On the relations between increasing functions associated with two- parameter continuous martingales (Q582694): Difference between revisions

Let \((\Omega,{\mathcal F},P,({\mathcal F}_ z)_{z\in T})\), \(T=[0,1]^ 2\), be a stochastic two-parameter basis satisfying the usual (F1)-(F4) conditions of Cairoli and Walsh. Let also M be a two-parameter continuous martingale bounded in \(L^ 2\) and null on the axes. Then \(M^ 2\) has the following Doob-Meyer decomposition: \[ M^ 2_{st}=2\int^{s}_{0}\int^{t}_{0}M_{uv}dM_{uv}+2\tilde M_{st}+<M_{s.}>_ t+<M_{.t}>_ s-[M]_{st} \] where \(\tilde M\) is a martingale, the \(L^ 1\)-limit of \[ \sum_{(s_ i,t_ j)\in \rho_ n}(M_{s_{i+1},t_ j}-M_{s_ i,t_ j})(M_{s_ i,t_{j+1}}-M_{s_ i,t_ j}) \] where \((\rho_ n)_ n\) is an increasing sequence of grids on [0,s]\(\times [0,t]\) whose meshs tend to 0; \(<M_{s.}>_ t\) (resp. \(<M_{.t}>_ s)\) is the quadratic variation of the one-parameter martingale \((M_{st})_ t\) (resp. \((M_{st})_ s)\); and \([M]_{st}\) is the quadratic variation of M. In the first part of the paper the authors investigate the absolute continuity between the stochastic measures \([M], [\tilde M],\) \(<M_{s.}>_{dt}\) and \(<M_{.t}>_{ds}\). They conjecture that \(<M_{.t}>_{ds}<<[M]_{ds,t}\) (and prove that in some particular cases this is true and that \([\tilde M]<<[M]*[M]\) (here \([M]*[M]\) is not the convolution but a special kind of exterior product defined by them). They prove that the assertion is true, for instance, if [M] is absolutely continuous w.r. to the product of its marginals. In the second part ({\S} 5) they study the problem of defining a local time (in the sense of Davydov) for two-parameter continuous martingales bounded in \(L^ 2\). They prove that M admits a local time with respect to \([\tilde M]\) and that if \([M]<<[\tilde M]\), it also admits a local time with respect to \([M]+[\tilde M]\). By the contrary, [M] alone is not sufficient to carry a local time. The paper seems to be a significant step in the construction of a two- parameter stochastic calculus.