Multiplicative decompositions and frequency of vanishing of nonnegative submartingales (Q867093)

A nonnegative submartingale \(X=N+A\) is said to belong to the class \((\Sigma)\) if \(N\) is a continuous local martingale, \(A\) a continuous increasing process and \(dA\) is carried by the set \(\{t\geq 0,X_t=0\}\). The author of this paper first proves that any continuous nonnegative submartingale \(Y\) with \(Y_0=0\) decomposes uniquely as: \(Y=MC-1\), where \(M\) is a continuous nonnegative local martingale and \(C\) continuous increasing, and that \(Y\in(\Sigma)\) iff \(C_t=1/\inf_{s\leq t} M_u\). Some results about integrability are given. Further it is shown that for any given continuous nonnegative local martingale \(M\) the set of positive submartingales for which \(M\) is the martingale part of their multiplicative decomposition contains an unique element of \((\Sigma)\) that is also its smallest element. The above results are used to give some new examples of saturated sets.