Jump-diffusions in Hilbert spaces: existence, stability and numerics

DOI10.1080/17442501003624407zbMATH Open1230.60066arXiv0810.5023OpenAlexW2013239740MaRDI QIDQ3080997FDOQ3080997

Damir Filipović, Josef Teichmann, Stefan Tappe

Publication date: 11 March 2011

Published in: Stochastics (Search for Journal in Brave)

Abstract: By means of an original approach, called "method of the moving frame", we establish existence, uniqueness and stability results for mild and weak solutions of stochastic partial differential equations (SPDEs) with path dependent coefficients driven by an infinite dimensional Wiener process and a compensated Poisson random measure. Our approach is based on a time-dependent coordinate transform, which reduces a wide class of SPDEs to a class of simpler SDE problems. We try to present the most general results, which we can obtain in our setting, within a self-contained framework to demonstrate our approach in all details. Also several numerical approaches to SPDEs in the spirit of this setting are presented.

Full work available at URL: https://arxiv.org/abs/0810.5023

zbMATH Keywords

stochastic partial differential equationsexistenceuniquenesscoordinate transformationstability resultscompensated Poisson random measurehigh-order numerical schemesmild and weak solutionsmoving-frame method

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (33)

• Compact embeddings for spaces of forward rate curves
• On a class of stochastic partial differential equations with multiple invariant measures
• Foundations of the theory of semilinear stochastic partial differential equations
• Stability of coupled jump diffusions and applications
• Strong averaging principle for slow-fast SPDEs with Poisson random measures
• A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS
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