L\'{e}vy driven CARMA generalized processes and stochastic partial differential equations
Probability
2019-04-08 v1
Abstract
We give a new definition of a L\'{e}vy driven CARMA random field, defining it as a generalized solution of a stochastic partial differential equation (SPDE). Furthermore, we give sufficient conditions for the existence of a mild solution of our SPDE. Our model finds a connection between all known definitions of CARMA random fields, and especially for dimension 1 we obtain the classical CARMA process.
Keywords
Cite
@article{arxiv.1904.02928,
title = {L\'{e}vy driven CARMA generalized processes and stochastic partial differential equations},
author = {David Berger},
journal= {arXiv preprint arXiv:1904.02928},
year = {2019}
}