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Title:

Normal approximation of the solution to the stochastic heat equation with Lévy noise

Document type:
Zeitungsartikel
Author(s):
Chong, C.; Delerue, T.
Abstract:
Given a sequence of Lévy noises, we derive necessary and sufficient conditions in terms of their variances such that the solution to the stochastic heat equation driven by the normalized Lévy noise converges in law to the solution to the same equation with Gaussian noise. Our results apply to both equations with additive and multiplicative noise and hence lift the findings of S. Asmussen and J. Rosiński [J. Appl. Probab. 38 (2001) 482-493] and S. Cohen and J. Rosiński [Bernoulli 13 (2007) 195-...     »
Keywords:
càdlàg modification, convergence of semimartingale characteristics, functional convergence in law, Lévy space--time white noise, martingale problems, Skorokhod representation theorem, small jump approximation, Sobolev spaces of negative order, stochastic PDEs, weak limit theorems
Dewey Decimal Classification:
510 Mathematik
Journal title:
Stochastics and Partial Differential Equations: Analysis and Computations
Year:
2020
Journal volume:
8
Year / month:
2020-06
Quarter:
2. Quartal
Month:
Jun
Journal issue:
2
Pages contribution:
362-401
Language:
en
WWW:
Springer
Publisher:
Springer
Print-ISSN:
2194-0401
E-ISSN:
2194-041X
Status:
Verlagsversion / published
Submitted:
30.11.2018
Date of publication:
01.06.2020
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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