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Abstract We give a new definition of a Levy driven CARMA random field, defining it as a generalized solution of a stochastic partial differential equation (SPDE). Furthermore, we give sufficient… Click to show full abstract
Abstract We give a new definition of a Levy 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 unifies all known definitions of CARMA random fields, and in particular for dimension 1 we obtain the classical CARMA process.
Keywords:
partial differential;
processes stochastic;
stochastic partial;
driven carma;
generalized processes;
carma generalized
Journal Title: Stochastic Processes and their Applications
Year Published: 2020
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Journal Title: Stochastic Processes and their Applications
Year Published: 2020
Link to full text (if available)
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recommendations!