On degenerate linear stochastic evolution equations driven by jump processes

DOI10.1016/J.SPA.2015.05.007MaRDI QIDQ492948zbMATH OpenOpenAlexFDO

Authors James-Michael Leahy, R. Mikulevicius

Publication date 21 August 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1406.4541

zbMATH Keywords

degenerate stochastic parabolic PDEsjump processesstochastic integro-differential equations\(L^2\) theorydegenerate linear stochastic evolution equationsLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20)

Abstract: We prove the existence and uniqueness of solutions of degenerate linear stochastic evolution equations driven by jump processes in a Hilbert scale using the variational framework of stochastic evolution equations and the method of vanishing viscosity. As an application of this result, we derive the existence and uniqueness of solutions of degenerate parabolic linear stochastic integro-differential equations (SIDEs) in the Sobolev scale. The SIDEs that we consider arise in the theory of non-linear filtering as the equations governing the conditional density of a degenerate jump-diffusion signal given a jump-diffusion observation, possibly with correlated noise.

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Cited in

(10)

• \(L^2\)-theory of linear degenerate SPDEs and \(L^p ( p > 0)\) estimates for the uniform norm of weak solutions
• On solvability of integro-differential equations
• \(Q_p\)-valued jump processes associated with linear and nonlinear pseudo-differential equations
• On finite difference schemes for partial integro-differential equations of Lévy type
• On classical solutions of linear stochastic integro-differential equations
• On \(L_p\)-solvability of stochastic integro-differential equations
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• A sharp \(L_p\)-regularity result for second-order stochastic partial differential equations with unbounded and fully degenerate leading coefficients

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