The It\o integral with respect to an infinite dimensional L\'evy process: A series approach
Abstract
We present an alternative construction of the infinite dimensional It\o integral with respect to a Hilbert space valued L\'evy process. This approach is based on the well-known theory of real-valued stochastic integration, and the respective It\o integral is given by a series of It\o integrals with respect to standard L\'evy processes. We also prove that this stochastic integral coincides with the It\o integral that has been developed in the literature.
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