Lévy driven CARMA generalized processes and stochastic partial differential equations

2019/04/05 by Berger, David
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1904.02928

Abstract

We give a new definition of a Lévy driven CARMA random field, defining it as a generalized solution of a stochastic partial differential equation (SPDE). Furthermore, we give sufficient conditions for the existence of a mild solution of our SPDE. Our model finds a connection between all known definitions of CARMA random fields, and especially for dimension 1 we obtain the classical CARMA process.

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