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arXiv · 1907.05137

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

Barbara Rüdiger·Stefan Tappe
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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.

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Barbara Rüdiger, Stefan Tappe. 2019-07-11. Isomorphisms for spaces of predictable processes and an extension of the Itô integral. https://doi.org/10.1080/07362994.2012.668445

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