A stochastic heat equation with the distributions of Lévy processes as its invariant measures

Tadahisa Funaki*, Bin Xie

*この研究の対応する著者

研究成果: Article査読

9 被引用数 (Scopus)

抄録

We consider a linear heat equation on a half line with an additive noise chosen properly in such a manner that its invariant measures are a class of distributions of Lévy processes. Our assumption on the corresponding Lévy measure is, in general, mild except that we need its integrability to show that the distributions of Lévy processes are the only invariant measures of the stochastic heat equation.

本文言語English
ページ(範囲)307-326
ページ数20
ジャーナルStochastic Processes and their Applications
119
2
DOI
出版ステータスPublished - 2009 2
外部発表はい

ASJC Scopus subject areas

  • 統計学および確率
  • モデリングとシミュレーション
  • 応用数学

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