The Itô Integral with respect to an Infinite Dimensional Lévy Process: A Series Approach. (4th April 2013)

• Record Type: Journal Article
• Authors: Tappe, Stefan
• Other Names: Linares-Perez Josefa Academic Editor.
• Is Part Of: International journal of stochastic analysis. Volume 2013(2013)
• Publication Date: 2013-04-04
• Subjects: Stochastic analysis -- Periodicals; Stochastic analysis; Periodicals; 519.22
• DOI: 10.1155/2013/703769
• Languages: English
• ISSNs: 2090-3332

Abstract

Abstract : We present an alternative construction of the infinite dimensional Itô integral with respect to a Hilbert space valued Lévy process. This approach is based on the well-known theory of real-valued stochastic integration, and the respective Itô integral is given by a series of Itô integrals with respect to standard Lévy processes. We also prove that this stochastic integral coincides with the Itô integral that has been developed in the literature.