201. Itô's rule and Lévy's theorem in vector lattices
- Author
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Coenraad C.A. Labuschagne and Jacobus J. Grobler
- Subjects
Discrete mathematics ,Pure mathematics ,021103 operations research ,Applied Mathematics ,010102 general mathematics ,0211 other engineering and technologies ,Hölder condition ,02 engineering and technology ,01 natural sciences ,Functional calculus ,Semimartingale ,Local martingale ,Dedekind cut ,0101 mathematics ,Martingale (probability theory) ,Vector-valued function ,Analysis ,Brownian motion ,Mathematics - Abstract
The change of variable formula, or Ito's rule, is studied in a Dedekind complete vector lattice E with weak order unit E. Using the functional calculus we prove that for a Holder continuous semimartingale X t = X a + M t + B t , t ∈ J , and a twice continuously differentiable function f, the formula (0.1) f ( X t ) = f ( X a ) + ∫ 0 t f ′ ( X s ) d M s + ∫ 0 t f ′ ( X s ) d B s + 1 2 ∫ 0 t f ″ ( X s ) d 〈 M 〉 s , 0 ≤ s ≤ t ∈ J holds. The first integral in the formula is an Ito integral with reference to the local martingale M and the second and third integrals are Dobrakov-type integrals of a vector valued function with reference to a vector valued measure. Using the formula, we prove Levy's characterization of Brownian motion as being a continuous martingale with compensator tE. The proof of this result yields a concrete description of abstract Brownian motion defined in vector lattices.
- Published
- 2017