Stochastic integration with respect to cylindrical L\'evy processes by p-summing operators

DOI10.1007/S10959-019-00978-XarXiv1912.04029MaRDI QIDQ6330744FDOQ6330744

Authors Tomasz Kosmala, M. Riedle

Publication date 9 December 2019

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Linear operators belonging to operator ideals (nuclear, (p)-summing, in the Schatten-von Neumann classes, etc.) (47B10) Measure (Gaussian, cylindrical, etc.) and integrals (Feynman, path, Fresnel, etc.) on manifolds (46T12)

Abstract: We introduce a stochastic integral with respect to cylindrical L'evy processes with finite $p$-th weak moment for $pin[1,2]$. The space of integrands consists of $p$-summing operators between Banach spaces of martingale type $p$. We apply the developed integration theory to establish the existence of a solution for a stochastic evolution equation driven by a cylindrical L'evy process.

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