Weak characterizations of stochastic integrability and Dudley's theorem in infinite dimensions (Q482805): Difference between revisions
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Property / author: Mark C. Veraar / rank | |||
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This article is devoted to weak characterizations of stochastic integrability with respect to a cylindrical Brownian motion \(W\) in an infinite-dimensional Banach space \(E\). First, the following general representation theorem is established: Any strongly \(F_T\)-measurable \(\xi:\Omega\to E\) can be written as \(\xi= \int^T_0 \phi\,dW\), for some stochastically integrable process \(\phi\). Then, the main result concerns a reflexive space \(E\), a Hilbert-space \(H\), an \(H\)-strongly measurable adapted process \(\phi: (0,T)\times\Omega\to L(H,E)\) which is weakly in \(L^0(\Omega, L^2((0,T),H))\), and a process \(\xi:(0,T)\times\Omega\to E\) having bounded paths. The authors prove that if for any \(x^*\in E^*\) and \(t\leq T\) \[ \langle\xi(t), x^*\rangle= \int^t_0 \phi^* x^*dW_H \;\text{ a.s., \;\;then }\xi(t)= \int^t_0 \phi\,dW_H \;\text{ a.s.} \] and \(\xi(t)\) is a local martingale. | |||
Property / review text: This article is devoted to weak characterizations of stochastic integrability with respect to a cylindrical Brownian motion \(W\) in an infinite-dimensional Banach space \(E\). First, the following general representation theorem is established: Any strongly \(F_T\)-measurable \(\xi:\Omega\to E\) can be written as \(\xi= \int^T_0 \phi\,dW\), for some stochastically integrable process \(\phi\). Then, the main result concerns a reflexive space \(E\), a Hilbert-space \(H\), an \(H\)-strongly measurable adapted process \(\phi: (0,T)\times\Omega\to L(H,E)\) which is weakly in \(L^0(\Omega, L^2((0,T),H))\), and a process \(\xi:(0,T)\times\Omega\to E\) having bounded paths. The authors prove that if for any \(x^*\in E^*\) and \(t\leq T\) \[ \langle\xi(t), x^*\rangle= \int^t_0 \phi^* x^*dW_H \;\text{ a.s., \;\;then }\xi(t)= \int^t_0 \phi\,dW_H \;\text{ a.s.} \] and \(\xi(t)\) is a local martingale. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Jacques Franchi / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H05 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60B11 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60F99 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 28C20 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6383604 / rank | |||
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stochastic integration in Banach spaces | |||
Property / zbMATH Keywords: stochastic integration in Banach spaces / rank | |||
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almost sure limit theorems | |||
Property / zbMATH Keywords: almost sure limit theorems / rank | |||
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Dudley representation theorem | |||
Property / zbMATH Keywords: Dudley representation theorem / rank | |||
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Property / zbMATH Keywords | |||
Doob representation theorem | |||
Property / zbMATH Keywords: Doob representation theorem / rank | |||
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Revision as of 20:44, 30 June 2023
scientific article
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English | Weak characterizations of stochastic integrability and Dudley's theorem in infinite dimensions |
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Weak characterizations of stochastic integrability and Dudley's theorem in infinite dimensions (English)
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6 January 2015
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This article is devoted to weak characterizations of stochastic integrability with respect to a cylindrical Brownian motion \(W\) in an infinite-dimensional Banach space \(E\). First, the following general representation theorem is established: Any strongly \(F_T\)-measurable \(\xi:\Omega\to E\) can be written as \(\xi= \int^T_0 \phi\,dW\), for some stochastically integrable process \(\phi\). Then, the main result concerns a reflexive space \(E\), a Hilbert-space \(H\), an \(H\)-strongly measurable adapted process \(\phi: (0,T)\times\Omega\to L(H,E)\) which is weakly in \(L^0(\Omega, L^2((0,T),H))\), and a process \(\xi:(0,T)\times\Omega\to E\) having bounded paths. The authors prove that if for any \(x^*\in E^*\) and \(t\leq T\) \[ \langle\xi(t), x^*\rangle= \int^t_0 \phi^* x^*dW_H \;\text{ a.s., \;\;then }\xi(t)= \int^t_0 \phi\,dW_H \;\text{ a.s.} \] and \(\xi(t)\) is a local martingale.
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stochastic integration in Banach spaces
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almost sure limit theorems
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Dudley representation theorem
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Doob representation theorem
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