Stochastic Integration and $L^p$-Theory of Semimartingales
Bichteler, Klaus
Ann. Probab., Tome 9 (1981) no. 6, p. 49-89 / Harvested from Project Euclid
If $X$ is a bounded left-continuous and piecewise constant process and if $Z$ is an arbitrary process, both adapted, then the stochastic integral $\int X dZ$ is defined as usual so as to conform with the sure case. In order to obtain a reasonable theory one needs to put a restriction on the integrator $Z$. A very modest one suffices; to wit, that $\int X_n dZ$ converge to zero in measure when the $X_n$ converge uniformly or decrease pointwise to zero. Daniell's method then furnishes a stochastic integration theory that yields the usual results, including Ito's formula, local time, martingale inequalities, and solutions to stochastic differential equations. Although a reasonable stochastic integrator $Z$ turns out to be a semimartingale, many of the arguments need no splitting and so save labor. The methods used yield algorithms for the pathwise computation of a large class of stochastic integrals and of solutions to stochastic differential equations.
Publié le : 1981-02-14
Classification:  Stochastic integral,  stochastic differential equations,  stochastic $H^p$-theory,  60H05
@article{1176994509,
     author = {Bichteler, Klaus},
     title = {Stochastic Integration and $L^p$-Theory of Semimartingales},
     journal = {Ann. Probab.},
     volume = {9},
     number = {6},
     year = {1981},
     pages = { 49-89},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176994509}
}
Bichteler, Klaus. Stochastic Integration and $L^p$-Theory of Semimartingales. Ann. Probab., Tome 9 (1981) no. 6, pp.  49-89. http://gdmltest.u-ga.fr/item/1176994509/