First Order Linear Marcus SPDEs
Probability
2023-03-02 v1
Abstract
In this paper we solve a L\'evy driven linear stochastic first order partial differential equation (transport equation) understood in the canonical (Marcus) form. The solution can be obtained with the help of the method of stochastic characteristics. It has the same form as a solution of a deterministic PDE or a solution of a stochastic PDE driven by a Brownian motion studied by Kunita (1984, 1997).
Keywords
Cite
@article{arxiv.2303.00674,
title = {First Order Linear Marcus SPDEs},
author = {Lena-Susanne Hartmann and Ilya Pavlyukevich},
journal= {arXiv preprint arXiv:2303.00674},
year = {2023}
}
Comments
25 pages, 1 figure