The Itô integral for Brownian motion in vector lattices. Part 2

Abstract

The Itô integral for Brownian motion in a vector lattice, as constructed in Part 1 of this paper, is extended to accommodate a larger class of integrands. This extension provides an analogue of the indefinite Itô integral in the classical setting which yields a local martingale. The assumption is that there exists a conditional expectation operator on the vector lattice and the construction does not depend on a probability measure space. The classical case of the extended Itô integral is a special case of the constructed integral in the vector lattice