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arXiv · 1007.2969

Representation of Itô Integrals by Lebesgue/Bochner Integrals

Qi Lü·Jiongmin Yong·Xu Zhang
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Abstract

In [22], it was proved that as long as the integrand has certain properties, the corresponding Itô 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.

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Qi Lü, Jiongmin Yong, Xu Zhang. 2010-07-18. Representation of Itô Integrals by Lebesgue/Bochner Integrals. https://arxiv.org/abs/1007.2969

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