Representation of Itô integrals by Lebesgue/Bochner integrals

DOI10.4171/JEMS/347zbMATH Open1323.60076arXiv1007.2969OpenAlexW2963865113MaRDI QIDQ690836FDOQ690836

Authors: Qi Lü, Jiongmin Yong, Xu Zhang 

Publication date: 29 November 2012

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

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.

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

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zbMATH Keywords

stochastic differential equationsLebesgue integralBlack-Scholes formulaBochner integralrange inclusionRiesz-type representation theoremItō integral

Mathematics Subject Classification ID

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)

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Cited In (21)

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• Erratum to: ``Representation of Itô integrals by Lebesgue/Bochner integrals
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• RETRACTED ARTICLE: Conditional expectations in \(L^p(\mu ;L^q(\nu ;X))\)
• First order necessary condition for stochastic evolution control systems with random generators
• First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints
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• On conditional expectations in \(L^p(\mu ;L^q(\nu ;X))\)
• Linear quadratic stochastic control problems with stochastic terminal constraint
• Switching controls for linear stochastic differential systems
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• Optimality conditions for parabolic stochastic optimal control problems with boundary controls
• On the partial controllability of SDEs and the exact controllability of FBSDEs
• Optimal actuator location of the minimum norm controls for stochastic heat equations
• Operator-valued backward stochastic Lyapunov equations in infinite dimensions, and its application
• Controllability of stochastic game-based control systems
• Exact controllability of linear stochastic differential equations and related problems

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