Linear hyperfinite Lévy integrals

Herzberg F (2008) Working Papers. Institute of Mathematical Economics; 404.
Bielefeld: IMW.

Diskussionspapier | Veröffentlicht | Englisch
 
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Herzberg, Frederik
Abstract / Bemerkung
This article shows that the nonstandard approach to stochastic integration with respect to (C^2 functions of) Lévy processes is consistent with the classical theory of pathwise stochastic integration with respect to (C^2 functions of) jump-diffusions with finite-variation jump part. It is proven that internal stochastic integrals with respect to hyperfinite Lévy processes possess right standard parts, and that these standard parts coincide with the classical pathwise stochastic integrals, provided the integrator's jump part is of finite variation. If the integrator's Lévy measure is bounded from below, one can obtain a similar result for stochastic integrals with respect to C^2 functions of Lévy processes. As a by-product, this yields a short, direct nonstandard proof of the generalized Itô formula for stochastic differentials of smooth functions of Lévy processes.
Stichworte
Itô formula; Nonstandard analysis; Lévy processes; Stochastic integration
Erscheinungsjahr
2008
Band
404
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2316147

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Herzberg F. Linear hyperfinite Lévy integrals. Working Papers. Institute of Mathematical Economics. Vol 404. Bielefeld: IMW; 2008.
Herzberg, F. (2008). Linear hyperfinite Lévy integrals (Working Papers. Institute of Mathematical Economics, 404). Bielefeld: IMW.
Herzberg, F. (2008). Linear hyperfinite Lévy integrals. Working Papers. Institute of Mathematical Economics, 404, Bielefeld: IMW.
Herzberg, F., 2008. Linear hyperfinite Lévy integrals, Working Papers. Institute of Mathematical Economics, no.404, Bielefeld: IMW.
F. Herzberg, Linear hyperfinite Lévy integrals, Working Papers. Institute of Mathematical Economics, vol. 404, Bielefeld: IMW, 2008.
Herzberg, F.: Linear hyperfinite Lévy integrals. Working Papers. Institute of Mathematical Economics, 404. IMW, Bielefeld (2008).
Herzberg, Frederik. Linear hyperfinite Lévy integrals. Bielefeld: IMW, 2008. Working Papers. Institute of Mathematical Economics. 404.
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2019-09-06T08:57:54Z
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