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Abstract polynomial processes
Fred Espen Benth, Nils Detering, Paul Kruhner
We suggest a novel approach to polynomial processes solely based on a polynomial action operator. With this approach, we can analyse such processes on general state spaces, going f…
Stochastic Volterra integral equations and a class of first order stochastic partial differential equations
Fred Espen Benth, Nils Detering, Paul Kruehner
We investigate stochastic Volterra equations and their limiting laws. The stochastic Volterra equations we consider are driven by a Hilbert space valued \Levy noise and integration…
Independent increment processes: A multilinearity preserving property
Fred Espen Benth, Nils Detering, Paul Kruhner
We observe a multilinearity preserving property of conditional expectation for infinite dimensional independent increment processes defined on some abstract Banach space . It is…
Directed Chain Stochastic Differential Equations
Nils Detering, Jean-Pierre Fouque, Tomoyuki Ichiba
We propose a particle system of diffusion processes coupled through a chain-like network structure described by an infinite-dimensional, nonlinear stochastic differential equation…