Abstract
We consider nonlinear stochastic integrals of Itô-type w.r.t. a family of semimartingales which depend on a spatial parameter. These integrals were introduced by Carmona/Nualart, Kunita, and Le Jan. The extension of the elementary nonlinear integral is based on the condition that the semimartingale kernel has nice continuity properties in the spatial parameter. We investigate the case that continuity is not available and suggest different directions of generalization. This brings us beyond the case that any integral can be approximated by integrals with integrands taking only finitely many values.
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