ON EXTENDED STOCHASTIC INTEGRALS WITH RESPECT TO LEVY PROCESSES

Let L be a Levy process on [0,+infinity). In particular cases, when L is a Wiener or Poisson process, any square integrable random variable can be decomposed in a series of repeated stochastic integrals from nonrandom functions with respect to L. This property of L, known as the chaotic representation property (CRP), plays a very important role in the stochastic analysis. Unfortunately, for a general Levy process the CRP does not hold. There are different generalizations of the CRP for Levy processes. In particular, under the Ito's approach one decomposes a Levy process L in the sum of a Gaussian process and a stochastic integral with respect to a Poisson random measure, and then uses the CRP for both terms in order to obtain a generalized CRP for L. The Nualart-Schoutens's approach consists in decomposition of a square integrable random variable in a series of repeated stochastic integrals from nonrandom functions with respect to so-called orthogonalized centered power jump processes, these processes are constructed with using of a cadlag version of L. The Lytvynov's approach is based on orthogonalization of continuous polynomials in the space of square integrable random variables. In this paper we construct the extended stochastic integral with respect to a Levy process and the Hida stochastic derivative in terms of the Lytvynov's generalization of the CRP; establish some properties of these operators; and, what is most important, show that the extended stochastic integrals, constructed with use of the above-mentioned generalizations of the CRP, coincide.