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math.PR2023
The Donsker delta function and local time for McKean-Vlasov processes and applications
Nacira Agram, Bernt Øksendal
The purpose of this paper is to establish a stochastic differential equation for the Donsker delta measure of the solution of a McKean-Vlasov (mean-field) stochastic differential e…
math.PR2014
A comparison theorem for backward SPDEs with jumps
Bernt Øksendal, Agnès Sulem, Tusheng Zhang
In this paper we obtain a comparison theorem for backward stochastic partial differential equation (SPDEs) with jumps. We apply it to introduce space-dependent convex risk measures…
math.PR2004★ 24 cited
Stochastic partial differential equations driven by Levy space-time white noise
Arne Lokka, Bernt Oksendal, Frank Proske
In this paper we develop a white noise framework for the study of stochastic partial differential equations driven by a d-parameter (pure jump) Levy white noise. As an example we u…