Existence and pathwise uniqueness to an SPDE driven by alpha-stable colored noise

Xiong, Jie1; Yang, Xu2

2019-08

10.1016/j.spa.2018.08.003

STOCHASTIC PROCESSES AND THEIR APPLICATIONS   影响因子和分区

0304-4149

1879-209X

In this paper we study a stochastic partial differential equation (SPDE) with Holder continuous coefficient driven by an alpha-stable colored noise. The pathwise uniqueness is proved by using a backward doubly stochastic differential equation backward (SDE) to take care of the Laplacian. The existence of solution is shown by considering the weak limit of a sequence of SDE system which is obtained by replacing the Laplacian operator in the SPDE by its discrete version. We also study an SDE system driven by Poisson random measures. (C) 2018 Elsevier B.V. All rights reserved.

Stochastic partial differential equation Colored noise Stable Existence Pathwise uniqueness

SCI ; EI

英语

第一

First-Class Disciplines Foundation of Ningxia[NXYLXK2017B09]

Mathematics

Statistics & Probability

WOS:000473123800003

ELSEVIER SCIENCE BV

20184105924815

Laplace transforms ; Mathematical operators ; Partial differential equations ; Stochastic programming ; White noise

Calculus:921.2 ; Mathematical Transformations:921.3 ; Systems Science:961

MATHEMATICS

Web of Science

1.Southern Univ Sci & Technol, Dept Math, Shenzhen, Peoples R China
2.North Minzu Univ, Sch Math & Informat Sci, Yinchuan, Peoples R China

Xiong, Jie,Yang, Xu. Existence and pathwise uniqueness to an SPDE driven by alpha-stable colored noise[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS,2019,129(8):2681-2722.

Xiong, Jie,&Yang, Xu.(2019).Existence and pathwise uniqueness to an SPDE driven by alpha-stable colored noise.STOCHASTIC PROCESSES AND THEIR APPLICATIONS,129(8),2681-2722.

Xiong, Jie,et al."Existence and pathwise uniqueness to an SPDE driven by alpha-stable colored noise".STOCHASTIC PROCESSES AND THEIR APPLICATIONS 129.8(2019):2681-2722.