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math.PR2018
Normal approximation of the solution to the stochastic heat equation with Lévy noise
Carsten Chong, Thomas Delerue
Given a sequence of Lévy noises, we derive necessary and sufficient conditions in terms of their variances such that the solution to the…
math.PR2018★ 10 cited
The almost-sure asymptotic behavior of the solution to the stochastic heat equation with Lévy noise
Carsten Chong, Péter Kevei
We examine the almost-sure asymptotics of the solution to the stochastic heat equation driven by a Lévy space-time white noise. When a spatial point is fixed and time tends to infi…
math.ST2018★ 50 cited
High-frequency analysis of parabolic stochastic PDEs
Carsten Chong
We consider the problem of estimating stochastic volatility for a class of second-order parabolic stochastic PDEs. Assuming that the solution is observed at a high temporal frequen…