The Donsker Delta function of a Lévy Process with Application to Chaos Expansion of Local Time.

Mataramvura, Sure; Øksendal, Bernt; Proske, Frank
Research report
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Year
2003
Permanent link
http://urn.nb.no/URN:NBN:no-23717

Is part of
Preprint series. Pure mathematics
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Abstract
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.