continuity properties of the solution.