Applebaum, D. (2007) Levy processes and stochastic integrals in Banach spaces. Probability and Mathematical Statistics- Wroclaw University, 27. pp. 75-88. ISSN 0208-4147
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Abstract
We review in¯nite divisibility and Levy processes in Banach spaces and discuss the relationship with notions of type and cotype. The Levy-It^o decomposition is described. Strong, weak and Pettis-style notions of stochastic integral are introduced and applied to construct generalised Ornstein-Uhlenbeck processes.
| Item Type: | Article |
|---|---|
| Copyright, Publisher and Additional Information: | © 2007 Kazimierz Urbanik Center . This is an author produced version of a paper subsequently published in Probability and Mathematical Statistics. Uploaded in accordance with the publisher's self-archiving policy. |
| Academic Units: | The University of Sheffield > Faculty of Science (Sheffield) > School of Mathematics and Statistics (Sheffield) |
| Depositing User: | Miss Anthea Tucker |
| Date Deposited: | 30 Sep 2009 13:10 |
| Last Modified: | 08 Feb 2013 16:59 |
| Status: | Published |
| Publisher: | Kazimierz Urbanik Center for Probability and Mathematical Statistics |
| Refereed: | Yes |
| URI: | http://eprints.whiterose.ac.uk/id/eprint/9801 |
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