Closedness of some spaces of stochastic integrals
The authors extend to all \(p>1\) results which have been shown for \(p=2\) by \textit{Delbaen} et al. (1999) on closedness of space of stochastic integrals and of space of their terminal values. Let \(X=M+A\) be an \(\mathbb{R}^d\)-valued semimartingale with \(X_0=0\), \(M\) is a continuous local martingale and \(A\) is a continuous finite variation process. Let \(\theta\) be an \(\mathbb{R}^d\) measurable process such that \[ E\left[ \left(\int^T_0 \theta^*_t d[M]_t\theta_t \right)^{p/2}+ \left(\int^T_0 \theta^*dA_t \right)^p \right]<+ \infty,\tag{1} \] and denote \(i(\theta)=\theta X=\int^T_0\theta_sdX\). \({\mathcal G}^p\) denotes the image space by \(i\) of the set of \(\theta\) verifying (1), and \({\mathcal G}^p_T\) denotes the set of terminal values of processes in \({\mathcal G}^p\). The main results give necessary and sufficient conditions for closedness of \({\mathcal G}^p\) in space of processes \(H\) such that \(\sup_{s\leq T}| H_s|\in L^p(P)\) (Theorem 3.1) and for the closedness of \({\mathcal G}^p_T\) in \(L^p(P)\) (Theorem 4.1). For the entire collection see [Zbl 0893.00035].
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