Lévy processes and stochastic integrals in Banach spaces

• Autorzy: Applebaum D.
• Języki publikacji: EN

Abstrakty

EN

We review infinite divisibility and Lévy processes in Banach spaces and discuss the relationship with notions of type and cotype. The Lévy-Itô decomposition is described. Strong, weak and Pettis-style notions of stochastic integral are introduced and applied to construct generalised Ornstein-Uhlenbeck processes

Słowa kluczowe

EN

Lévy process; Lévy measure; type; cotype; Lévy-Itô decomposition; stochastic integral; Ornstein-Uhlenbeck process

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2007
• Tom: Vol. 27, Fasc. 1
• Strony: 75--88
• Opis fizyczny: Bibliogr. 28 poz.

Twórcy

autor

Applebaum D.

• Probability and Statistics Department,University of Sheffield, Hicks Building, Hounsfield Road,Sheffield, England, S3 7RH

Bibliografia

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