The set-indexed Itô integral (Q2565878)

The authors develop a notion of stochastic integration where the role of integrator is played by a set-indexed martingale. The set-indexed theory needs a class of Borel sets of a fixed topological space \(T\). Necessary and sufficient conditions on such class are formulated. The core set of conditions is close to that found in earlier works and is essential for the definition of an appropriate notion of martingale in set-indexed setting. The flexible notion of quadratic variation for such martingale is introduced and the set-indexed Itô integral with \(T\)-indexed integrands is constructed. Then a local version of this notion is discussed. Consistency and independence on the localizing sequence are established by extending classic stopping identities to the set-indexed framework. A novel form of predictability is also introduced. Then, the Itô integral is extended to the case of set-indexed integrands. An interesting result is that any sample-path continuous set-indexed Brownian motion can play the role of both integrator and integrand.