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Itô Formula for Free Stochastic Integrals

✍ Scribed by Michael Anshelevich

Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
184 KB
Volume
188
Category
Article
ISSN
0022-1236

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✦ Synopsis

The objects under investigation are the stochastic integrals with respect to free Lévy processes. We define such integrals for square-integrable integrands, as well as for a certain general class of bounded integrands. Using the product form of the Itô formula, we prove the full functional Itô formula in this context.

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