A class of Lévy driven SDEs and their explicit invariant measures

DOI10.1007/s11118-016-9544-3zbMath1350.60049arXiv1407.3943OpenAlexW2197344677MaRDI QIDQ308998

Elisa Mastrogiacomo, Luca Di Persio, Boubaker Smii, Sergio A. Albeverio

Publication date: 6 September 2016

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.3943

zbMATH Keywords

stochastic differential equationsinvariant measuresDirichlet formsLévy noiseground state transformationLévy-type generatorsOrnstein-Uhlenbeck-Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Transition functions, generators and resolvents (60J35) Stochastic integral equations (60H20)

Related Items (13)

Linear response theory for nonlinear stochastic differential equations with \(\alpha\)-stable Lévy noises ⋮ Invariant measures and boundedness in the mean for stochastic equations driven by Lévy noise ⋮ A nonlinear Kolmogorov equation for stochastic functional delay differential equations with jumps ⋮ Explicit representation of characteristic function of tempered α‐stable Ornstein–Uhlenbeck process ⋮ Non-local Markovian symmetric forms on infinite dimensional spaces. II: Applications: non local stochastic quantization of space cut-off quantum fields and infinite particle systems ⋮ Gaussian estimates on networks with dynamic stochastic boundary conditions ⋮ Optimal control for the stochastic Fitzhugh-Nagumo model with recovery variable ⋮ A Functional Analytic Approach to Infinite Dimensional Stochastic Linear Systems ⋮ Non-local Markovian symmetric forms on infinite dimensional spaces. I: The closability and quasi-regularity ⋮ Asymptotic expansions for SDE's with small multiplicative noise ⋮ Asymptotic expansion for some local volatility models arising in finance ⋮ Asymptotic expansion of the transition density of the semigroup associated to a SDE driven by Lévy noise ⋮ Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate

Cites Work

• Energy forms, Hamiltonians, and distorted Brownian paths
• On uniqueness of invariant measures for finite- and infinite-dimensional diffusions
• CONVOLUTED GENERALIZED WHITE NOISE, SCHWINGER FUNCTIONS AND THEIR ANALYTIC CONTINUATION TO WIGHTMAN FUNCTIONS
• Foundations of Modern Probability
• Pseudo differential operators with negative definite symbols and the martingale problem
• Linear Parabolic Stochastic PDE and Wiener Chaos
• Random perturbations of the reduced Fitzhugh-Nagumo equation
• Ergodic theory of chaos and strange attractors
• Stochastic Integrals and the Lévy–Ito Decomposition Theorem on Separable Banach Spaces
• ASYMPTOTICS OF INFINITE-DIMENSIONAL INTEGRALS WITH RESPECT TO SMOOTH MEASURES I
• GENERATORS OF MEHLER-TYPE SEMIGROUPS AS PSEUDO-DIFFERENTIAL OPERATORS
• Ergodicity for Infinite Dimensional Systems
• On linear evolution equations with cylindrical L\'evy noise
• Sharp Laplace Asymptotics For a Parabolic SPDE
• Asymptotic expansions for ornstein-uhlenbeck semigroups perturbed by potentials over banach spaces
• Stochastic Processes and Applications
• Dynamic and generalized Wentzell node conditions for network equations
• SYSTEMS OF CLASSICAL PARTICLES IN THE GRAND CANONICAL ENSEMBLE, SCALING LIMITS AND QUANTUM FIELD THEORY
• Stochastic Partial Differential Equations with Levy Noise
• Analysis of a FitzHugh–Nagumo–Rall model of a neuronal network
• Some Asymptotic Formulas for Wiener Integrals
• A Delicate Law of the Iterated Logarithm for Non-Decreasing Stable Processes
• Correction Notes: Correction to "A Delicate Law of the Iterated Logarithm for Non-Decreasing Stable Processes"
• Measure and integration theory. Transl. from the German by Robert B. Burckel
• Analytic functions, Cauchy formula, and stationary phase on a real abstract Wiener space
• Solutions of martingale problems for Lévy-type operators with discontinuous coefficients and related SDEs
• Stochastic Equations in Infinite Dimensions
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On smoothing properties of transition semigroups associated to a class of SDEs with jumps
• Dirichlet forms and symmetric Markov processes.
• The symbol associated with the solution of a stochastic differential equation
• Well posedness and asymptotic behavior for stochastic reaction-diffusion equations with multiplicative Poisson noise
• Quasi Ornstein-Uhlenbeck processes
• Stochastic stability of differential equations. With contributions by G. N. Milstein and M. B. Nevelson
• Strong uniqueness for both Dirichlet operators and stochastic dynamics to Gibbs measures on a path space with exponential interactions
• Interacting particle systems. With a new postface.
• Small noise asymptotic expansions for stochastic PDE's. I: The case of a dissipative polynomially bounded non linearity
• Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
• Long time existence for the heat equation with a noise term
• Asymptotic expansions for the Laplace approximations for Itô functionals of Brownian rough paths
• Smoluchowski-Kramers approximation for a general class of SPDEs
• Global flows with invariant (Gibbs) measures for Euler and Navier-Stokes two dimensional fluids
• Large deviation estimates in the stochastic quantization of \(\phi ^ 4_ 2\)
• Explicit representation of strong solutions of SDEs driven by infinite-dimensional Lévy processes
• The Feynman graph representation of convolution semigroups and its applications to Lévy statistics
• Existence of mild solutions for stochastic differential equations and semilinear equations with non-Gaussian Lévy noise
• The statistical mechanics of quantum lattice systems. A path integral approach.
• Stochastic partial differential equations. A modeling, white noise functional approach
• Stochastic FitzHugh-Nagumo equations on networks with impulsive noise
• Semigroups of linear operators and applications to partial differential equations
• Absolute continuity of operator-self-decomposable distributions on \(R^ n\)
• On the stochastic quantization of field theory
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• A family of Fourier integral operators and the fundamental solution for a Schrödinger equation
• Introduction to the theory of (non-symmetric) Dirichlet forms
• Spectral analysis of pseudodifferential operators
• Parabolic Ito equations with monotone nonlinearities
• Closability and resolvent of Dirichlet forms perturbed by jumps
• Invariant measures and evolution equations for Markov processes characterized via martingale problems
• Ergodicity for the stochastic dynamics of quasi-invariant measures with applications to Gibbs states
• Characteristic functions and symbols in the theory of Feller processes
• Strong solutions to the stochastic quantization equations.
• Selfadjointness of some infinite-dimensional elliptic operators and application to stochastic quantization
• Invariant measures and symmetry property of Lévy type operators
• Differentiability of Markov semigroups for stochastic reaction-diffusion equations and applications to control
• Parabolic SPDEs driven by Poisson white noise
• A function space large deviation principle for certain stochastic integrals
• Some non-linear s. p. d. e's that are second order in time
• Generalized Mehler semigroups and catalytic branching processes with immigration
• Stochastic partial differential equations driven by Lévy space-time white noise.
• Generalized Mehler semigroups: The non-Gaussian case
• On uniqueness problems related to the Fokker-Planck-Kolmogorov equation for measures
• Asymptotic expansions for SDE's with small multiplicative noise
• Stochastic differential equations in infinite dimensions: Solutions via Dirichlet forms
• Invariant measures for SDEs driven by Lévy noise: a case study for dissipative nonlinear drift in infinite dimension
• A concise course on stochastic partial differential equations
• Markov processes, semigroups and generators.
• Small noise asymptotic expansions for stochastic PDE's driven by dissipative nonlinearity and Lévy noise
• Mathematical physiology. I: Cellular physiology
• Gaussian estimates for a heat equation on a network
• A model of the term structure of interest rates based on Lévy fields
• Interest rate models: an infinite dimensional stochastic analysis perspective
• Asymptotic expansions for the Laplace approximations of sums of Banach space-valued random variables
• A criterion for invariant measures of Itô processes based on the symbol
• Differential equation s in abstract spaces
• Lie groups. An approach through invariants and representations
• Stochastic partial differential equations driven by Lévy space-time white noise
• Markov processes and generalized Schrödinger equations
• Fokker-Planck equations for nonlinear dynamical systems driven by non-Gaussian Lévy processes
• Existence of Weak Solutions for a Class of Semilinear Stochastic Wave Equations
• The Trace Formula for the Heat Semigroup with Polynomial Potential
• Uniqueness in Law of the Itô Integral with Respect to Lévy Noise
• Stochastic Integration in Banach Spaces
• Lévy–Schrödinger wave packets
• Equivalence of Stochastic Equations and Martingale Problems
• Some Methods of Infinite Dimensional Analysis in Hydrodynamics: An Introduction
• Stochastic Differential Equations in Infinite Dimensions
• Absolutely Continuous Laws of Jump-Diffusions in Finite and Infinite Dimensions with Applications to Mathematical Finance
• Itô formula for stochastic integrals w.r.t. compensated Poisson random measures on separable Banach spaces
• How to determine the law of the solution to a stochastic partial differential equation driven by a Lévy space-time noise?
• DIRICHLET FORMS IN TERMS OF WHITE NOISE ANALYSIS I: CONSTRUCTION AND QFT EXAMPLES
• Analytical and Simulation Results for the Stochastic Spatial Fitzhugh-Nagumo Model Neuron
• ANALYSIS OF THE STOCHASTIC FITZHUGH–NAGUMO SYSTEM
• LOCAL WELL-POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE
• Credit risk with infinite dimensional Lévy processes
• Lévy Processes and Stochastic Calculus
• On processes of ornstein-uhlenbeck type in hilbert space
• A criterion for invariant measures of markov processes
• Introduction to Theoretical Neurobiology
• Parabolic Ito Equations
• Dirichlet forms and diffusion processes on rigged Hilbert spaces

This page was built for publication: A class of Lévy driven SDEs and their explicit invariant measures