dc.date.accessioned | 2013-04-11T12:29:33Z | |
dc.date.available | 2013-04-11T12:29:33Z | |
dc.date.issued | 2002 | en_US |
dc.date.submitted | 2010-02-15 | en_US |
dc.identifier.uri | http://hdl.handle.net/10852/10680 | |
dc.description.abstract | We develop a white noise theory for Poisson random measures associated with a Lévy process. The starting point of this theory is a chaos expansion with kernels of polynomial type. We use this to construct the white noise of a Poisson random measure, which takes values in a certain distribution space. Then we show, how a Skorohod/Itô integral for point processes can be represented by a Bochner integral in terms of white noise of the random measure and a Wick product. Further, we apply these concepts to derive a generalized Clark-Haussmann-Ocone theorem for Lévy processes. Finally, an application of this theorem to portfolios in financial markets, driven by Lévy processes, is given.
Key words and phrases: Lévy processes, white noise analysis, stochastic partial differential equations | eng |
dc.language.iso | eng | en_US |
dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
dc.rights | © The Author(s) (2002). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
dc.title | White Noise of Poisson Random Measures | en_US |
dc.type | Research report | en_US |
dc.date.updated | 2013-04-10 | en_US |
dc.rights.holder | Copyright 2002 The Author(s) | |
dc.creator.author | Proske, Frank | en_US |
dc.creator.author | Øksendal, Bernt | en_US |
dc.subject.nsi | VDP::410 | en_US |
dc.identifier.urn | URN:NBN:no-24240 | en_US |
dc.type.document | Forskningsrapport | en_US |
dc.identifier.duo | 99304 | en_US |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10680/1/pm12-02.pdf | |