An anticipating It\^o formula for L\'evy processes
Probability
2008-08-04 v1
Abstract
In this paper, we use the Malliavin calculus techniques to obtain an anticipative version of the change of variable formula for L\'evy processes. Here the coefficients are in the domain of the anihilation (gradient) operator in the "future sense", which includes the family of all adapted and square-integrable processes. This domain was introduced on the Wiener space by Al\`os and Nualart.
Keywords
Cite
@article{arxiv.0808.0035,
title = {An anticipating It\^o formula for L\'evy processes},
author = {Elisa Alòs and Jorge A. León and Josep Vives},
journal= {arXiv preprint arXiv:0808.0035},
year = {2008}
}
Comments
26 pages