Poisson Malliavin calculus in Hilbert space with an application to SPDE

arXiv1703.07259MaRDI QIDQ6284632FDOQ6284632

Authors: Adam Andersson, Felix Lindner 

Publication date: 21 March 2017

Abstract: In this paper we introduce a Hilbert space-valued Malliavin calculus for Poisson random measures. It is solely based on elementary principles from the theory of point processes and basic moment estimates, and thus allows for a simple treatment of the Malliavin operators. The main part of the theory is developed for general Poisson random measures, defined on a $sigma$-finite measure space, with minimal conditions. The theory is shown to apply to a space-time setting, suitable for studying stochastic partial differential equations. As an application, we analyze the weak order of convergence of space-time approximations for a class of linear equations with $alpha$-stable noise, $alphain(1,2)$. For a suitable class of test functions, the weak order of convergence is found to be $alpha$ times the strong order.

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

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