Stochastic analysis involving the Lévy Laplacian (Q1593906)
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scientific article; zbMATH DE number 1557260
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| English | Stochastic analysis involving the Lévy Laplacian |
scientific article; zbMATH DE number 1557260 |
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Stochastic analysis involving the Lévy Laplacian (English)
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28 January 2001
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The paper is a continuation of the investigation by the authors [C. R. Acad. Sci., Paris, Sér. I 320, No. 5, 597-602 (1995; Zbl 0832.60080)] of the Lévy-Ornstein-Uhlenbeck process, a stochastic process related to the Lévy Laplacian in a manner similar to the construction of the usual Ornstein-Uhlenbeck process in the finite-dimensional stochastic analysis. The authors define and study stochastic integrals, Sobolev classes and capacities associated with the Lévy-Ornstein-Uhlenbeck process. A version of the Malliavin calculus leads to the existence of a smooth density for a measure induced by a nondegenerate mapping of the Lévy-Wiener space.
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Lévy-Ornstein-Uhlenbeck process
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stochastic integral
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Sobolev space
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capacity
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Malliavin calculus
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Lévy Laplacian
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0.8026539087295532
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0.8016743063926697
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0.7955706119537354
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