Stochastic integration in Fock space

Abstract

In this paper, using purely Hubert space-theoretic methods, an analogue of the Itό integral is constructed in the symmetric Fock space of a direct integral § of Hilbert spaces over the real line. The classical Itό integral is the special case when §=L²[0, ∞). An explicit formula is obtained for the projection onto the space of 'non-anticipating functionals', which is then used to prove that simple non-anticipating functionals are dense in the space of all non-anticipating functionate. After defining the analogue of the Itό integral, its isometric nature is established. Finally, the range of this 'integral' is identified; this last result is essentially the Kunita-Watanabe theorem on square-integrable martingales.