On degenerate linear stochastic evolution equations driven by jump processes

DOI10.1016/J.SPA.2015.05.007zbMATH Open1330.60081arXiv1406.4541OpenAlexW1540628764MaRDI QIDQ492948FDOQ492948

Authors: James-Michael Leahy, R. Mikulevicius 

Publication date: 21 August 2015

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

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.

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

Recommendations

• On \(L_p\)-solvability of stochastic integro-differential equations
• Stochastic evolution equations driven by Lévy processes
• Linear stochastic parabolic equations, degenerating on the boundary of a domain
• On solvability of integro-differential equations
• Stochastic evolution equations of jump type: Existence, uniqueness and large deviation princi\-ples

zbMATH Keywords

degenerate stochastic parabolic PDEsjump processesstochastic integro-differential equations\(L^2\) theorydegenerate linear stochastic evolution equationsLévy processes

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Theory of function spaces
• Title not available (Why is that?)
• Stochastic Partial Differential Equations with Levy Noise
• On stochastics equations with respect to semimartingales ii. itô formula in banach spaces
• Title not available (Why is that?)
• Global inversion of functions: An introduction
• Title not available (Why is that?)
• Title not available (Why is that?)
• On stochastic equations with respect to semimartingales I.^†
• On stochastic squations with respect to semimartingales III
• Time regularity of solutions to linear equations with Lévy noise in infinite dimensions
• On the martingale problem for generators of stable processes with perturbations
• ON THE CAUCHY PROBLEM FOR LINEAR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
• Title not available (Why is that?)
• Title not available (Why is that?)
• A comparison principle for stochastic integro-differential equations
• THE METHOD OF INTRODUCING A PARAMETER IN THE STUDY OF EVOLUTIONARY EQUATIONS
• Title not available (Why is that?)

Cited In (10)

• \(L^2\)-theory of linear degenerate SPDEs and \(L^p ( p > 0)\) estimates for the uniform norm of weak solutions
• On solvability of integro-differential equations
• \(Q_p\)-valued jump processes associated with linear and nonlinear pseudo-differential equations
• On finite difference schemes for partial integro-differential equations of Lévy type
• On classical solutions of linear stochastic integro-differential equations
• Title not available (Why is that?)
• On \(L_p\)-solvability of stochastic integro-differential equations
• Sharpness of Lenglart's domination inequality and a sharp monotone version
• Lagrangian averaged stochastic advection by Lie transport for fluids
• A sharp \(L_p\)-regularity result for second-order stochastic partial differential equations with unbounded and fully degenerate leading coefficients

This page was built for publication: On degenerate linear stochastic evolution equations driven by jump processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q492948)