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.