Invariant measures for SDEs driven by Lévy noise: a case study for dissipative nonlinear drift in infinite dimension

DOI10.4310/CMS.2017.V15.N4.A3MaRDI QIDQ2364871zbMATH OpenOpenAlexFDO

Authors Luca Di Persio, E. Mastrogiacomo, Boubaker Smii, S. Albeverio

Publication date 25 July 2017

Published in Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/cms.2017.v15.n4.a3

zbMATH Keywords

dissipative nonlinear driftinvariant measureLévy noisenonlinear SPDEs

Mathematics Subject Classification ID

Pseudodifferential operators as generalizations of partial differential operators (35S05) Invariant measures for infinite-dimensional dissipative dynamical systems (37L40) Nonlinear accretive operators, dissipative operators, etc. (47H06) Stationary stochastic processes (60G10)

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Cited in

(14)

• On a class of stochastic partial differential equations with multiple invariant measures
• Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate
• Asymptotic expansions for SDE's with small multiplicative noise
• Asymptotic expansion for some local volatility models arising in finance
• Small noise asymptotic expansions for stochastic PDE's driven by dissipative nonlinearity and Lévy noise
• Poincaré inequality for linear SPDE driven by Lévy noise
• Poincaré-type inequality and integration by parts formula for non-symmetrical dissipative stochastic systems driven by Lévy noise
• A class of Lévy driven SDEs and their explicit invariant measures
• Asymptotic expansion of the transition density of the semigroup associated to a SDE driven by Lévy noise
• Along paths inspired by Ludwig Streit: stochastic equations for quantum fields and related systems
• Invariant measures and boundedness in the mean for stochastic equations driven by Lévy noise
• A functional analytic approach to infinite dimensional stochastic linear systems
• Uniqueness of invariant measures of infinite dimensional stochastic differential equations driven by Lévy noises
• Variational solutions of dissipative jump-type stochastic evolution equations

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