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In signal processing, white noise is a random signal having equal intensity at different frequencies, giving it a constant power spectral density. The term is used, with this or similar meanings, in many scientific and technical disciplines, including physics, acoustical engineering, telecommunications, and statistical forecasting. White noise refers to a statistical model for signals and signal sources, rather than to any specific signal.
In probability theory, a Lévy process, named after the French mathematician Paul Lévy, is a stochastic process with independent, stationary increments: it represents the motion of a point whose successive displacements are random, in which displacements in pairwise disjoint time intervals are independent, and displacements in different time intervals of the same length have identical probability distributions. A Lévy process may thus be viewed as the continuous-time analog of a random walk.
In mathematics and physics, the heat equation is a certain partial differential equation. Solutions of the heat equation are sometimes known as caloric functions. The theory of the heat equation was first developed by Joseph Fourier in 1822 for the purpose of modeling how a quantity such as heat diffuses through a given region. As the prototypical parabolic partial differential equation, the heat equation is among the most widely studied topics in pure mathematics, and its analysis is regarded as fundamental to the broader field of partial differential equations.
We examine the almost-sure asymptotics of the solution to the stochastic heat equation driven by a Levy space-time white noise. When a spatial point is fixed and time tends to infinity, we show that t
Given a sequence L & x2d9;epsilon of Levy noises, we derive necessary and sufficient conditions in terms of their variances sigma 2(epsilon) such that the solution to the stochastic heat equation with
We consider the problem of estimating stochastic volatility for a class of second-order parabolic stochastic PDEs. Assuming that the solution is observed at high temporal frequency, we use limit theor