Stochastic integration with respect to cylindrical Lévy processes

DOI10.1214/16-AOP1164MaRDI QIDQ682265zbMATH OpenOpenAlexWikidataFDO

Authors Adam Jakubowski, M. Riedle

Publication date 14 February 2018

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1509.04038, https://projecteuclid.org/euclid.aop/1513069260

zbMATH Keywords

random measuresstochastic integrationcylindrical Brownian motiondecoupled tangent sequencecylindrical Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Probability theory on linear topological spaces (60B11) Generalized stochastic processes (60G20) Stochastic integrals (60H05) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Abstract: A cylindrical Levy process does not enjoy a cylindrical version of the semi-martingale decomposition which results in the need to develop a completely novel approach to stochastic integration. In this work, we introduce a stochastic integral for random integrands with respect to cylindrical Levy processes in Hilbert spaces. The space of admissible integrands consists of adapted stochastic processes with values in the space of Hilbert-Schmidt operators. Neither the integrands nor the integrator is required to satisfy any moment or boundedness condition. The integral process is characterised as an adapted, Hilbert space valued semi-martingale with cadlag trajectories.

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Cited in

(18)

• The stochastic Cauchy problem driven by a cylindrical Lévy process
• Stochastic evolution equations driven by cylindrical stable noise
• Regularization of cylindrical processes in locally convex spaces
• Stochastic wave equation with Lévy white noise
• Semimartingales on duals of nuclear spaces
• Stochastic integration respect a cylindrical martingale-Lévy process with second moments
• Stable limits for Markov chains via the principle of conditioning
• Stochastic integration for Lévy processes on Gel'fand triple
• Variational solutions of stochastic partial differential equations with cylindrical Lévy noise
• Stochastic integration with respect to cylindrical semimartingales
• SPDEs driven by standard symmetric \(\alpha\)-stable cylindrical Lévy processes: existence, Lyapunov functionals and Itô formula
• Cylindrical Lévy processes in Banach spaces
• Stochastic integration in Hilbert spaces withrespect to cylindrical martingale-valued measures
• Stochastic turbulence for Burgers equation driven by cylindrical Lévy process
• Stochastic integration with respect to cylindrical Lévy processes by \(p\)-summing operators
• Stochastic integration with respect to cylindrical Lévy processes in Hilbert spaces: an \(L^{2}\) approach
• Stochastic integration with respect to canonical \(\alpha\)-stable cylindrical Lévy processes
• Stochastic integration for Lévy processes with values in Banach spaces

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