Lévy driven CARMA generalized processes and stochastic partial differential equations

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

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

OriginalspracheEnglisch
Seiten (von - bis)5865-5887
Seitenumfang23
FachzeitschriftStochastic processes and their applications
Jahrgang130
Ausgabenummer10
PublikationsstatusVeröffentlicht - Okt. 2020
Peer-Review-StatusJa

Schlagworte

Schlagwörter

  • Generalized stochastic processes, Infinitely divisible distributions, Lévy white noise, Stochastic partial differential equations