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ON ITO STOCHASTIC INTEGRAL WITH RESPECT TO VECTOR STABLE RANDOM MEASURES

$icon-email$ DANG HUNG THANG

Abstract

Let $Z_{p}$ be a vector $p$ -stable random measure with values in a $q$ -smoothable Banach space, where $p > q$ if $p < 2$ and $q = 2$ if $p = 2$ . It is shown that the stochastic integral $\int_{0}^{1} u d Z_{p}$ can be defined for processes $u$ which are non-anticipating with respect to $Z_{p}$ .

Viện Toán học, Viện Hàn lâm Khoa học và Công nghệ Việt Nam

Địa chỉ: Số 18 đường Hoàng Quốc Việt, quận Cầu Giấy, Hà Nội

Điện thoại: 024 37563474 - Fax: 024 37564303

Email: vientoan@math.ac.vn

Mã bưu điện: 10072

Viện Hàn lâm Khoa học và Công nghệ Việt Nam Hội Toán học Việt Nam Viện Nghiên cứu Cao cấp về toán

Acta Mathematica Vietnamica

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ON ITO STOCHASTIC INTEGRAL WITH RESPECT TO VECTOR STABLE RANDOM MEASURES

Abstract