Cylindrical continuous martingales and stochastic integration in infinite dimensions

DOI10.1214/16-EJP7MaRDI QIDQ320231zbMATHOpenAlexFDO

Authors Mark Veraar, Ivan Yaroslavtsev

Publication date 6 October 2016

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

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

zbMATH Keywords

inequalitiesquadratic variationstochastic convolutionfunctional calculus\(\gamma\)-radonifying operatorsstochastic evolution equationUMD Banach spacesrandom time changeBurkholder-Davis-Gundycontinuous local martingalecylindrical martingalestochastic integration in Banach spacesItō formula

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)

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.

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