Di Nunno, G., Oksendal, B. and Proske, F. (2009) Malliavin Calculus for Lévy Processes with Applications to Finance. Springer-Verlag, Berlin.
http://dx.doi.org/10.1007/978-3-540-78572-9

has been cited by the following article:

• TITLE: Itô Formula for Integral Processes Related to Space-Time Lévy Noise

  AUTHORS: Raluca M. Balan, Cheikh B. Ndongo

  KEYWORDS: Lévy Processes, Poisson Random Measure, Stochastic Integral, ItÔ Formula, ItÔ Representation Theorem

  JOURNAL NAME: Applied Mathematics, Vol.6 No.10, September 23, 2015

  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.