Isomorphisms for spaces of predictable processes and an extension of the Itô integral
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2019
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| _version_ | 1866912719678996480 |
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| author | Rüdiger, Barbara Tappe, Stefan |
| author_facet | Rüdiger, Barbara Tappe, Stefan |
| contents | Our goal of this note is to give an easy proof that spaces of predictable processes with values in a Banach space are isomorphic to spaces of progressive resp. adapted, measurable processes. This provides a straightforward extension of the Itô integral in infinite dimensions. We also outline an application to stochastic partial differential equations. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1907_05137 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Isomorphisms for spaces of predictable processes and an extension of the Itô integral Rüdiger, Barbara Tappe, Stefan Probability 60H15, 60G17 Our goal of this note is to give an easy proof that spaces of predictable processes with values in a Banach space are isomorphic to spaces of progressive resp. adapted, measurable processes. This provides a straightforward extension of the Itô integral in infinite dimensions. We also outline an application to stochastic partial differential equations. |
| title | Isomorphisms for spaces of predictable processes and an extension of the Itô integral |
| topic | Probability 60H15, 60G17 |
| url | https://arxiv.org/abs/1907.05137 |