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Stochastic integration in Hilbert spaces with respect to cylindrical martingale-valued measures
dc.creator | Alvarado Solano, Anddy Enrique | |
dc.creator | Fonseca Mora, Christian Andrés | |
dc.date.accessioned | 2022-07-11T18:14:35Z | |
dc.date.available | 2022-07-11T18:14:35Z | |
dc.date.issued | 2021 | |
dc.identifier.citation | https://alea.impa.br/articles/v18/18-47.pdf | es_ES |
dc.identifier.issn | 1980-0436 | |
dc.identifier.uri | https://hdl.handle.net/10669/86930 | |
dc.description.abstract | In this work we introduce a theory of stochastic integration for operator-valued integrands with respect to some classes of cylindrical martingale-valued measures in Hilbert spaces. The integral is constructed via the radonification of cylindrical martingales by a Hilbert-Schmidt operator theorem and unifies several other theories of stochastic integration in Hilbert spaces. In particular, our theory covers the theory of stochastic integration with respect to a Hilbert space valued Lévy process with second moments, with respect to a cylindrical Lévy processes with (weak) second moments and with respect to a Lévy-valued random martingale measures with finite second moment. As an application of our theory of integration we prove existence and uniqueness of solutions for stochastic stochastic partial differential equations driven by multiplicative cylindrical martingale-valued measure noise with rather general coefficients. Existence and uniqueness of solutions in the presence of multiplicative Lévy noise (with no moments assumptions) is also proved. | es_ES |
dc.language.iso | eng | es_ES |
dc.source | ALEA,18, 1267–1295 | es_ES |
dc.subject | Cylindrical martingale | es_ES |
dc.subject | Stochastic integrals | es_ES |
dc.subject | Stochastic partial differential equations | es_ES |
dc.subject | Cylindrical Lévy processes | es_ES |
dc.title | Stochastic integration in Hilbert spaces with respect to cylindrical martingale-valued measures | es_ES |
dc.type | artículo original | es_ES |
dc.identifier.doi | 10.30757/ALEA.v18-47 | |
dc.description.procedence | UCR::Vicerrectoría de Investigación::Unidades de Investigación::Ciencias Básicas::Centro de Investigaciones en Matemáticas Puras y Aplicadas (CIMPA) | es_ES |
dc.identifier.codproyecto | 821-B9-131 |
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