Department of Economics and Business Economics

Ambit processes and stochastic partial differential equations

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    Final published version, 330 KB, PDF document

  • School of Economics and Management
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.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages35
Publication statusPublished - 2010

    Research areas

  • Ambit processes, stochastic partial differential equations, Lévy bases, Lévy noise, Walsh theory of martingale measures, turbulence, finance

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