On Itô stochastic integral with respect to vector stable random measures

MaRDI QIDQ1373084zbMATH OpenFDO

Authors Dang Hung Thang

Publication date 20 April 1998

Published in Acta Mathematica Vietnamica (Search for Journal in Brave)

zbMATH Keywords

characteristic measurecovariance operatorsmoothable Banach spacestable random measurestochastic integral

Mathematics Subject Classification ID

Vector-valued measures and integration (46G10) Random measures (60G57) Stochastic integrals (60H05)

Review text

Fix \(q\in [1,2]\) and a \(q\)-smoothable Banach space \(X\), that is to say satisfying: \(\mathbb{E} [|M_n|^q] \leq C\sum^n_{j=1} \mathbb{E} [|M_j -M_{j-1} |^q]\) for any \(X\)-valued martingale \(M\) and any \(n\in \mathbb{N}\). Fix then \(p<q\), and an \(X\)-valued \(p\)-stable random measure \(Z_p\), with characteristic measure \(Q_p\). The author shows that it exists a stochastic integral on \(L^p(|Q_p |\otimes \mathbb{P})\)-adapted real processes \(u\) on \([0, 1]\): \(u\mapsto \int^1_0 u dZ_p\), extending the obvious integral on simple processes \(u\), and continuous from \(L^p(|Q_p |\otimes \mathbb{P})\) into \(L^0_X (\Omega)\). It is also continuous from \(L^2(|Q_2 |\otimes \mathbb{P})\) into \(L^2_X (\Omega)\), for \(p=q=2\). In this last case, the covariance operator of \(\int^1_0udZ_2\) is \(\int^1_0 \mathbb{E} (|u_t |^2)dQ_2\).

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Cited in

(7)

• On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals
• scientific article; zbMATH DE number 5984511 (Why is no real title available?)
• scientific article; zbMATH DE number 3890459 (Why is no real title available?)
• scientific article; zbMATH DE number 3967605 (Why is no real title available?)
• scientific article; zbMATH DE number 4069944 (Why is no real title available?)
• scientific article; zbMATH DE number 4084675 (Why is no real title available?)
• The Itô integral for Brownian motion in vector lattices. I

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