Stochastic integration in UMD Banach spaces

DOI10.1214/009117906000001006zbMATH Open1121.60060arXivmath/0610619OpenAlexW3104292233MaRDI QIDQ2373571FDOQ2373571

Jan van Neerven, Lutz Weis, Mark Veraar

Publication date: 12 July 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: In this paper we construct a theory of stochastic integration of processes with values in $mathcalL(H,E)$, where $H$ is a separable Hilbert space and $E$ is a UMD Banach space (i.e., a space in which martingale differences are unconditional). The integrator is an $H$-cylindrical Brownian motion. Our approach is based on a two-sided $L^p$-decoupling inequality for UMD spaces due to Garling, which is combined with the theory of stochastic integration of $mathcalL(H,E)$-valued functions introduced recently by two of the authors. We obtain various characterizations of the stochastic integral and prove versions of the It^{o} isometry, the Burkholder--Davis--Gundy inequalities, and the representation theorem for Brownian martingales.

Full work available at URL: https://arxiv.org/abs/math/0610619

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zbMATH Keywords

UMD Banach spacescylindrical Brownian motionmartingale representation theoremdecoupling inequalitiesBurkholder-Davis-Gundy inequalitiesStochastic integration in Banach spacesy-radonifying operators

Mathematics Subject Classification ID

Probability theory on linear topological spaces (60B11) Stochastic integrals (60H05) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

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