scientific article; zbMATH DE number 1336724

Publication date 14 September 1999

bimeasure generalized stochastic integral generalized stochastic measure

Random measures (60G57) Stochastic integrals (60H05)

Let \(X\) be a complex normed space, \(X'\) be its dual space, \(H=L_{2}(\Omega)\) be the Hilbert space of complex-valued second order random variables defined on a probability space \((\Omega,{\mathcal F},P)\), \(M={\mathcal L}(X',H)\) be the Banach space of all linear continuous mappings of \(X'\) into \(H\). The generalized random measure \(\Phi\) in \(X\) defined on a measurable space \((\Lambda,{\mathcal B})\) is an additive \(M\)-valued measure, which is continuous in uniform or strong topology. Let \({\mathcal B}\times {\mathcal B}\) be the algebra of sets generated by the set of all rectangles \(\Delta\times \Delta'\); \(\Delta,\Delta'\in {\mathcal B}\). A mapping \(F:{\mathcal B}\times {\mathcal B}\to R\) is called a uniformly (weakly) continuous operator bimeasure if 1) \(F\) is finitely additive; 2) \(F\) is a positive definite kernel; 3) \(\lim_{n,m\to\infty}F(\Delta_{n}, \Delta_m')=0\) for all sequences \(\Delta_{n}\downarrow 0, \Delta_{m}'\downarrow 0, \Delta_{n},\Delta_{m}'\in{\mathcal B}\). The author studies stochastic integrals of operator functions with respect to the generalized stochastic measure \(\Phi\) and with respect to the bimeasure \(F\). The integral representation of generalized random functions in \(X\) is obtained. Characterizations of \(V\)-bounded random fields in \(X\) are presented. For the entire collection see [Zbl 0896.00028].

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