ItôFormula for Integral Processes Related to Space-Time Lévy Noise

• 作者: Cheikh B. Ndongo Raluca M. Balan
• 来源期刊: 应用数学(英文)
• 学科: 数学
• 关键词: Lévy PROCESSES Poisson Random Measure Stochastic INTEGRAL It? FORMULA It? Representation Theorem
• 年，卷（期）: yysxyw_2015,（10）
• 页码范围: 1755-1768
• 页数: 14页
• 分类号: O1

摘要

In this article, we give a new proof of the Itôformula for some integral processes related to the space-time Lévy noise introduced in [1] [2] as an alternative for the Gaussian white noise perturbing an SPDE. We discuss two applications of this result, which are useful in the study of SPDEs driven by a space-time Lévy noise with finite variance: a maximal inequality for the p-th moment of the stochastic integral, and the Itôrepresentation theorem leading to a chaos expansion similar to the Gaussian case.