Continuous local martingales and stochastic integration in UMD Banach spaces

Abstract

Recently, van Neerven, Weis and the author, constructed a theory for stochastic integration of UMD Banach space valued processes. Here the authors use a (cylindrical) Brownian motion as an integrator. In this note we show how one can extend these results to the case where the integrator is an arbitrary real-valued continuous local martingale. We give several characterizations of integrability and prove a version of the Itô isometry, the Burkholder–Davis–Gundy inequality, the Itô formula and the martingale representation theorem.