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Levy processes and stochastic integrals in Banach spaces

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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