Konstantinos Dareiotis, Istvan Gyongy
Published 2012-10-22, updated 2015-01-03Version 3
A comparison principle for stochastic integro-differential equations driven by Levy processes is proved. This result is obtained via an extension of an Ito formula from [11] for the square of the norm of the positive part of $L_2-$valued, continuous semimartingales, to the case of discontinuous semimartingales.
Fragmentation associated to Levy processes using snake
Levy processes: Hitting time, overshoot and undershoot II - Asymptotic behaviour
Right inverses of Levy processes: the excursion measure in the general case
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