Jump-diffusions in Hilbert spaces: existence, stability and numerics

DOI10.1080/17442501003624407zbMath1230.60066arXiv0810.5023OpenAlexW2013239740MaRDI QIDQ3080997

Damir Filipović, Josef Teichmann, Stefan Tappe

Publication date: 11 March 2011

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0810.5023

zbMATH Keywords

existenceuniquenessstochastic partial differential equationscoordinate transformationstability resultscompensated Poisson random measurehigh-order numerical schemesmild and weak solutionsmoving-frame method

Mathematics Subject Classification ID

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Cites Work

• Itô's formula in UMD Banach spaces and regularity of solutions of the Zakai equation
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• Regular dependence on initial data for stochastic evolution equations with multiplicative Poisson noise
• Towards a general theory of bond markets
• A series approach to stochastic differential equations with infinite dimensional noise
• On the geometry of the term structure of interest rates
• Cubature on Wiener space
• A Note on Maximal Inequality for Stochastic Convolutions
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• Cubature on Wiener space in infinite dimension
• Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces
• Stochastic Partial Differential Equations with Levy Noise
• Stochastic Convolutions Driven by Martingales: Maximal Inequalities and Exponential Integrability
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