Stochastic integration for Lévy processes with values in Banach spaces (Q1019618): Difference between revisions
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English | Stochastic integration for Lévy processes with values in Banach spaces |
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Stochastic integration for Lévy processes with values in Banach spaces (English)
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4 June 2009
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The aim of the authors is to define a stochastic integral with respect to a Banach space \(B\)-valued Lévy process \((L_t)\), and to use it, in order to get a Lévy-Itô decomposition (extending the classical finite-dimensional one) for \((L_t)\), and finally to solve Cauchy problems of type: \[ dY_t= AY_t dt+ \int H(u)\,dL_t, \] for some generator \(A\) and \(L^2\) function \(H\). These goals are achieved, essentially by considering systematically the weak version (with respect to the dual of \(B\)) of the above objects, and by restricting to deterministic Banach valued integrands.
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Banach space valued stochastic integral
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Cauchy problem
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Lévy-Itô decomposition
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Lévy process
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martingale valued measure
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Pettis integral
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radonifying operator
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