Cylindrical continuous martingales and stochastic integration in infinite dimensions

DOI10.1214/16-EJP7zbMATH Open1348.60081arXiv1602.03996OpenAlexW3100157572MaRDI QIDQ320231FDOQ320231

Authors: Mark Veraar, Ivan Yaroslavtsev 

Publication date: 6 October 2016

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: In this paper we define a new type of quadratic variation for cylindrical continuous local martingales on an infinite dimensional spaces. It is shown that a large class of cylindrical continuous local martingales has such a quadratic variation. For this new class of cylindrical continuous local martingales we develop a stochastic integration theory for operator valued processes under the condition that the range space is a UMD Banach space. We obtain two-sided estimates for the stochastic integral in terms of the $gamma$-norm. In the scalar or Hilbert case this reduces to the Burkholder-Davis-Gundy inequalities. An application to a class of stochastic evolution equations is given at the end of the paper.

Full work available at URL: https://arxiv.org/abs/1602.03996

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zbMATH Keywords

inequalitiesquadratic variationstochastic convolutionfunctional calculus[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD+formula&go=Go It�� formula]\(\gamma\)-radonifying operatorsstochastic evolution equationUMD Banach spacesrandom time changeBurkholder-Davis-Gundycontinuous local martingalecylindrical martingalestochastic integration in Banach spaces

Mathematics Subject Classification ID

Probability theory on linear topological spaces (60B11) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) One-parameter semigroups and linear evolution equations (47D06)

Cited In (20)

• Stochastic integration in quasi-Banach spaces
• An approach to stochastic integration in general separable Banach spaces
• Brownian representations of cylindrical continuous local martingales
• On the martingale decompositions of Gundy, Meyer, and Yoeurp in infinite dimensions
• Martingale decompositions and weak differential subordination in UMD Banach spaces
• Almost sure uniform convergence of stochastic processes in the dual of a nuclear space
• Maximal inequalities for stochastic convolutions and pathwise uniform convergence of time discretisation schemes
• Local characteristics and tangency of vector-valued martingales
• Itô-Föllmer calculus in Banach spaces. I: The Itô formula
• Limit theorems for cylindrical martingale problems associated with Lévy generators
• Stochastic integration with respect to cylindrical Lévy processes by \(p\)-summing operators
• Title not available (Why is that?)
• Stochastic integration with respect to fractional processes in Banach spaces
• Title not available (Why is that?)
• Continuous local martingales and stochastic integration in UMD Banach spaces
• Stochastic integration with respect to cylindrical semimartingales
• On strongly orthogonal martingales in UMD Banach spaces
• Semimartingales on duals of nuclear spaces
• Burkholder-Davis-Gundy inequalities in UMD Banach spaces
• Title not available (Why is that?)

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