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Malliavin Differentiability of Solutions of SPDEs with Lévy White Noise

Raluca M. Balan & Cheikh B. Ndongo

International Journal of Stochastic Analysis2017https://doi.org/10.1155/2017/9693153preprint
ABDC B
Weight
0.26

Abstract

We consider a stochastic partial differential equation (SPDE) driven by a Lévy white noise, with Lipschitz multiplicative term σ. We prove that, under some conditions, this equation has a unique random field solution. These conditions are verified by the stochastic heat and wave equations. We introduce the basic elements of Malliavin calculus with respect to the compensated Poisson random measure associated with the Lévy white noise. If σ is affine, we prove that the solution is Malliavin differentiable and its Malliavin derivative satisfies a stochastic integral equation.

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https://doi.org/https://doi.org/10.1155/2017/9693153

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@article{raluca2017,
  title        = {{Malliavin Differentiability of Solutions of SPDEs with Lévy White Noise}},
  author       = {Raluca M. Balan & Cheikh B. Ndongo},
  journal      = {International Journal of Stochastic Analysis},
  year         = {2017},
  doi          = {https://doi.org/https://doi.org/10.1155/2017/9693153},
}

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Malliavin Differentiability of Solutions of SPDEs with Lévy White Noise

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0.26

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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