Uniqueness in law of the stochastic convolution process driven by Lévy noise

DOI10.1214/EJP.V18-2807zbMATH Open1284.60125arXiv1010.5941OpenAlexW1998173574WikidataQ59225656 ScholiaQ59225656MaRDI QIDQ388933FDOQ388933

Authors: Zdzislaw Brzezniak, Erika Hausenblas, Elżbieta Motyl

Publication date: 17 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We will give a proof of the following fact. If

m a t h f r a k A_{1}

and

m a t h f r a k A_{2}

,

i l d e e t a_{1}

and

i l d e e t a_{2}

,

x i_{1}

and

x i_{2}

are two examples of filtered probability spaces, time homogeneous compensated Poisson random measures, and progressively measurable Banach space valued processes such that the laws on

L^{p} ([0, T], L^{p} (Z, u; E)) i m e s C M_{I} ([0, T] i m e s Z)

of the pairs

(x i_{1}, e t a_{1})

and

(x i_{2}, e t a_{2})

%,

i = 1, 2

, are equal, and

u_{1}

and

u_{2}

are the corresponding stochastic convolution processes, then the laws on

(D D ([0, T]; X) c a p L^{p} ([0, T]; B)) i m e s L^{p} ([0, T], L^{p} (Z, u; E)) i m e s C M_{I} ([0, T] i m e s Z)

, where

B s u b s e t E s u b s e t X

, of the triples

(u_{i}, x i_{i}, e t a_{i})

,

i = 1, 2

, are equal as well. By

D D ([0, T]; X)

we denote the Skorokhod space of

X

-valued processes.

Full work available at URL: https://arxiv.org/abs/1010.5941

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zbMATH Keywords

stochastic partial differential equations Poisson random measure uniqueness in law stochastic convolution process

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random measures (60G57)

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