Lévy driven CARMA generalized processes and stochastic partial differential equations

David Berger

Stochastic Processes and their Applications, 2020, vol. 130, issue 10, 5865-5887

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 unifies all known definitions of CARMA random fields, and in particular for dimension 1 we obtain the classical CARMA process.

Keywords: Infinitely divisible distributions; Lévy white noise; Stochastic partial differential equations; Generalized stochastic processes (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2020.04.009

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