6533b855fe1ef96bd12b07ec

RESEARCH PRODUCT

Ambit processes and stochastic partial differential equations

Almut E. D. VeraartOle E. Barndorff-nielsenFred Espen BenthFred Espen Benth

subject

Continuous-time stochastic processwhite noise analysisambit processesstochastic partial differential equationsStochastic modellingMathematical analysisStochastic calculusMalliavin calculusStochastic partial differential equationStochastic differential equationmartingale measuresMathematics::ProbabilityLocal martingaleLévy basesApplied mathematicsMartingale (probability theory)Mathematics

description

Ambit processes are general stochastic processes based on stochastic integrals with respect to Levy bases. Due to their flexible structure, they have great potential for providing realistic models for various applications such as in turbulence and finance. This papers studies the connection between ambit processes and solutions to stochastic partial differential equations. We investigate this relationship from two angles: from the Walsh theory of martingale measures and from the viewpoint of the Levy noise analysis.

yearjournalcountryeditionlanguage
2011-01-01
10.1007/978-3-642-18412-3_2https://pure.au.dk/portal/da/publications/ambit-processes-and-stochastic-partial-differential-equations(c25eedd0-1ba1-11df-b95d-000ea68e967b).html