On a Class of Generalized Integrands |
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Authors: | Marzia De Donno |
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Institution: | 1. Dipartimento di Matematica , Università di Pisa , Pisa, Italy;2. IMQ , Bocconi University , Milan, Italy mdedonno@dm.unipi.it |
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Abstract: | Abstract In the framework of the theory of stochastic integration with respect to a family of semimartingales depending on a continuous parameter, introduced by De Donno and Pratelli as a mathematical background to the theory of bond markets, we analyze a special class of integrands that preserve some nice properties of the finite-dimensional stochastic integral. In particular, we focus our attention on the class of processes considered by Mikulevicius and Rozovskii for the case of a locally square integrable cylindrical martingale and which includes an appropriate set of measure-valued processes. |
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Keywords: | Convergence of semimartingales Generalized integrands Infinite dimensional stochastic integration Measure-valued integrands Reproducing kernel Hilbert spaces |
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