Itô integral for a two-sided Lévy process

Abstract

In this article, we construct an Itô integral with respect to a two-sided finite-variance Lévy process $\{L(x){\}}_{x\in \mathbb{R}}$, without a Gaussian component. Using Rosenthal inequality for discrete-time martingales, we give an estimate for the $p$-th moment of this integral, for any even integer $p\ge 2$. Then, using Poisson-Malliavin calculus, we show that the Itô integral is an extension of the Hitsuda-Skorohod integral with respect to the compensated Poisson random measure associated to the Lévy process.

14 pages