Malliavin Differentiability of Solutions of SPDEs with Lévy White Noise

Raluca M. Balan and Cheikh B. Ndongo

International Journal of Stochastic Analysis, 2017, vol. 2017, 1-9

Abstract:

We consider a stochastic partial differential equation (SPDE) driven by a Lévy white noise, with Lipschitz multiplicative term . We prove that, under some conditions, this equation has a unique random field solution. These conditions are verified by the stochastic heat and wave equations. We introduce the basic elements of Malliavin calculus with respect to the compensated Poisson random measure associated with the Lévy white noise. If is affine, we prove that the solution is Malliavin differentiable and its Malliavin derivative satisfies a stochastic integral equation.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://downloads.hindawi.com/journals/IJSA/2017/9693153.pdf (application/pdf)
http://downloads.hindawi.com/journals/IJSA/2017/9693153.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:9693153

DOI: 10.1155/2017/9693153

Access Statistics for this article

More articles in International Journal of Stochastic Analysis from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().