Stochastic partial differential equations driven by Lévy space-time white noise
Løkka, Arne ; Øksendal, Bernt ; Proske, Frank
Ann. Appl. Probab., Tome 14 (2004) no. 1, p. 1506-1528 / Harvested from Project Euclid
In this paper we develop a white noise framework for the study of stochastic partial differential equations driven by a d-parameter (pure jump) Lé vy white noise. As an example we use this theory to solve the stochastic Poisson equation with respect to Lévy white noise for any dimension d. The solution is a stochastic distribution process given explicitly. We also show that if d≤3, then this solution can be represented as a classical random field in L2(μ), where μ is the probability law of the L évy process. The starting point of our theory is a chaos expansion in terms of generalized Charlier polynomials. Based on this expansion we define Kondratiev spaces and the Lévy Hermite transform.
Publié le : 2004-08-14
Classification:  Lévy processes,  white noise analysis,  stochastic partial differential equations,  60G51,  60H40,  60H15
@article{1089736294,
     author = {L\o kka, Arne and \O ksendal, Bernt and Proske, Frank},
     title = {Stochastic partial differential equations driven by L\'evy space-time white noise},
     journal = {Ann. Appl. Probab.},
     volume = {14},
     number = {1},
     year = {2004},
     pages = { 1506-1528},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1089736294}
}
Løkka, Arne; Øksendal, Bernt; Proske, Frank. Stochastic partial differential equations driven by Lévy space-time white noise. Ann. Appl. Probab., Tome 14 (2004) no. 1, pp.  1506-1528. http://gdmltest.u-ga.fr/item/1089736294/