Ambit Processes and Stochastic Partial Differential Equations
Copyright policy )Ambit Processes and Stochastic Partial Differential Equations
Ambit processes are general stochastic processes based on stochastic integrals with respect to Levy bases. Due to their flexible structure, they have great potential for providing realistic models for various applications such as in turbulence and finance. This papers studies the connection between ambit processes and solutions to stochastic partial differential equations. We investigate this relationship from two angles: from the Walsh theory of martingale measures and from the viewpoint of the Levy noise analysis.
- University of Oslo Norway
- Imperial College London United Kingdom
- Aarhus University Denmark
- University of Agder Norway
Ambit processes, stochastic partial differential equations, Lévy bases, Lévy noise, Walsh theory of martingale measures, turbulence, finance, white noise analysis, martingale measures, ambit processes, stochastic partial differential equations, Lévy bases
Ambit processes, stochastic partial differential equations, Lévy bases, Lévy noise, Walsh theory of martingale measures, turbulence, finance, white noise analysis, martingale measures, ambit processes, stochastic partial differential equations, Lévy bases
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