Poisson stochastic integration in Banach spaces
Probability
2013-07-31 v1 Functional Analysis
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.
Keywords
Cite
@article{arxiv.1307.7901,
title = {Poisson stochastic integration in Banach spaces},
author = {Sjoerd Dirksen and Jan Maas and Jan van Neerven},
journal= {arXiv preprint arXiv:1307.7901},
year = {2013}
}
Comments
26 pages