Lévy driven CARMA generalized processes and stochastic partial differential equations
Research output: Contribution to journal › Research article › Contributed › peer-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 language | English |
|---|---|
| Pages (from-to) | 5865-5887 |
| Number of pages | 23 |
| Journal | Stochastic processes and their applications |
| Volume | 130 |
| Issue number | 10 |
| Publication status | Published - Oct 2020 |
| Peer-reviewed | Yes |
Keywords
ASJC Scopus subject areas
Keywords
- Generalized stochastic processes, Infinitely divisible distributions, Lévy white noise, Stochastic partial differential equations