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arXiv · 1307.7901

Poisson stochastic integration in Banach spaces

Sjoerd Dirksen·Jan Maas·Jan van Neerven
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Abstract

We prove new upper and lower bounds for Banach space-valued stochastic integrals with respect to a compensated Poisson random measure. Our estimates apply to Banach spaces with non-trivial martingale (co)type and extend various results in the literature. We also develop a Malliavin framework to interpret Poisson stochastic integrals as vector-valued Skorohod integrals, and prove a Clark-Ocone representation formula.

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Sjoerd Dirksen, Jan Maas, Jan van Neerven. 2013-07-30. Poisson stochastic integration in Banach spaces. https://arxiv.org/abs/1307.7901

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