Stochastic calculus for convoluted Lévy processes (Q1002567): Difference between revisions

This article is concerned with the development of a stochastic calculus for the convolution processes of centered pure jump Lévy processes with integral kernels of Volterra type. The main class of examples under study are fractional Lévy processes introduced by \textit{T. Marquardt} [Bernoulli 12, No. 6, 1099--1126 (2006; Zbl 1126.60038)]. After a short introduction and a review of basics of scalar Lévy processes the authors introduce the main objects of study. In the sequel they discuss the S-transform for \(L^2\) random variables and its application to Wiener-integrals with respect to random poisson measures as well as the corresponding Wick-exponentials. The main theorem of this section determines the precise shape of the S-transform for the aforementioned Wiener integral. The injectivity of the S-transform allows now to define the anticipating Hitsuda-Skorohod integral of a random field with respect to a jump measure. For the case of predictable square integrable processes the S-transform is calculated explicitely. Via the introduction of the corresponding Malliavin derivative for Wick exponentials the authors derive a formula describing the connection of the anticipating and the conventional stochastic integration, which they conjecture to be true in much wider generality. The application of this theory to convoluted Lévy processes allows to show the locality and the mean zero property of the Skorohod integral in the fourth chapter. In the sequel the authors prove Itô's formula under sufficient conditions on the convolution kernel, wherein the effects of the discontinuities as well as memory effects show up separately. The proof is based on the identification of the different terms of the S-transformed, and can thus avoid usual technicalities of the anticipating calculus. In the last part these results are applied to fractional Lévy processes \(M^d\) driven by \(L\), where finally the corresponding Skorohod integral of a process \(X\) in a certain \(L^p\)-space can be identified as the Skorohod integral with respect to the driving Lévy process \(L\) of a fractional Riemann-Liouville integral \(I^d_{-}(X)\) of the integrand.