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arxiv: 1502.02386 · v1 · pith:U5GKVKM2new · submitted 2015-02-09 · 🧮 math.PR

Non elliptic SPDEs and ambit fields: existence of densities

classification 🧮 math.PR
keywords ambitdensityexampleexistencefieldsnoisesigmaspdes
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Relying on the method developed in [debusscheromito2014], we prove the existence of a density for two different examples of random fields indexed by $(t,x)\in(0,T]\times \Rd$. The first example consists of SPDEs with Lipschitz continuous coefficients driven by a Gaussian noise white in time and with a stationary spatial covariance, in the setting of [dalang1999]. The density exists on the set where the nonlinearity $\sigma$ of the noise does not vanish. This complements the results in [sanzsuess2015] where $\sigma$ is assumed to be bounded away from zero. The second example is an ambit field with a stochastic integral term having as integrator a L\'evy basis of pure-jump, stable-like type.

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