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George Lowther
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Yes, the Bochner integral does agree with the Lebesgue integral of the sample paths of the process. We can prove this in a slightly more general situation than that asked for in the question.

For a probability space $(\Omega,\mathcal{F},\mathbb{P})$, let $X\colon[0,T]\to L^p(\mathbb{P})$ ($1\le p\le\infty$) be Bochner integrable w.r.t the Lebesgue measure on $[0,T]$, and also jointly measurable as a map $(t,\omega)\mapsto X(t)(\omega)$ from $[0,T]\times\Omega$ to $\mathbb{R}$. Then, the Bocher integral $\int_0^T X(t)\,dt$ agrees with the pathwise Lebesgue integral $\int_0^TX(t)(\omega)\,dt$ for almost every $\omega$.

First, this statement clearly holds for simple functions, which are finite linear combinations of terms of the form $X(t)(\omega)=1_{\lbrace t\in A\rbrace}1_{\lbrace\omega\in B\rbrace}$, for $A$ a Borel subset of $[0,T]$ and $B$ in $\mathcal{F}$. Now, by definition, if $X$ is Bochner integrable then, for each $n\ge1$, there is a simple $\xi_n$ such that $$ \int_0^T\lVert X(t)-\xi_n(t)\rVert_p\,dt\le2^{-n}. $$ The Bochner integral is given by $$ \int_0^T\xi_n(t)\,dt \rightarrow\text{(B-)}\int_0^T X(t)\,dt. $$ Here the limit is taken in the $L^p$ norm and, hence, also holds for convergence in probability.

Using pathwise Lebesgue integration along the sample paths of $X$ now, we can use Fubini's theorem to commute expectation, integration and summation signs. $$ \begin{align} \mathbb{E}\left[\int_0^T\sum_{n=1}^\infty\left\lvert X(t)-\xi_n(t)\right\rvert\,dt\right] &=\sum_{n=1}^\infty\int_0^T\mathbb{E}\left[\lvert X(t)-\xi_n(t)\rvert\right]\,dt\cr &\le\sum_{n=1}^\infty\int_0^T\left\lVert X(t)-\xi_n(t)\right\rVert_p\,dt\cr &\le\sum_{n=1}^\infty2^{-n}=1 < \infty. \end{align} $$ In particular, $$ \int_0^T\sum_{n=1}^\infty\left\lvert X(t)-\xi_n(t)\right\rvert\,dt < \infty $$ with probability one. Looking at any sample path for which this is finite, $\lvert X(t)-\xi_n(t)\rvert\to0$ as $n\to\infty$ for Lebesgue almost every $t$. Also, $\lvert X(t)-\xi_n(t)\rvert$ is dominated by its sum over $n$. Therefore dominated convergence applies, $$ \int_0^T\xi_n(t)\,dt\rightarrow\textrm{(L-)}\int_0^T X(t)\,dt. $$ This holds for almost every sample path of $X$, so the limit holds in probability. Hence the Lebesgue integral on sample paths agrees with the Bochner integral.

George Lowther
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