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ЖУРНАЛЫ // Theory of Stochastic Processes // Архив

Theory Stoch. Process., 2008, том 14(30), выпуск 2, страницы 10–18 (Mi thsp139)

Lévy processes and Itô–Skorokhod integrals

Khalifa es-Sebaiya, C. A. Tudorb

a Department of Mathematics, Faculty of Sciences Semlalia, Cadi Ayyad University 2390 Marrakesh, Morocco
b Samos/Matisse, Centre d'Economie de La Sorbonne, Universite de Panth\'{e}on-Sorbonne, Paris 1,90, rue de Tolbiac, 75634 Paris Cedex 13, France

Аннотация: We study Skorokhod integral processes on Lévy spaces and prove an equivalence between this class of processes and the class of Itô–Skorokhod processes (in the sense of [14]). Using this equivalence, we introduce a stochastic analysis of the Itô type for anticipating integrals on Lévy spaces.

Ключевые слова: Malliavin Calculus, martingale-valued measure, Skorokhod integral, Clark- Ocone formula.

MSC: 60H07, 60G20, 60G48, 60J75

Язык публикации: английский



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