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How to determine the law of the solution to a stochastic partial differential equation driven by a Ĺvy space-time noise?

  • Hanno Gottschalk*
  • , Boubaker Smii
  • *Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

We consider a stochastic partial differential equation on a lattice t X= (Δ- m2) X-λ Xp +, where is a space-time Ĺvy noise. A perturbative (in the sense of formal power series) strong solution is given by a tree expansion, whereas the correlation functions of the solution are given by a perturbative expansion with coefficients that are represented as sums over a certain class of graphs, called Parisi-Wu graphs. The perturbative expansion of the truncated (connected) correlation functions is obtained via a linked cluster theorem as sums over connected graphs only. The moments of the stationary solution can be calculated as well. In all these solutions the cumulants of the single site distribution of the noise enter as multiplicative constants. To determine them, e.g., by comparison with an empirical correlation function, one can fit these constants (e.g., by the methods of least squares) and thereby one (approximately) determines laws of the solution and the driving noise.

Original languageEnglish
Article number043303
JournalJournal of Mathematical Physics
Volume48
Issue number4
DOIs
StatePublished - 2007
Externally publishedYes

ASJC Scopus subject areas

  • Statistical and Nonlinear Physics
  • Mathematical Physics

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