Representation of Itô integrals by Lebesgue/Bochner integrals
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Publication:690836
stochastic differential equationsLebesgue integralBlack-Scholes formulaBochner integralrange inclusionRiesz-type representation theoremItō integral
Applications of functional analysis in probability theory and statistics (46N30) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Vector-valued measures and integration (46G10) Stochastic integrals (60H05) Financial applications of other theories (91G80) General theory of stochastic processes (60G07) Foundations of stochastic processes (60G05)
Abstract: In [22], it was proved that as long as the integrand has certain properties, the corresponding It^o integral can be written as a (parameterized) Lebesgue integral (or a Bochner integral). In this paper, we show that such a question can be answered in a more positive and refined way. To do this, we need to characterize the dual of the Banach space of some vector-valued stochastic processes having different integrability with respect to the time variable and the probability measure. The later can be regarded as a variant of the classical Riesz Representation Theorem, and therefore it will be useful in studying other problems. Some remarkable consequences are presented as well, including a reasonable definition of exact controllability for stochastic differential equations and a condition which implies a Black-Scholes market to be complete.
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