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Seminar on Stochastic Analysis, Random Fields and Applications VII pp 171–186Cite as

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Itô’s Formula for Banach-space-valued Jump Processes Driven by Poisson Random Measures

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Part of the book series: Progress in Probability ((PRPR,volume 67))

Abstract

We prove Itô’s formula for a general class of functions H: ℝ+ ×F→G of class C 1,2, where F,G are separable Banach spaces, and jump processes driven by a compensated Poisson random measure.

Mathematics Subject Classification (2010). 60H05, 60G51.

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Author information

Authors and Affiliations

  1. Department of Statistics and Probability, Michigan State University, East Lansing, MI, 48824, USA

    Vidyadhar Mandrekar

  2. Fachbereich C – Mathematik und Informatik, Bergische Universität Wuppertal, Gaußstraße 20, D-42119, Wuppertal, Germany

    Barbara Rüdiger

  3. Institut für Mathematische Stochastik, Leibniz Universität Hannover, Welfengarten 1, D-30167, Hannover, Germany

    Stefan Tappe

Authors
  1. Vidyadhar Mandrekar
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  2. Barbara Rüdiger
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  3. Stefan Tappe
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Corresponding author

Correspondence to Vidyadhar Mandrekar .

Editor information

Editors and Affiliations

  1. Institut de Mathématiques (IMA) Chaire de Statistiques Appliquées (STAP), Ecole Polytechnique Fédérale de Lausanne Fac. Sciences de Base (FSB), Lausanne, Switzerland

    Robert C. Dalang

  2. Institut Elie Cartan, Université de Lorraine, Vandoeuvre-les-Nancy CX, France

    Marco Dozzi

  3. Unité de Mathématiques appliquées, ENSTA ParisTech, Palaiseau, France

    Francesco Russo

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Mandrekar, V., Rüdiger, B., Tappe, S. (2013). Itô’s Formula for Banach-space-valued Jump Processes Driven by Poisson Random Measures. In: Dalang, R., Dozzi, M., Russo, F. (eds) Seminar on Stochastic Analysis, Random Fields and Applications VII. Progress in Probability, vol 67. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-0545-2_7

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