LOCAL WELL‐POSEDNESS OF MUSIELA’S SPDE WITH LÉVY NOISE

By Carlo Marinelli. 2007

65 citations recorded by the source corpus.

We determine sufficient conditions on the volatility coefficient of Musiela’s stochastic partial differential equation driven by an infinite dimensional Lévy process so that it admits a unique local mild solution in spaces of functions whose first derivative is square integrable with respect to a weight.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/7d9803d2914817b4bace7f60adc7d016c1153788

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Michael Röckner

In Finance

1. Carlo Marinelli
2. Michael Röckner
3. Wei Liu
4. Tusheng Zhang
5. Feng-Yu Wang
6. Benjamin Gess
7. Giuseppe Da Prato
8. Wei David Liu

Citations in the corpus

• Well Posedness and Asymptotic Behavior for Stochastic Reaction-Diffusion Equations with Multiplicative Poisson Noise (2009, background): “also [26]); stochastic PDEs with monotone nonlinearities driven by general martingales have been investigated in [16] in a variational setting, following the approach of [21] (cf.”