Covariance structure of parabolic stochastic partial differential equations with multiplicative Lévy noise
Preprint, 2015

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.

Space-time variational problems on tensor product spaces

Stochastic partial differential equations

Multiplicative L\'evy noise

Author

Kristin Kirchner

University of Gothenburg

Chalmers, Mathematical Sciences, Mathematics

Annika Lang

Chalmers, Mathematical Sciences, Mathematical Statistics

University of Gothenburg

Stig Larsson

University of Gothenburg

Chalmers, Mathematical Sciences, Mathematics

Roots

Basic sciences

Subject Categories

Probability Theory and Statistics

Mathematical Analysis