scientific article; zbMATH DE number 5174016

MaRDI QIDQ5294262zbMATH OpenFDO

Authors David Applebaum

Publication date 24 July 2007

Mathematics Subject Classification ID

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

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Cited in

(20)

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

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