Lévy-driven Volterra Equations in Space and Time

Lévy-driven Volterra Equations in Space and Time We investigate nonlinear stochastic Volterra equations in space and time that are driven by Lévy bases. Under a Lipschitz condition on the nonlinear term, we give existence and uniqueness criteria in weighted function spaces that depend on integrability properties of the kernel and the characteristics of the Lévy basis. Particular attention is devoted to equations with stationary solutions, or more generally, to equations with infinite memory, that is, where the time domain of integration starts at minus infinity. Here, in contrast to the case where time is positive, the usual integrability conditions on the kernel are no longer sufficient for the existence and uniqueness of solutions, but we have to impose additional size conditions on the kernel and the Lévy characteristics. Furthermore, once the existence of a solution is guaranteed, we analyze its asymptotic stability, that is, whether its moments remain bounded when time goes to infinity. Stability is proved whenever kernel and characteristics are small enough, or the nonlinearity of the equation exhibits a fractional growth of order strictly smaller than one. The results are applied to the stochastic heat equation for illustration. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Theoretical Probability Springer Journals

Lévy-driven Volterra Equations in Space and Time

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Springer US
Copyright © 2016 by Springer Science+Business Media New York
Mathematics; Probability Theory and Stochastic Processes; Statistics, general
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