Existence of affine realizations for stochastic partial differential equations driven by Lévy processes

2019/06/30 by Tappe, Stefan · 1 citation
#60H15 #91G80 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)

paper · doi:10.48550/arxiv.1907.00335

Abstract

The goal of this paper is to clarify when a semilinear stochastic partial differential equation driven by Lévy processes admits an affine realization. Our results are accompanied by several examples arising in natural sciences and economics.

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