Explicit Representation of Strong Solutions of SDEs Driven by Infinite-Dimensional Lévy Processes

Meyer-Brandis, Thilo und Proske, Frank (2010): Explicit Representation of Strong Solutions of SDEs Driven by Infinite-Dimensional Lévy Processes. In: Journal of Theoretical Probability, Vol. 23, No. 1: pp. 301-314

Abstract

We develop a white noise framework for Lévy processes on Hilbert spaces. As the main result of this paper, we then employ these white noise techniques to explicitly represent strong solutions of stochastic differential equations driven by a Hilbert-space-valued Lévy process.

• Item Type: Journal article
• Faculties: Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics
• Subjects: 500 Science > 510 Mathematics
• ISSN: 0894-9840
• Language: English