LÉVY PROCESSES AND ITÔ–SKOROKHOD INTEGRALS

KHALIFA ES-SEBAIY AND CIPRIAN A. TUDOR
Theory of Stochastic Processes Vol. 14 (30), no. 2, 2008, pp. 10–18
We study Skorokhod integral processes on Lévy spaces and prove an equivalence between this class of processes and the class of Itô–Skorokhod processes (in the sense of [14]). Using this equivalence, we introduce a stochastic analysis of the Itô type for anticipating integrals on Lévy spaces.

Full version