Explicit Representation of Strong Solutions of SDEs Driven by Infinite-Dimensional Lévy Processes

Thilo Meyer-Brandis () and Frank Proske ()
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Thilo Meyer-Brandis: University of Oslo
Frank Proske: University of Oslo

Journal of Theoretical Probability, 2010, vol. 23, issue 1, 301-314

Abstract: Abstract We develop a white noise framework for Lévy processes on Hilbert spaces. As the main result of this paper, we then employ these white noise techniques to explicitly represent strong solutions of stochastic differential equations driven by a Hilbert-space-valued Lévy process.

Keywords: Lévy processes; Infinite-dimensional stochastic differential equations; White noise analysis; 60G51; 60G35; 60H15; 60H40; 60H15; 91B70 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s10959-009-0226-6

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