The Donsker delta function of a Lévy process with application to chaos expansion of local time
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- 作者：Sure Mataramvura ; Bernt Ø ; ksendal ; Frank Proske
- 关键词：Lé ; vy processes ; Local time ; White noise ; Donsker delta function ; Chaos expansion
- 刊名：Annales de l'Institut Henri Poincare (B) Probability and Statistics
- 出版年：2004
- 出版时间：September-October 2004
- 年：2004
- 卷：40
- 期：5
- 页码：553-567
- 全文大小：178 K
文摘
We give an explicit formula for the Donsker delta function of a certain class of Lévy processes in the Lévy–Hida distribution space. As an application we use the Donsker delta function to derive an explicit chaos expansion of local time for Lévy processes, in terms of iterated integrals with respect to the associated compensated Poisson random measure.