WEIGHTED NORM INEQUALITIES AND CLOSEDNESS OF A SPACE OF STOCHASTIC INTEGRALS

Authors
DELBAEN F MONAT P SCHACHERMAYER W SCHWEIZER M STRICKER C
Citation
F. Delbaen et al., WEIGHTED NORM INEQUALITIES AND CLOSEDNESS OF A SPACE OF STOCHASTIC INTEGRALS, Comptes rendus de l'Academie des sciences. Serie 1, Mathematique, 319(10), 1994, pp. 1079-1081
Citations number
9
Categorie Soggetti
Mathematics, General",Mathematics
Journal title
Comptes rendus de l'Academie des sciences. Serie 1, Mathematique → ACNP
ISSN journal
07644442
Volume
319
Issue
10
Year of publication
1994
Pages
1079 - 1081
Database
ISI
SICI code
0764-4442(1994)319:10<1079:WNIACO>2.0.ZU;2-I
Abstract
Let X be a semimartingale and THETA the space of all predictable X-int egrable processes theta such that integral theta dX is in the space S2 of semimartingales. We are looking for some necessary and sufficient conditions such that the space G(T) (THETA) defined by G(T) (THETA) := {integral0/T theta(s) dX(s)\theta is-an-element-of THETA} is closed in L2 (P). In some cases, we characterize the closure of G(T) (THETA).