On degenerate linear stochastic evolution equations driven by jump processes

James-Michael Leahy and Remigijus Mikulevičius

Stochastic Processes and their Applications, 2015, vol. 125, issue 10, 3748-3784

Abstract: We prove the existence and uniqueness of solutions of degenerate linear stochastic evolution equations driven by jump processes in a Hilbert scale using the variational framework of stochastic evolution equations and the method of vanishing viscosity. As an application of this result, we derive the existence and uniqueness of solutions of degenerate parabolic linear stochastic integro-differential equations (SIDEs) in the Sobolev scale. The SIDEs that we consider arise in the theory of non-linear filtering as the equations governing the conditional density of a degenerate jump–diffusion signal given a jump–diffusion observation, possibly with correlated noise.

Keywords: Systems of stochastic integro-differential equations; L2 theory; Degenerate stochastic parabolic PDEs; Levy processes (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spa.2015.05.007

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