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Uniqueness in Law of the Itô Integral with Respect to Lévy Noise

  • Zdzisław BrzeźniakEmail author
  • Erika Hausenblas
Conference paper
Part of the Progress in Probability book series (PRPR, volume 63)

Abstract

Assume there is a probability space on which a time homogeneous Poisson random measure \( \eta \)and a progressively measurable process\(\xi\) are given. Let us consider the law of the triplet \((\eta, \xi, { I}),\) where \({ I}\)is the Itˆo integral of \(\xi\) with respect to \( \eta \). Then we ask the question whether the law is unique.

Keywords

Stochastic integral of jump type Poisson random measures 

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Copyright information

© Springer Basel AG 2011

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of YorkYorkUK
  2. 2.Department of Mathematics and Information TechnologyUniversity of LeobenLeobenAustria

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