Stochastic integration in UMD Banach spaces (Q2373571): Difference between revisions

It is well known that the theory of stochastic integration can be extended to Hilbert space-valued processes in a very satisfactory way. The reason for this is that the Itô isometry is an \(L^2\) isometry which easily extends to the Hilbert space setting. At the same time, this explains why it is considerably more difficult to formulate a theory of stochastic integration for processes taking values in a Banach space. The authors construct a theory of stochastic integration of processes with values in \(L(H,E)\), where \(H\) is a separable Hilbert space and \(E\) is a UMD Banach space (i.e., a space in which martingale differences are unconditional). The integrator is an \(H\)-cylindrical Brownian motion. The approach is based on a two-sided \(L^p\)-decoupling inequality for UMD spaces due to Garling, which is combined with the theory of stochastic integration of \(L(H,E)\)-valued functions introduced recently by two of the authors. They obtain various characterizations of the stochastic integral and prove versions of the Itô isometry, the Burkholder-Davis-Gundy inequalities, and the representation theorem for Brown\-ian martingales.