Integration with respect to Lévy colored noise, with applications to SPDEs

DOI10.1080/17442508.2014.956103MaRDI QIDQ5265790zbMATH OpenOpenAlexFDO

Authors Raluca M. Balan

Publication date 29 July 2015

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.8426

zbMATH Keywords

stochastic heat equationstochastic wave equationstochastic integralsLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integrals (60H05)

Abstract: In this article, we introduce a L'evy analogue of the spatially homogeneous Gaussian noise of Dalang (1999), and we construct a stochastic integral with respect to this noise. The spatial covariance of the noise is given by a tempered measure $mu$ on $$, whose density is given by $|h{|}^2$ for a complex-valued function $h$. Without assuming that the Fourier transform of $mu$ is a non-negative function, we identify a large class of integrands with respect to this noise. As an application, we examine the linear stochastic heat and wave equations driven by this type of noise.

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Cited in

(10)

• Malliavin differentiability of solutions of SPDEs with Lévy white noise
• Existence and pathwise uniqueness to an SPDE driven by -stable colored noise
• SPDEs with coloured noise: Analytic and stochastic approaches
• SPDEs with \(\alpha\)-stable Lévy noise: a random field approach
• Integration by parts formula and applications for SDEs with Lévy noise
• Stochastic wave equation with heavy-tailed noise: uniqueness of solutions and past light-cone property
• Intermittency for the wave equation with Lévy white noise
• Level sets of the stochastic wave equation driven by a symmetric Lévy noise
• Path properties of the solution to the stochastic heat equation with Lévy noise
• Hyperbolic Anderson model with Lévy white noise: spatial ergodicity and fluctuation

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