Lévy driven CARMA generalized processes and stochastic partial differential equations

Research output: Contribution to journalResearch articleContributedpeer-review

Contributors

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

Original languageEnglish
Pages (from-to)5865-5887
Number of pages23
JournalStochastic processes and their applications
Volume130
Issue number10
Publication statusPublished - Oct 2020
Peer-reviewedYes

Keywords

Keywords

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