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Stochastic integration with respect to cylindrical Lévy processes by p-summing operators (1912.04029v1)

Published 9 Dec 2019 in math.PR

Abstract: We introduce a stochastic integral with respect to cylindrical L\'evy processes with finite $p$-th weak moment for $p\in [1,2]$. The space of integrands consists of $p$-summing operators between Banach spaces of martingale type $p$. We apply the developed integration theory to establish the existence of a solution for a stochastic evolution equation driven by a cylindrical L\'evy process.

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