Stochastic integration respect a cylindrical martingale-Lévy process with second moments.

In this work we present an easy and direct construction of a Stochastic integral respect a cylindrical martingale-Lévy process. To do this, we apply the radonification technique. The radonification technique has been very useful to define an genuine stochastic process starting from a cylindrical process combine with Hilbert–Schmidt operators. With this work we present a self-contained construction, easy to follow to understand this new integration theories that are getting strong nowadays. [ABSTRACT FROM AUTHOR]