Lévy driven CARMA generalized processes and stochastic partial differential equations
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
Beitragende
Abstract
We give a new definition of a Lévy driven CARMA random field, defining it as a generalized solution of a stochastic partial differential equation (SPDE). Furthermore, we give sufficient conditions for the existence of a mild solution of our SPDE. Our model unifies all known definitions of CARMA random fields, and in particular for dimension 1 we obtain the classical CARMA process.
Details
| Originalsprache | Englisch |
|---|---|
| Seiten (von - bis) | 5865-5887 |
| Seitenumfang | 23 |
| Fachzeitschrift | Stochastic processes and their applications |
| Jahrgang | 130 |
| Ausgabenummer | 10 |
| Publikationsstatus | Veröffentlicht - Okt. 2020 |
| Peer-Review-Status | Ja |
Schlagworte
ASJC Scopus Sachgebiete
Schlagwörter
- Generalized stochastic processes, Infinitely divisible distributions, Lévy white noise, Stochastic partial differential equations