Stochastic integration in UMD Banach spaces

DOI10.1214/009117906000001006MaRDI QIDQ2373571zbMATH OpenOpenAlexFDO

Authors Jan van Neerven, Mark Veraar, Lutz Weis

Publication date 12 July 2007

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

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

zbMATH Keywords

Burkholder-Davis-Gundy inequalitiescylindrical Brownian motiondecoupling inequalitiesmartingale representation theoremStochastic integration in Banach spacesUMD Banach spacesy-radonifying operators

Mathematics Subject Classification ID

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

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.

Review text

It is well known that the theory of stochastic integration can be extended to Hilbert space-valued processes in a very satisfactory way. The reason for this is that the Itô isometry is an \(L^2\) isometry which easily extends to the Hilbert space setting. At the same time, this explains why it is considerably more difficult to formulate a theory of stochastic integration for processes taking values in a Banach space. The authors construct a theory of stochastic integration of processes with values in \(L(H,E)\), 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. The 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 \(L(H,E)\)-valued functions introduced recently by two of the authors. They obtain various characterizations of the stochastic integral and prove versions of the Itô isometry, the Burkholder-Davis-Gundy inequalities, and the representation theorem for Brown\-ian martingales.

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