Stochastic integration in Banach spaces
This is an outline (without proofs) of the construction of stochastic integrals \(\int H dX\) for processes H: \(R_+\times \Omega \to E\) and X: \(R_+\times \Omega \to L(E,F)\), where L(E,F) is the space of bounded linear operators on a Banach space E into another Banach space F. It generalizes previous approaches to vector valued stochastic integration. The main assumption is that the stochastic finitely additive measure \(I_ X\) induced by X be bounded. The construction is based on the Lebesgue space \(L^ 1_ E(I_ X)\) introduced by the authors [J. Math. Anal. Appl. 54, 348-389 (1976; Zbl 0339.46029)]. The authors state that ``most of the properties for the classical real-valued stochastic integral can be established for \(\int H dX\).
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