The Itō integral with respect to an infinite dimensional Lévy process: a series approach (Q1952466): Difference between revisions

Summary: We present an alternative construction of the infinite-dimensional Itō integral with respect to a Hilbert space valued Lévy process. This approach is based on the well-known theory of real-valued stochastic integration, and the respective Itō integral is given by a series of Itō integrals with respect to standard Lévy processes. We also prove that this stochastic integral coincides with the Itō integral that has been developed in the literature.