scientific article; zbMATH DE number 5174016

zbMATH Open1133.60020MaRDI QIDQ5294262FDOQ5294262

Authors: David Applebaum 

Publication date: 24 July 2007

Title of this publication is not available (Why is that?)

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Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Groups and semigroups of linear operators (47D03)

Cited In (19)

• Existence of a class of doubly perturbed stochastic functional differential equations with Poisson jumps
• Uniqueness of invariant measures of infinite dimensional stochastic differential equations driven by Lévy noises
• Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility
• Moment decay rates of infinite dimensional stochastic evolution equations with memory and Markovian jumps
• Normal convergence using Malliavin calculus with applications and examples
• Stochastic integration for Lévy processes with values in Banach spaces
• The stochastic Cauchy problem driven by a cylindrical Lévy process
• Infinite dimensional Ornstein-Uhlenbeck processes driven by Lévy processes
• Differential equations driven by Lévy white noise in spaces of Hilbert space-valued stochastic distributions
• Ornstein-Uhlenbeck equations with time-dependent coefficients and Lévy noise in finite and infinite dimensions
• Stability of infinite dimensional stochastic evolution equations with memory and Markovian jumps
• Controllability and qualitative properties of the solutions to SPDEs driven by boundary Lévy noise
• A stochastic Gronwall lemma and well-posedness of path-dependent SDEs driven by martingale noise
• On the infinitesimal generators of Ornstein-Uhlenbeck processes with jumps in Hilbert space
• Stochastic integration in Hilbert spaces withrespect to cylindrical martingale-valued measures
• Lévy-Ornstein-Uhlenbeck transition semigroup as second quantized operator
• A construction of processes with one dimensional martingale marginals, based upon path-space Ornstein-Uhlenbeck processes and the Brownian sheet
• Stochastic integration and stochastic PDEs driven by jumps on the dual of a nuclear space
• Martingale representation and logarithmic-Sobolev inequality for the fractional Ornstein-Uhlenbeck measure

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