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I am asking if anyone could recommand me a book containing the rigorous construction of stochastic integral with respect to levy processes(as integrators). Many thanks!

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  • $\begingroup$ Lévy processes are particular examples of semimartingales, and therefore you can pick any book which explains stochastic integration with respect to semimartingales... $\endgroup$ – saz Jan 6 '18 at 16:54
  • $\begingroup$ Many thanks for your suggestion $\endgroup$ – SIZHOU WU Jan 7 '18 at 20:17
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Please refer to the book: D. Applebaum, Lévy Processes and Stochastic Calculus, 2nd Ed, Cambridge University Press, 2005.

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  • $\begingroup$ Many thanks for your help $\endgroup$ – SIZHOU WU Jan 7 '18 at 20:15

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