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

Författare

Kristin Kirchner

Göteborgs universitet

Chalmers, Matematiska vetenskaper, Matematik

Annika Lang

Chalmers, Matematiska vetenskaper, matematisk statistik

Göteborgs universitet

Stig Larsson

Göteborgs universitet

Chalmers, Matematiska vetenskaper, Matematik

Fundament

Grundläggande vetenskaper

Ämneskategorier

Sannolikhetsteori och statistik

Matematisk analys