Stochastic Integration and Partial Differential Equations

Fred Espen Benth and Paul Krühner
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Fred Espen Benth: University of Oslo
Paul Krühner: Vienna University of Economics and Business

Chapter Chapter 4 in Stochastic Models for Prices Dynamics in Energy and Commodity Markets, 2023, pp 93-107 from Springer

Abstract: Abstract We review the basic theory for stochastic integration in Hilbert space, and present results on the representation of multi-dimensional linear functionals applied to such integral. Our presentation includes Wiener processes and Lévy processes from subordination of Wiener processes as integrators. Then, an account on stochastic partial differential equations of parabolic type is given, with a focus on the existence and uniqueness of mild and weak solutions.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-031-40367-5_4

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DOI: 10.1007/978-3-031-40367-5_4

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