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Constantin Tudor

An anticipating calculus for square integrable pure jump Levy processes

Keywords: Chaos expansion, Levy processes, product formula

In this paper we use the chaos expansion method to define a derivative operator and the corresponding Skorokhod integral for Levy processes with no drift and Brownian part. The main tool in establishing the derivation property is the product formula for two multiple integrals.

Random Operators and Stochastic Equations, Walter de Gruyter

Print ISSN: 0926-6364
Volume: 15, 04/2007
Pages: 1 - 14

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