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A note on stochastic integrals as L2-curves

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  • Tappe, Stefan

Abstract

In a work of van Gaans (2005a) stochastic integrals are regarded as L2-curves. In the paper Filipovic and Tappe (2008) we have shown the connection to the usual Itô-integral for càdlàg-integrands. The goal of this note is to complete this result and to provide the full connection to the Itô-integral. We also sketch an application to stochastic partial differential equations.

Suggested Citation

  • Tappe, Stefan, 2010. "A note on stochastic integrals as L2-curves," Statistics & Probability Letters, Elsevier, vol. 80(13-14), pages 1141-1145, July.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:13-14:p:1141-1145
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    References listed on IDEAS

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    1. Damir Filipović & Stefan Tappe, 2008. "Existence of Lévy term structure models," Finance and Stochastics, Springer, vol. 12(1), pages 83-115, January.
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    Cited by:

    1. Johannes Assefa & Philipp Harms, 2022. "Cylindrical stochastic integration and applications to financial term structure modeling," Papers 2208.03939, arXiv.org, revised May 2023.

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