Sur l'intégration stochastique par rapport à une martingale hilbertienne de carré intégrable. (On stochastic integration with respect to a square-integrable Hilbert-valued martingale) (Q1103269)

We give a complete characterization of the operator-valued processes which are integrable, in the sense of Métivier, with respect to a fixed Hilbert-valued square integrable martingale M. We prove that the space of such processes is in fact the whole space \(L^ *\) of \textit{M. Métivier} and \textit{G. Pistone} [Z. Wahrscheinlichkeitstheorie verw. Gebiete, 33, 1- 18 (1975; Zbl 0325.60054)]. This characterization allows to complete the theory of stochastic integration with respect to Hilbert-valued martingales. In particular, we give a construction of the process \(\ll M,N\gg\) (predictable compensator of \(M\otimes N)\), as well as a Hilbert-valued version of the Kunita-Watanabe inequality. Finally, we deal with the distributivity of the stochastic integral X.M with respect to the martingale M: this property is applied to obtain a simple proof of a representation theorem of Gal'chuk-Métivier. The results of this article have been announced (without proofs) in C.R. Acad. Sci., Paris, Sér. I, 304, 241-244 (1987). The proofs we give in the present article are based on some results concerning unbounded linear operators in Hilbert spaces (which may be of some interest in themselves).