Lévy driven CARMA generalized processes and stochastic partial differential equations

DOI10.1016/J.SPA.2020.04.009MaRDI QIDQ2196534zbMATH OpenOpenAlexWikidataFDO

Authors David Berger

Publication date 3 September 2020

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

Full work available at URL https://arxiv.org/abs/1904.02928

zbMATH Keywords

generalized stochastic processesinfinitely divisible distributionsLévy white noisestochastic partial differential equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random fields (60G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We give a new definition of a L'{e}vy driven CARMA random field, defining it as a generalized solution of a stochastic partial differential equation (SPDE). Furthermore, we give sufficient conditions for the existence of a mild solution of our SPDE. Our model finds a connection between all known definitions of CARMA random fields, and especially for dimension 1 we obtain the classical CARMA process.

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Cited in

(10)

• The domain of definition of the Lévy white noise
• Wavelet analysis of the Besov regularity of Lévy white noise
• Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields
• Lévy-driven causal CARMA random fields
• Second order elliptic partial differential equations driven by Lévy white noise
• scientific article; zbMATH DE number 7387569 (Why is no real title available?)
• Continuous auto-regressive moving average random fields on \(\mathbb{R}^n\)
• Lévy-driven CARMA processes
• The Carathéodory approximation scheme for stochastic differential equations with G‐Lévy process
• CARMA\((p,q)\) generalized random processes

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