Stability of stochastic integrals under change of filtration

Let (Ω, ,P) be a probability space equipped with two filtrations { _t} and { _t} satisfying the usual conditions. Assume that X is a semimartingale and that h is locally bounded and predictable for each of the two filtrations { _t} and { _t}. New examples of such processes are given. Utilizing and extending partial results of Zheng (1982), this paper extends the available results on the relationship between the stochastic integral processes ∫^th_s dX_s taken respectively in the sense of { _t} and of { _t}. In particular, it is shown that these stochastic integrals differ at most by a continuous process with quadratic variation defined and equal to 0. If both stochastic integrals are { _t∩ _t} semimartingales, then it is proved that the stochastic integral ∫^th_s dX _s taken in { _t} sense is indistinguishable from that taken in { _t} sense.     

Estimate for stochastic integrals

Lithuanian Mathematical Journal -     

Frechet-valued martingales and stochastic integrals

Stochastic processes with values in a separable Frechet space whose a itinuous linear functional are real-valued square integrable martingales are investigated. The coordinate measures on the Fréchet space are obtained from cylinder set measures on a Hilbert space that is dense in the Fréchet space. Real-valued stochastic integrals are defined from the Fréchet-valued martingales using integrands from the topological dual of the aforementioned Hilbert space. An increasing process with values in the self adjoint operators on the Hilbert space plays a fundamental role in the definition of stochastic integrals. For Banach-valued Brownian motion the change of variables formula of K. Itô is generalized. A converse to the construction of the measures on the Fréchet space from cylinder set measures on a Hilbert space is also obtained.     

Complex valued multiparameter stochastic integrals

In this paper we will consider the properties of various stochastic integrals over a complex valued, two parameter Wiener process. Integrals of this type exhibit pleasant features which do not appear within the real framework. They are stable under approximation and viewed in relation with analytic functions, they typically satisfy an ordinary chain rule. This in turn gives rise to several nice representation formulas.     

Invariance principles for stochastic area and related stochastic integrals

Given an antisymmetric kernel K (K(z, z′) = ?K(z′, z)) and i.i.d. random variates Z_n, n?1, such that EK²(Z₁, Z₂)<∞, set A_n = ∑₁?i?j?nK(Z_i,Z_j), n?1. If the Z_n's are two-dimensional and K is the determinant function, A_n is a discrete analogue of Paul Lévy's so-called stochastic area. Using a general functional central limit theorem for stochastic integrals, we obtain limit theorems for the A_n's which mirror the corresponding results for the symmetric kernels that figure in theory of U-statistics.     

Extended Thorin classes and stochastic integrals

Extended Thorin classes T ^ϰ (R ^d ), ϰ > 0, of infinitely divisible probability laws on R ^d are defined and analytically characterized in [6]. Using general results from [8] and [9], in this paper, we derive a stochastic integral representation of these classes. Published in Lietuvos Matematikos Rinkinys, Vol. 47, No. 4, pp. 497–503, October–December, 2007.     

Laplace approximation for stochastic line integrals

We prove a precision of large deviation principle for current-valued processes such as shown in Bolthausen et al. (Ann Probab 23(1):236–267, 1995) for mean empirical measures. The class of processes we consider is determined by the martingale part of stochastic line integrals of 1-forms on a compact Riemannian manifold. For the pair of the current-valued process and mean empirical measures, we give an asymptotic evaluation of a nonlinear Laplace transform under a nondegeneracy assumption on the Hessian of the exponent at equilibrium states. As a direct consequence, our result implies the Laplace approximation for stochastic line integrals or periodic diffusions. In particular, we recover a result in Bolthausen et al. (Ann Probab 23(1):236–267, 1995) in our framework.     

A generalization of operator stochastic integrals

We generalize the method for construction of operator stochastic integrals suggested by Berezanskii, Zhernakov, and Us. We extend the class of integrable commutative quantum processes and study properties of corresponding integrals.Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 46, No. 4, pp. 425–429, April, 1994.This work was partially supported by the Ukrainian State Committee on Science and Technology.     

Approximation theorems for set-valued stochastic integrals

The article is devoted to new properties of Aumann, Lebesgue, and Itô set-valued stochastic integrals considered in papers [1 Kisielewicz, M. (2014). Properties of generalized set-valued stochastic integrals. Discuss. Math. (DICO) 34:131–147. [Google Scholar],2 Kisielewicz, M., Michta, M. (2017). Integrably bounded set-valued stochastic integrals. J. Math. Anal. Appl. 449:1893–1910.[Crossref], [Web of Science ®] , [Google Scholar]]. In particular, it contains some approximation theorems for Aumann and Itô set-valued stochastic integrals. Hence, in particular, it follows that Aumann and Lebesgue set-valued stochastic integrals cover a.s., both for measurable and IF-nonanticipative integrably bounded set-valued stochastic processes.     

Sharp maximal inequality for stochastic integrals

Let be a nonnegative supermartingale and be a predictable process with values in . Let denote the stochastic integral of with respect to . The paper contains the proof of the sharp inequality

where . A discrete-time version of this inequality is also established.