Integrability conditions for space-time stochastic integrals: theory and applications

DOI10.3150/14-BEJ640zbMath1333.60112arXiv1303.2468MaRDI QIDQ888479

Carsten Chong, Claudia Klüppelberg

Publication date: 30 October 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.2468

zbMATH Keywords

stochastic partial differential equationmartingale measurerandom measuresLévy basisVolterra processpredictable characteristicsambit processescontinuous-time moving averagespace-time stochastic integrals

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random measures (60G57)

Related Items (14)

Stochastic PDEs with heavy-tailed noise ⋮ Ambit Fields: Survey and New Challenges ⋮ On the approximation of Lévy driven Volterra processes and their integrals ⋮ An ambit stochastic approach to pricing electricity forward contracts: the case of the German energy market ⋮ Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields ⋮ Lévy-driven Volterra equations in space and time ⋮ Ambit Processes, Their Volatility Determination and Their Applications ⋮ Simulation methods and error analysis for trawl processes and ambit fields ⋮ On the divergence and vorticity of vector ambit fields ⋮ Selfdecomposable fields ⋮ Hybrid simulation scheme for volatility modulated moving average fields ⋮ Gamma Kernels and BSS/LSS Processes ⋮ Random field solutions to linear SPDEs driven by symmetric pure jump Lévy space-time white noises ⋮ Path properties of the solution to the stochastic heat equation with Lévy noise

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