Isomorphism for Spaces of Predictable Processes and an Extension of the Ito Integral

DOI10.1080/07362994.2012.668445zbMATH Open1244.60053arXiv1907.05137OpenAlexW2062252392MaRDI QIDQ2893291FDOQ2893291

Stefan Tappe, Barbara Rüdiger

Publication date: 20 June 2012

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Abstract: Our goal of this note is to give an easy proof that spaces of predictable processes with values in a Banach space are isomorphic to spaces of progressive resp. adapted, measurable processes. This provides a straightforward extension of the It^{o} integral in infinite dimensions. We also outline an application to stochastic partial differential equations.

Full work available at URL: https://arxiv.org/abs/1907.05137

zbMATH Keywords

stochastic partial differential equations[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD+integral&go=Go It�� integral]stochastic processes in infinite dimensionsisomorphisms for spaces of predictable processes

Mathematics Subject Classification ID

Stochastic integrals (60H05) General theory of stochastic processes (60G07)

Cites Work

• Stochastic Partial Differential Equations with Levy Noise
• Existence of mild solutions for stochastic differential equations and semilinear equations with non-Gaussian Lévy noise
• Stochastic Differential Equations in Infinite Dimensions
• A note on stochastic integrals as \(L^{2}\)-curves
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• Existence of Lévy term structure models
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• Relation Between Stochastic Integrals and the Geometry of Banach Spaces
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Cited In (4)

• Weak convergence of finite element approximations of linear stochastic evolution equations with additive Lévy noise
• Uniqueness of the nonlinear Schrödinger equation driven by jump processes
• The Itō integral with respect to an infinite dimensional Lévy process: a series approach
• Strong solutions of stochastic models for viscoelastic flows of Oldroyd type

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