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2013 Poisson stochastic integration in Banach spaces
Sjoerd Dirksen, Jan Maas, Jan Neerven
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Electron. J. Probab. 18: 1-28 (2013). DOI: 10.1214/EJP.v18-2945

Abstract

We prove new upper and lower bounds for Banach space-valued stochastic integrals with respect to a compensated Poisson random measure. Our estimates apply to Banach spaces with non-trivial martingale (co)type and extend various results in the literature. We also develop a Malliavin framework to interpret Poisson stochastic integrals as vector-valued Skorohod integrals, and prove a Clark- Ocone representation formula.

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Sjoerd Dirksen. Jan Maas. Jan Neerven. "Poisson stochastic integration in Banach spaces." Electron. J. Probab. 18 1 - 28, 2013. https://doi.org/10.1214/EJP.v18-2945

Information

Accepted: 18 November 2013; Published: 2013
First available in Project Euclid: 4 June 2016

zbMATH: 1285.60049
MathSciNet: MR3141801
Digital Object Identifier: 10.1214/EJP.v18-2945

Subjects:
Primary: 60H05
Secondary: 60G55, 60H07

JOURNAL ARTICLE
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