Existence of affine realizations for stochastic partial differential equations driven by Lévy processes

Medientyp: E-Artikel; Sonstige Veröffentlichung
Titel: Existence of affine realizations for stochastic partial differential equations driven by Lévy processes
Beteiligte: Tappe, S. [VerfasserIn]
Erschienen: London : Royal Society of London, 2015
Erschienen in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 471 (2015), Nr. 2178
Ausgabe: published Version
Sprache: Englisch
DOI: https://doi.org/10.15488/2309; https://doi.org/10.1098/rspa.2015.0104
ISSN: 1364-5021
Schlagwörter: Stochastic partial differential equation ; Affine realization ; Stochastic programming ; Invariant foliations ; Stochastic systems ; Partial differential equations ; Differential equations ; Affine realizations ; Semilinear ; Invariant foliation ; Quasi-exponential volatility
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Beschreibung: The goal of this paper is to clarify when a semilinear stochastic partial differential equation driven by Lévy processes admits an affine realization. Our results are accompanied by several examples arising in natural sciences and economics. © 2015 The Author(s) Published by the Royal Society. All rights reserved.
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Existence of affine realizations for stochastic partial differential equations driven by Lévy processes - [published Version]