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Stochastic Integration for Compensated Poisson Measures and the Lévy-Itô Formula

In: Proceedings of the International Conference on Stochastic Analysis and Applications

Author

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  • Barbara Rüdiger

    (Universität Bonn, Institut für Angewandte Mathematik, Abteilung Stochastik)

Abstract

This is a review paper which presents in a unified way part of the results obtained in [38] and [2], where stochastic integrals of Banach valued random (resp. deterministic) functions w.r.t. compensated Poisson random measures are studied. As a consequence, the Lévy-Itô decomposition theorem for additive processes on Banach spaces is presented here in its stronger formulation (than [17], [8]), proposed in [2], for the special case where the additive processes are Lévy processes.

Suggested Citation

  • Barbara Rüdiger, 2004. "Stochastic Integration for Compensated Poisson Measures and the Lévy-Itô Formula," Springer Books, in: Sergio Albeverio & Anne Boutet de Monvel & Habib Ouerdiane (ed.), Proceedings of the International Conference on Stochastic Analysis and Applications, pages 145-167, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4020-2468-9_10
    DOI: 10.1007/978-1-4020-2468-9_10
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