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Erika Hausenblas

A note on the Itô formula of stochastic integrals in Banach spaces

Keywords: Stochastic integration, It, formula, Poisson random measures

Let E and Z be separable Banach spaces, E be of M type p, 1 ≤ p ≤ 2, and X = {X(t), 0 ≤ t ≤ T} be an E–valued stochastic process given by

where is progressive measurable process and is a càglàd process defined later, is a compensated Poisson random measure with characteristic Lévy–measure such that

We verify the Itô formula for X under certain conditions in M type p Banach spaces.

Random Operators and Stochastic Equations, Walter de Gruyter

Print ISSN: 0926-6364
Volume: 14, 03/2006
Pages: 45 - 58

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