Ambit processes and stochastic partial differential equations

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  • Institut for Økonomi
Ambit processes are general stochastic processes based on stochastic integrals with respect to
Lévy 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 Lévy noise analysis.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider35
StatusUdgivet - 2010

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