Isomorphisms for spaces of predictable processes and an extension of the Itô integral

Abstract

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.

8 pages

References in corpus (2)

• Existence of Lévy term structure models
• A note on stochastic integrals as $L^2$-curves

Cited by in corpus (1)

• The Itô integral with respect to an infinite dimensional Lévy process: A series approach