An anticipating Itô formula for Lévy processes

Elisa Alós, Jorge León, Josep Vives
2008 Alea   unpublished
In this paper, we use the Malliavin calculus techniques to obtain an anticipative version of the change of variable formula for Lévy processes. Here the coefficients are in the domain of the anihilation (gradient) operator in the "future sense", which includes the family of all adapted and square-integrable processes. This domain was introduced on the Wiener space byAì os and Nualart (1998). Therefore, our Itô formula is not only an extension of the usual adapted formula for Lévy processes, but
more » ... Lévy processes, but also an extension of the anticipative version on Wiener space obtained inAì os and Nualart (1998).
fatcat:o5yh2y6b7jdgblwelbkw4s34ui