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

DOI10.1080/17442508.2014.956103zbMATH Open1325.60080arXiv1307.8426OpenAlexW2106672948MaRDI QIDQ5265790FDOQ5265790

Raluca M. Balan

Publication date: 29 July 2015

Published in: Stochastics (Search for Journal in Brave)

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.

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

Recommendations

• SPDEs with coloured noise: Analytic and stochastic approaches
• Integration by parts formula and applications for SDEs with Lévy noise
• Stochastic integrals and SDE driven by nonlinear Lévy noise
• SPDEs with colored Gaussian noise: a survey
• On extended stochastic integrals with respect to Lévy processes
• Integration by parts formula for SPDEs with multiplicative noise and its applications
• Stochastic integration for fractional Lévy processes and stochastic differential equations driven by fractional Lévy noises
• Lévy processes and stochastic integrals in the sense of generalized convolutions
• scientific article; zbMATH DE number 2169525

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)

Cites Work

• Spectral representations of infinitely divisible processes
• Title not available (Why is that?)
• Heavy-Tail Phenomena
• Title not available (Why is that?)
• Malliavin Calculus with Applications to Stochastic Partial Differential Equations
• Stochastic integrals for SPDEs: a comparison
• Stochastic Partial Differential Equations with Levy Noise
• Linear SPDEs driven by stationary random distributions
• Harmonic analysis of additive Lévy processes
• Multiparameter processes with stationary increments: spectral representation and integration
• Title not available (Why is that?)

Cited In (9)

• Malliavin differentiability of solutions of SPDEs with Lévy white noise
• Existence and pathwise uniqueness to an SPDE driven by \(\alpha\)-stable colored noise
• SPDEs with coloured noise: Analytic and stochastic approaches
• 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

This page was built for publication: Integration with respect to Lévy colored noise, with applications to SPDEs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5265790)