@article{AIHPB_2004__40_5_553_0, author = {Mataramvura, Sure and \O ksendal, Bernt and Proske, Frank}, title = {The Donsker delta function of a L\'evy process with application to chaos expansion of local time}, journal = {Annales de l'I.H.P. Probabilit\'es et statistiques}, volume = {40}, year = {2004}, pages = {553-567}, doi = {10.1016/j.anihpb.2004.01.002}, mrnumber = {2086014}, zbl = {1053.60047}, language = {en}, url = {http://dml.mathdoc.fr/item/AIHPB_2004__40_5_553_0} }
Mataramvura, Sure; Øksendal, Bernt; Proske, Frank. The Donsker delta function of a Lévy process with application to chaos expansion of local time. Annales de l'I.H.P. Probabilités et statistiques, Tome 40 (2004) pp. 553-567. doi : 10.1016/j.anihpb.2004.01.002. http://gdmltest.u-ga.fr/item/AIHPB_2004__40_5_553_0/
[1] Using the Donsker delta function to compute hedging strategies, Potential Anal. 14 (2001) 351-374. | MR 1825691 | Zbl 0993.91022
, , ,[2] A remark on nonsmoothness of self intersection local time of planar Brownian motion, Statist. Probab. Lett. 32 (1997) 57-65. | MR 1439497 | Zbl 0878.60053
, , ,[3] Lévy Processes, Cambridge University Press, Cambridge, 1996. | MR 1406564 | Zbl 0861.60003
,[4] Local times for a class of purely discontinuous martingales, Z. Wahr. Verw. Geb. 67 (1984) 433-459. | MR 761566 | Zbl 0551.60047
,[5] White noise analysis for Lévy processes, J. Funct. Anal. 206 (2004) 109-148. | MR 2024348 | Zbl 1078.60054
, , ,[6] On the self-intersection local time of Brownian motion - via chaos expansion, Publications Matemátiques 40 (1996) 337-350. | Zbl 0878.60051
,[7] White Noise, Kluwer, Dordrecht, 1993. | MR 1244577 | Zbl 0771.60048
, , , ,[8] Chaos expansion of local time of fractional Brownian motion, Stochastic Anal. Appl. 20 (2002) 815-837. | MR 1921068 | Zbl 1011.60016
, ,[9] Stochastic Partial Differential Equations - A Modeling, White Noise Functional Approach, Birkhäuser, Boston, 1996. | Zbl 0860.60045
, , , ,[10] Spectral type of the shift transformation of differential processes and stationary increments, Trans. Amer. Math. Soc. 81 (1956) 253-263. | MR 77017 | Zbl 0073.35303
,[11] White Noise Distribution Theory, in: Probab. Soch. Series, CRC Press, Boca Raton, FL, 1996. | MR 1387829 | Zbl 0853.60001
,[12] Donsker's delta function of Lévy processes, Acta Appl. Math. 63 (2000) 219-231. | MR 1834220 | Zbl 0982.60067
, ,[13] A. Løkka, B. Øksendal, F. Proske, Stochastic partial differential equations driven by Lévy space-time white noise, Ann. Appl. Probab. (2003), submitted for publication. | Zbl 1053.60069
[14] Stochastic differential equations involving positive noise, in: , (Eds.), Stochastic Analysis, Cambridge Univ. Press, Cambridge, 1991, pp. 261-303. | Zbl 0783.60055
, , ,[15] Chaos expansion and local time, Publ. Math. 36 (1992) 827-836. | MR 1210022 | Zbl 0787.60060
, ,[16] White Noise Calculus and Fock Space, in: Lecture Notes in Math., vol. 1577, Springer-Verlag, Berlin, 1994. | MR 1301775 | Zbl 0814.60058
,[17] B. Øksendal, F. Proske, White noise of Poisson random measures, Potential Anal. (2003), submitted for publication. | Zbl 1060.60069
[18] Lévy Processes and Infinitely Divisible Distributions, in: Cambridge University Studies in Advanced Mathematics, vol. 68, Cambridge University Press, Cambridge, 1999. | MR 1739520 | Zbl 0973.60001
,[19] Lectures on Hermite and Laguerre Expansions, in: Mathematical Notes, vol. 42, Princeton University Press, 1993. | MR 1215939 | Zbl 0791.41030
,