Stochastic Integration for Compensated Poisson Measures and the Lévy-Itô Formula

Barbara Rüdiger ()
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Barbara Rüdiger: Universität Bonn, Institut für Angewandte Mathematik, Abteilung Stochastik

A chapter in Proceedings of the International Conference on Stochastic Analysis and Applications, 2004, pp 145-167 from Springer

Abstract: Abstract This is a review paper which presents in a unified way part of the results obtained in [38] and [2], where stochastic integrals of Banach valued random (resp. deterministic) functions w.r.t. compensated Poisson random measures are studied. As a consequence, the Lévy-Itô decomposition theorem for additive processes on Banach spaces is presented here in its stronger formulation (than [17], [8]), proposed in [2], for the special case where the additive processes are Lévy processes.

Keywords: Stochastic integrals; martingales measures; Lévy-Itô decomposition; càdlàg processes on Banach spaces; independent increments; Lévy measures; type 2 spaces.; AMS-classification (2000); 60G51; 60H05; 47G30; 46B09 (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4020-2468-9_10

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DOI: 10.1007/978-1-4020-2468-9_10

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