A note on stochastic integrals as L^2-curves

DOI10.1016/J.SPL.2010.03.009MaRDI QIDQ979205zbMATH OpenOpenAlexFDO

Authors Stefan Tappe

Publication date 25 June 2010

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1907.03258

zbMATH Keywords

\(L^2\)-curvesconnection to It\(\hat{o}\)-integralstochastic integralsstochastic partial differential equations,

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: In a work of van Gaans (2005a) stochastic integrals are regarded as $L^2$-curves. In Filipovi'{c} and Tappe (2008) we have shown the connection to the usual It^o-integral for c`adl`ag-integrands. The goal of this note is to complete this result and to provide the full connection to the It^o-integral. We also sketch an application to stochastic partial differential equations.

Review text

This short note aims to provide a connection between the stochastic integral, regarded as \(L^2\)-curve, which was introduced by van Gaans in 2005 and the usual Itô-integral for càdlàg-integrands introduced e.g. by \textit{J. Jacod} and \textit{A. N. Shiryaev} [Limit theorems for stochastic processes. Grundlehren der Mathematischen Wissenschaften. 288. Berlin: Springer (2003; Zbl 1018.60002)] or \textit{G. Da Prato} and \textit{J. Zabczyk} [Stochastic equations in infinite dimensions. Cambridge etc.: Cambridge University Press (1992; Zbl 0761.60052)].\newline In a first part the author repeats briefly the stochastic integral as \(L^2\)-curve. He shows that the subspace of the adapted curves is embedded into the space of all \(L^2\)-processes, for which the It\(\hat{o}\)-integral exists. The corresponding It\(\hat{o}\)-integral can then be shown as a càdlàg-version of the stochastic integral seen as \(L^2\)-curve. In a final part an application to stochastic partial differential equations is given.

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Cites work

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• scientific article; zbMATH DE number 3603853 (Why is no real title available?)
• scientific article; zbMATH DE number 822726 (Why is no real title available?)
• scientific article; zbMATH DE number 3319844 (Why is no real title available?)
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Cited in

(7)

• On L^2-projections on a space of stochastic integrals
• The Itō integral with respect to an infinite dimensional Lévy process: a series approach
• Robust control design for nonlinear stochastic partial differential systems with Poisson noise: fuzzy implementation
• Isomorphisms for spaces of predictable processes and an extension of the Itô integral
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• A Note on Paley-Wiener-Zygmund Stochastic Integrals
• A short proof of ℓ2 decoupling for the moment curve

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