A note on stochastic integrals as \(L^{2}\)-curves (Q979205): Difference between revisions

This short note aims to provide a connection between the stochastic integral, regarded as \(L^2\)-curve, which was introduced by van Gaans in 2005 and the usual Itô-integral for càdlàg-integrands introduced e.g. by \textit{J. Jacod} and \textit{A. N. Shiryaev} [Limit theorems for stochastic processes. Grundlehren der Mathematischen Wissenschaften. 288. Berlin: Springer (2003; Zbl 1018.60002)] or \textit{G. Da Prato} and \textit{J. Zabczyk} [Stochastic equations in infinite dimensions. Cambridge etc.: Cambridge University Press (1992; Zbl 0761.60052)].\newline In a first part the author repeats briefly the stochastic integral as \(L^2\)-curve. He shows that the subspace of the adapted curves is embedded into the space of all \(L^2\)-processes, for which the It\(\hat{o}\)-integral exists. The corresponding It\(\hat{o}\)-integral can then be shown as a càdlàg-version of the stochastic integral seen as \(L^2\)-curve. In a final part an application to stochastic partial differential equations is given.