Abstract
In the setting of a Dedekind complete Riesz space on which a conditional expectation is defined, we study the Itô integral. This integral obtains the integration of a stochastic process of a continuous parameter relative to a martingale. A considerable part of the paper is devoted to aspects of integration of a vector-valued function with respect to a vector measure. Here we use the Dobrakov integral that is, in our case, a generalization of the well known Bartle integral. We discuss natural and predictable processes to prove a general version of the Doob–Meyer decomposition of a submartingale. This decomposition provides an essential tool used in the definition of the stochastic integral. We derive the properties of the stochastic integral that are useful in developing the theory of stochastic processes in Riesz spaces.
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