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arXiv · 0808.0035

An anticipating Itô formula for Lévy processes

Elisa Alòs·Jorge A. León·Josep Vives
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Abstract

In this paper, we use the Malliavin calculus techniques to obtain an anticipative version of the change of variable formula for Lévy 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 Alòs and Nualart.

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Elisa Alòs, Jorge A. León, Josep Vives. 2008-07-31. An anticipating Itô formula for Lévy processes. https://arxiv.org/abs/0808.0035

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