The heat equation with Lévy noise

Carl Mueller

Stochastic Processes and their Applications, 1998, vol. 74, issue 1, 67-82

Abstract: We prove short-time existence for parabolic equations with Lévy noise of the form where is nonnegative Lévy noise of index is the power of the Laplacian, , and is a continuous nonnegative function. is a bounded open domain in . A sufficient condition for short time existence is While we cannot prove uniqueness, we show that the solution we construct is minimal among all solutions.

Keywords: Heat; equation; Stochastic; partial; differential; equations; Lévy; processes (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (9)

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