SPDEs with \(\alpha\)-stable Lévy noise: a random field approach (Q2444219): Difference between revisions

Summary: This paper is dedicated to the study of a nonlinear SPDE on a bounded domain in \(\mathbb R^d\), with zero initial conditions and Dirichlet boundary, driven by an \(\alpha\)-stable Lévy noise \(Z\) with \(\alpha \in(0,2)\), \(a\neq 1\), and possibly nonsymmetric tails. To give a meaning to the concept of solution, we develop a theory of stochastic integration with respect to this noise. The idea is to first solve the equation with ``truncated'' noise (obtained by removing from \(Z\) the jumps which exceed a fixed value \(K\)), yielding a solution \(u_K\), and then show that the solutions \(u_L\), \(L > K\) coincide on the event \(t \leq \tau_K\), for some stopping times \(\tau_K\) converging to infinity. A similar idea was used in the setting of Hilbert-space valued processes. A major step is to show that the stochastic integral with respect to \(Z_K\) satisfies a \(p\)th moment inequality. This inequality plays the same role as the Burkholder-Davis-Gundy inequality in the theory of integration with respect to continuous martingales.