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

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Tappe, S.: Existence of affine realizations for stochastic partial differential equations driven by Lévy processes. In: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences 471 (2015), Nr. 2178, 20150104. DOI: https://doi.org/10.1098/rspa.2015.0104

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To cite the version in the repository, please use this identifier: https://doi.org/10.15488/2309

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Abstract:
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.
License of this version: Es gilt deutsches Urheberrecht. Das Dokument darf zum eigenen Gebrauch kostenfrei genutzt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. Dieser Beitrag ist aufgrund einer (DFG-geförderten) Allianz- bzw. Nationallizenz frei zugänglich.
Publication type: Article
Publishing status: publishedVersion
Publication date: 2015
Keywords english: Affine realization, Invariant foliation, Quasi-exponential volatility, Stochastic partial differential equation, Differential equations, Stochastic programming, Stochastic systems, Affine realizations, Invariant foliations, Quasi-exponential volatility, Semilinear, Stochastic partial differential equation, Partial differential equations
DDC: 510 | Mathematik

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