On extended stochastic integrals with respect to Lévy processes

DOI10.15330/CMP.5.2.256-278zbMath1391.60123OpenAlexW2042892064MaRDI QIDQ2941989

Nikolai A. Kachanovsky

Publication date: 26 August 2015

Published in: Carpathian Mathematical Publications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15330/cmp.5.2.256-278

zbMATH Keywords

Lévy processchaotic representation propertyextended stochastic integralHida stochastic derivative

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) White noise theory (60H40) Stochastic integrals (60H05) General (adjoints, conjugates, products, inverses, domains, ranges, etc.) (47A05)

Related Items (7)

On Wick calculus and its relationship with stochastic integration on spaces of regular test functions in the Lévy white noise analysis ⋮ On operators of stochastic differentiation on spaces of regular test and generalized functions of Lévy white noise analysis ⋮ Wick calculus on spaces of regular generalized functions of Levy white noise analysis ⋮ On Wick calculus on spaces of nonregular generalized functions of Levy white noise analysis ⋮ On the relationship between Wick calculus and stochastic integration in the Lévy white noise analysis ⋮ Operators of stochastic differentiation on spaces of nonregular generalized functions of Levy white noise analysis ⋮ Interconnection between Wick multiplication and integration on spaces of nonregular generalized functions in the Lévy white noise analysis

Cites Work

• Distributions sur l'espace de P. Lévy et calcul stochastique. (Distributions on P. Lévy's space and stochastic calculus)
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• Anticipative calculus for Lévy processes and stochastic differential equations^*
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
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