Functionals of a Lévy process on canonical and generic probability spaces (Q300280)

Using the chaos expansion of random variables, the author proposes an approach to define a Malliavin calculus for Lévy processes. He first states a representation lemma for random variables, then proceeds to a comparison of functionals of Lévy processes for different probability spaces, and finally applies the theory to the Malliavin calculus. In this paper, the Malliavin derivative is thought of as a difference operator.