Stochastic integration in abstract spaces (Q1958451)

Summary: We establish the existence of a stochastic integral in a nuclear space setting as follows. Let \(E\), \(F\), and \(G\) be nuclear spaces which satisfy the following conditions: the spaces are reflexive, complete, bornological spaces such that their strong duals also satisfy these conditions. Assume that there is a continuous bilinear mapping of \(E\times F\) into \(G\). If \(H\) is an integrable, \(E\)-valued predictable process and \(X\) is an \(F\)-valued square integrable martingale, then there exists a \(G\)-valued process \((\int HdX)_t\) called the stochastic integral. The Lebesgue space of these integrable processes is studied and convergence theorems are given. Extensions to general locally convex spaces are presented.