Wick product and stochastic partial differential equations with Poisson measure (Q1381931)
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English | Wick product and stochastic partial differential equations with Poisson measure |
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Wick product and stochastic partial differential equations with Poisson measure (English)
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30 September 1998
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The paper is concerned with two examples of partial differential equations with Poisson noise. Existence and uniqueness results are obtained. The first equation is a one-dimensional conservation equation of the form \[ \partial_t(u(x,t)-q((0,t]))+\partial_x(a {\textstyle\frac 12} u(x,t)^2+bu(x,t))=0 \] where \(q\) is the centered Poisson measure on \([0,\infty)\) and the products are interpreted as Wick products of generalized random variables. The other equation is a multidimensional linear stochastic differential equation \[ X_t=X_0+\int_0^t\int_E A(s,x)X_{s-}dq(s,x)+\int_0^tB_sX_sds \] where \(E\) is a compact set and the stochastic integral is understood in the Skorokhod sense.
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Wick product
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Poisson measure
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stochastic integral
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