Solving some stochastic partial differential equations driven by Lévy noise using two SDEs*

DOI10.1080/17442508.2022.2030340MaRDI QIDQ5056599zbMATH OpenOpenAlexWikidataFDO

Authors Mrad Mohamed

Publication date 8 December 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2022.2030340

zbMATH Keywords

compound random mapsEuler schemesSPDE driven by Lévy noisestochastic characteristics methodstochastic flowsstrong convergence rateutility-SPDE

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cited in

(2)

• How to determine the law of the solution to a stochastic partial differential equation driven by a Lévy space-time noise?
• Dynamic utility and related nonlinear SPDEs driven by Lévy noise

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