An Itô integral is constructed for two-sided finite-variance Lévy processes without a Gaussian component and shown to extend the Hitsuda-Skorohod integral with respect to the associated compensated Poisson measure.
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It\^o integral for a two-sided L\'evy process
An Itô integral is constructed for two-sided finite-variance Lévy processes without a Gaussian component and shown to extend the Hitsuda-Skorohod integral with respect to the associated compensated Poisson measure.