Weak characterizations of stochastic integrability and Dudley's theorem in infinite dimensions

DOI10.1007/S10959-013-0479-YzbMATH Open1316.60087OpenAlexW2059571814MaRDI QIDQ482805FDOQ482805

Authors Martin Ondreját, Mark Veraar

Publication date 6 January 2015

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

Full work available at URL https://arxiv.org/abs/1205.5438

zbMATH Keywords

stochastic integration in Banach spacesalmost sure limit theoremsDoob representation theoremDudley representation theorem

Mathematics Subject Classification ID

Probability theory on linear topological spaces (60B11) Limit theorems in probability theory (60F99) Stochastic integrals (60H05) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

Abstract: In this paper we consider stochastic integration with respect to cylindrical Brownian motion in infinite dimensional spaces. We study weak characterizations of stochastic integrability and present a natural continuation of results of van Neerven, Weis and the second named author. The limitation of weak characterizations will be demonstrated with a nontrivial counterexample. The second subject treated in the paper addresses representation theory for random variables in terms of stochastic integrals. In particular, we provide an infinite dimensional version of Dudley's representation theorem for random variables and an extension of Doob's representation for martingales.

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