A nuclear space-valued stochastic differential equation driven by Poisson random measures (Q4029022)

From MaRDI portal

!

This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:

scientific article; zbMATH DE number 140595
Language Label Description Also known as
default for all languages
No label defined
    English
    A nuclear space-valued stochastic differential equation driven by Poisson random measures
    scientific article; zbMATH DE number 140595

      Statements

      28 March 1993
      0 references
      right continuous filtration
      0 references
      random measure
      0 references
      nuclear space
      0 references
      stochastic differential equation
      0 references
      existence and uniqueness of a weak solution
      0 references
      Galerkin method
      0 references
      0 references
      0 references
      A nuclear space-valued stochastic differential equation driven by Poisson random measures (English)
      0 references
      [For the entire collection see Zbl 0754.00020.] Let \(({\mathcal F}_ t)_{t\geq 0}\) be a complete, right continuous filtration on a complete probability space \((\Omega,{\mathcal F},P)\). Let \((U,{\mathcal Y},\mu)\) be a \(\sigma\)-finite measure space. Let \(N(duds)\) be a Poisson random measure on \(\mathbb{R}_ +\times U\) with intensity measure \(\mu(du)ds\) and \(\tilde N(duds)\) its compensated random measure. \(\Phi'\) is the strong topological dual of a countable Hilbertian nuclear space \(\Phi\). Consider the stochastic differential equation \[ X_ t=X_ 0+\int^ t_ 0A(s,X_ s)ds+\int^ t_ 0\int_ UG(s,X_{s- },u)\tilde N(duds) \tag{*} \] on \(\Phi'\) where \(A:\mathbb{R}_ +\times\Phi'\to\Phi'\), and \(G:\mathbb{R}_ +\times\Phi'\times U\to\Phi'\). The authors prove theorems on existence and uniqueness of a weak solution for equation \((*)\) based on the Galerkin method and martingal idea.
      0 references

      Identifiers