Stochastic integration in abstract spaces

DOI10.1155/2010/217372MaRDI QIDQ1958451zbMATH OpenOpenAlexWikidataFDO

Authors James K. Brooks, J. T. Kozinski

Publication date 29 September 2010

Published in International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/224053

zbMATH Keywords

convergence theoremsreflexive, complete, bornological spacesstochastic integral in a nuclear space

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Review text

Summary: We establish the existence of a stochastic integral in a nuclear space setting as follows. Let \(E\), \(F\), and \(G\) be nuclear spaces which satisfy the following conditions: the spaces are reflexive, complete, bornological spaces such that their strong duals also satisfy these conditions. Assume that there is a continuous bilinear mapping of \(E\times F\) into \(G\). If \(H\) is an integrable, \(E\)-valued predictable process and \(X\) is an \(F\)-valued square integrable martingale, then there exists a \(G\)-valued process \((\int HdX)_t\) called the stochastic integral. The Lebesgue space of these integrable processes is studied and convergence theorems are given. Extensions to general locally convex spaces are presented.

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