A note on stochastic integrals as L2-curves

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.

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Year of publication:	2010
Authors:	Tappe, Stefan
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 13-14, p. 1141-1145
Publisher:	Elsevier
Keywords:	Stochastic integrals L2-curves Connection to the Ito-integral Stochastic partial differential equations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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