Poisson stochastic integration in Banach spaces

DOI10.1214/EJP.V18-2945MaRDI QIDQ388999zbMATH OpenFDO

Authors Sjoerd Dirksen, Jan Maas, Jan van Neerven

Publication date 17 January 2014

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.7901

zbMATH Keywords

Clark-Ocone representation theoremMalliavin calculusmartingale typePoisson random measurestochastic convolutionsstochastic integrationUMD Banach spaces

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: We prove new upper and lower bounds for Banach space-valued stochastic integrals with respect to a compensated Poisson random measure. Our estimates apply to Banach spaces with non-trivial martingale (co)type and extend various results in the literature. We also develop a Malliavin framework to interpret Poisson stochastic integrals as vector-valued Skorohod integrals, and prove a Clark-Ocone representation formula.

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Cited in

(21)

• Poisson stochastic integration in Hilbert spaces.
• Weak convergence of Galerkin approximations of stochastic partial differential equations driven by additive Lévy noise
• Stochastic Fubini theorem for jump noises in Banach spaces
• On the martingale decompositions of Gundy, Meyer, and Yoeurp in infinite dimensions
• Weak martingale solutions for the stochastic nonlinear Schrödinger equation driven by pure jump noise
• Set-valued stochastic integrals with respect to Poisson processes in a Banach space
• Regularity of stochastic integral equations driven by Poisson random measures
• Schauder estimates for stochastic transport-diffusion equations with Lévy processes
• Set-valued stochastic integrals with respect to Poisson processes in a Banach space
• A Kolmogorov-type theorem for stochastic fields
• Stochastic integration for compensated Poisson measures and the Lévy-Itô formula
• Existence and uniqueness of path wise solutions for stochastic integral equations driven by Lévy noise on separable Banach spaces
• Itô formula for stochastic integrals w.r.t. compensated Poisson random measures on separable Banach spaces
• scientific article; zbMATH DE number 5777955 (Why is no real title available?)
• Relation Between Stochastic Integrals and the Geometry of Banach Spaces
• On maximal inequalities for purely discontinuous martingales in infinite dimensions
• Stochastic integration with respect to compensated Poisson random measures on separable Banach spaces
• Berezin integrals and Poisson processes
• Maximal inequalities and exponential estimates for stochastic convolutions driven by Lévy-type processes in Banach spaces with application to stochastic quasi-geostrophic equations
• Stochastic integration in quasi-Banach spaces
• Maximal inequalities of the Itô integral with respect to Poisson random measures or Lévy processes on Banach spaces

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