Stochastic evolution equations in weighted L² spaces with jump noise

Michel S (2012)
Bielefeld: Universität Bielefeld.

Bielefelder E-Dissertation | Englisch
 
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Autor*in
Michel, Simon
Betreuer*in
Röckner, Michael
Abstract / Bemerkung
In this thesis, we study two classes of stochastic differential equations (SDEs in short) with jump noise in weighted L² spaces over $\mathbb{R}^d$. More precisely, the first class of SDEs is a jump-diffusion model in the sense of Merton, i.e. the SDE is driven by a Wiener noise and a Poisson noise. The second class consists of SDE's with Levy noise. We show existence of mild solutions and establish their regularity properties in the case of a drift term consisting of a nonautonomous linear (differential) operator and a non-Lipschitz Nemitskii-type operator.
Jahr
2012
Page URI
https://pub.uni-bielefeld.de/record/2492386

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Michel S. Stochastic evolution equations in weighted L² spaces with jump noise. Bielefeld: Universität Bielefeld; 2012.
Michel, S. (2012). Stochastic evolution equations in weighted L² spaces with jump noise. Bielefeld: Universität Bielefeld.
Michel, S. (2012). Stochastic evolution equations in weighted L² spaces with jump noise. Bielefeld: Universität Bielefeld.
Michel, S., 2012. Stochastic evolution equations in weighted L² spaces with jump noise, Bielefeld: Universität Bielefeld.
S. Michel, Stochastic evolution equations in weighted L² spaces with jump noise, Bielefeld: Universität Bielefeld, 2012.
Michel, S.: Stochastic evolution equations in weighted L² spaces with jump noise. Universität Bielefeld, Bielefeld (2012).
Michel, Simon. Stochastic evolution equations in weighted L² spaces with jump noise. Bielefeld: Universität Bielefeld, 2012.
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