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 AM  Vol.6 No.10 , September 2015
Itô Formula for Integral Processes Related to Space-Time Lévy Noise
Raluca M. Balan*, Cheikh B. Ndongo
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Abstract: In this article, we give a new proof of the Itô formula for some integral processes related to the space-time Lévy noise introduced in [1] [2] as an alternative for the Gaussian white noise perturbing an SPDE. We discuss two applications of this result, which are useful in the study of SPDEs driven by a space-time Lévy noise with finite variance: a maximal inequality for the p-th moment of the stochastic integral, and the Itô representation theorem leading to a chaos expansion similar to the Gaussian case.
Keywords: Lévy Processes, Poisson Random Measure, Stochastic Integral, ItÔ Formula, ItÔ Representation Theorem
Cite this paper: Balan, R. and Ndongo, C. (2015) Itô Formula for Integral Processes Related to Space-Time Lévy Noise. Applied Mathematics, 6, 1755-1768. doi: 10.4236/am.2015.610156.
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