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Stochastic integration in UMD Banach spaces
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    Stochastic integration in UMD Banach spaces (English)
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    12 July 2007
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    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.
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    Stochastic integration in Banach spaces
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    UMD Banach spaces
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    cylindrical Brownian motion
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    y-radonifying operators
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    decoupling inequalities
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    Burkholder-Davis-Gundy inequalities
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    martingale representation theorem
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