Covariance structure of parabolic stochastic partial differential equations with multiplicative Lévy noise

DOI10.1016/J.JDE.2017.02.021MaRDI QIDQ2400591zbMATH OpenOpenAlexWikidataFDO

Authors Kristin Kirchner, Annika Lang, Stig Larsson

Publication date 29 August 2017

Published in Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.00624

zbMATH Keywords

multiplicative Lévy noisespace-time variational problemsstochastic partial differential equations

Mathematics Subject Classification ID

Abstract parabolic equations (35K90) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: The characterization of the covariance function of the solution process to a stochastic partial differential equation is considered in the parabolic case with multiplicative L'evy noise of affine type. For the second moment of the mild solution, a well-posed deterministic space-time variational problem posed on projective and injective tensor product spaces is derived, which subsequently leads to a deterministic equation for the covariance function.

Review text

In this paper, the authors study the covariance function to solution processes of parabolic stochastic partial differential equations driven by multiplicative Lévy noise. Unless that in this case the covariance function does not fully characterize the solution process it is still of interest. It is proved that the second moment and the covariance of the square-integrable mild solution satisfy deterministic space-time variational problems posed on tensor products of Bochner spaces.

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Cites work

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Cited in

(6)

• Mean-square stability analysis of approximations of stochastic differential equations in infinite dimensions
• Covariance structure of parabolic stochastic partial differential equations
• Numerical methods for the deterministic second moment equation of parabolic stochastic PDEs
• Monte Carlo convergence rates for kth moments in Banach spaces
• Regularity theory for a new class of fractional parabolic stochastic evolution equations
• Spectral approximation of a class of stochastic time-fractional evolution equations

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