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Covariance structure of parabolic stochastic partial differential equations with multiplicative Lévy noise

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Authors Kristin Kirchner
Annika Lang
Stig Larsson
Publication year 2015
Published at Department of Mathematical Sciences, Mathematical Statistics
Department of Mathematical Sciences, Mathematics
Language en
Links arxiv.org/abs/1506.00624
https://gup.ub.gu.se/file/163355
Keywords Stochastic partial differential equations, Multiplicative L\'evy noise, Space-time variational problems on tensor product spaces
Subject categories Mathematical Analysis, Mathematical statistics

Abstract

We consider parabolic stochastic partial differential equations driven by multiplicative L\'evy noise of an affine type. For the second moment of the mild solution, we derive a well-posed deterministic space-time variational problem posed on tensor product spaces, which subsequently leads to a deterministic equation for the covariance function.

Page Manager: Webmaster|Last update: 9/11/2012
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