On degenerate linear stochastic evolution equations driven by jump processes

DOI10.1016/J.SPA.2015.05.007MaRDI QIDQ492948zbMATH OpenOpenAlexFDO

Authors James-Michael Leahy, R. Mikulevicius

Publication date 21 August 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1406.4541

zbMATH Keywords

\(L^2\) theorydegenerate linear stochastic evolution equationsdegenerate stochastic parabolic PDEsjump processesLévy processesstochastic integro-differential equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20)

Abstract: We prove the existence and uniqueness of solutions of degenerate linear stochastic evolution equations driven by jump processes in a Hilbert scale using the variational framework of stochastic evolution equations and the method of vanishing viscosity. As an application of this result, we derive the existence and uniqueness of solutions of degenerate parabolic linear stochastic integro-differential equations (SIDEs) in the Sobolev scale. The SIDEs that we consider arise in the theory of non-linear filtering as the equations governing the conditional density of a degenerate jump-diffusion signal given a jump-diffusion observation, possibly with correlated noise.

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Cited in

(11)

• On \(L_p\)-solvability of stochastic integro-differential equations
• Sharpness of Lenglart's domination inequality and a sharp monotone version
• On solvability of integro-differential equations
• On finite difference schemes for partial integro-differential equations of Lévy type
• \(L^2\)-theory of linear degenerate SPDEs and \(L^p ( p > 0)\) estimates for the uniform norm of weak solutions
• \(Q_p\)-valued jump processes associated with linear and nonlinear pseudo-differential equations
• scientific article; zbMATH DE number 3857575 (Why is no real title available?)
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• A weighted L_q(L_p)-theory for fully degenerate second-order evolution equations with unbounded time-measurable coefficients
• Lagrangian averaged stochastic advection by Lie transport for fluids

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