Itô formula for stochastic integrals w.r.t. compensated Poisson random measures on separable Banach spaces. (English) Zbl 1117.60056
The authors consider Banach valued processes, which are a sum of a bounded variation process, of a jump process, and of a martingale, which is given by a stochastic integral of time dependent random function with respect to a compensated Poisson random measure. They establish an Itô formula for such processes, on which also Banach valued functions act.
Reviewer: Jacques Franchi (Strasbourg)
MSC:
| 60H05 | Stochastic integrals |
Keywords:
stochastic integrals on separable Banach spaces; random martingales measures; compensated Poisson random measures; additive processes; random Banach valued functions; type; Banach spaces; Itô formulaReferences:
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