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

## TL;DR

This paper investigates the probability density functions of the supremum of solutions to the linear stochastic heat equation, establishing their smoothness and Gaussian-type bounds, and linking these properties to the solution's regularity.

## Contribution

It provides new criteria for the smoothness of densities of the supremum of solutions to the stochastic heat equation and derives Gaussian bounds related to the solution's regularity.

## Key findings

- Proved smoothness of joint density of the solution and its supremum.
- Established Gaussian-type upper bounds for the densities.
- Linked density properties to the Hölder continuity of the solution.

## 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 H\"{o}lder-continuity properties of the solution.