Representation of Itô integrals by Lebesgue/Bochner integrals

DOI10.4171/JEMS/347zbMath1323.60076arXiv1007.2969OpenAlexW2963865113MaRDI QIDQ690836

Qi Lü, Jiong-min Yong, Zhang, X.

Publication date: 29 November 2012

Published in: Journal of the European Mathematical Society (JEMS) (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1007.2969

zbMATH Keywords

stochastic differential equationsBochner integralBlack-Scholes formulaLebesgue integralItō integralrange inclusionRiesz-type representation theorem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) General theory of stochastic processes (60G07) Financial applications of other theories (91G80) Stochastic integrals (60H05) Vector-valued measures and integration (46G10) Applications of functional analysis in probability theory and statistics (46N30) Foundations of stochastic processes (60G05)

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