Abstract
In this work, we introduce a theory of stochastic integration with respect to symmetric In this work, we introduce a theory of stochastic integration with respect to symmetric In this work, we introduce a theory of stochastic integration with respect to symmetric α-stable cylindrical Lévy processes. Since α-stable cylindrical Lévy processes do not enjoy a semi-martingale decomposition, our approach is based on a decoupling inequality for the tangent sequence of the Radonified increments. This approach enables us to characterise the largest space of predictable Hilbert-Schmidt operator-valued processes which are integrable with respect to an $\alpha$-stable cylindrical Lévy process as the collection of all predictable processes with paths in the Bochner space L^α. We demonstrate the power and robustness of the developed theory by establishing a dominated convergence result allowing the interchange of the stochastic integral and limit.-stable cylindrical Lévy processes. Since α-stable cylindrical Lévy processes do not enjoy a semi-martingale decomposition, our approach is based on a decoupling inequality for the tangent sequence of the Radonified increments. This approach enables us to characterise the largest space of predictable Hilbert-Schmidt operator-valued processes which are integrable with respect to an α-stable cylindrical Lévy process as the collection of all predictable processes with paths in the Bochner space L^α. We demonstrate the power and robustness of the developed theory by establishing a dominated convergence result allowing the interchange of the stochastic integral and limit.-stable cylindrical Lévy processes. Since α-stable cylindrical Lévy processes do not enjoy a semi-martingale decomposition, our approach is based on a decoupling inequality for the tangent sequence of the Radonified increments. This approach enables us to characterise the largest space of predictable Hilbert-Schmidt operator-valued processes which are integrable with respect to an α-stable cylindrical Lévy process as the collection of all predictable processes with paths in the Bochner space L^α. We demonstrate the power and robustness of the developed theory by establishing a dominated convergence result allowing the interchange of the stochastic integral and limit.
Original language | English |
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Pages (from-to) | 1-23 |
Number of pages | 23 |
Journal | Electronic Journal Of Probability |
Publication status | Accepted/In press - 14 Nov 2022 |