Martingale representation for degenerate diffusions

DOI10.1016/J.JFA.2018.12.004MaRDI QIDQ1738994zbMATH OpenOpenAlexFDO

Authors A. S. Üstünel

Publication date 24 April 2019

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.06672

zbMATH Keywords

causal Monge-Ampère equationdegenerate diffusionsentropyinnovation processmartingale representationrelative entropy

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Abstract: Let $(W,H,mu)$ be the classical Wiener space on $R^d$. Assume that $X=(X_t)$ is a diffusion process satisfying the stochastic differential equation $d{X}_t=sigma(t,X)d{B}_t+b(t,X)dt$, where $sigma:[0,1]imesC([0,1],R^n)o{R}^{n}otimes{R}^d$, $b:[0,1]imesC([0,1],R^n)o{R}^n$, $B$ is an $R^d$-valued Brownian motion. We suppose that the weak uniqueness of this equation holds for any initial condition. We prove that any square integrable martingale $M$ w.r.t. to the filtration $(cal{F}_t(X),tin[0,1])$ can be represented as ${\displaystyle }$ M_t=E[M_0]+int_0^t P_s(X)alpha_s(X).dB_s ${\displaystyle }$ where $alpha(X)$ is an $R^d$-valued process adapted to $(cal{F}_t(X),tin[0,1])$, satisfying $Ein{t}_0^t(a(X_s)alph{a}_s(X),alph{a}_s(X))ds<infty$, $a=sigm{a}^{s}tarsigma$ and $P_s(X)$ denotes a measurable version of the orthogonal projection from $R^d$ to $sigma(X_s{)}^{s}tar(R^n)$. In particular, for any $hinH$, we have �egin{equation} label{wick} E[ ho(delta h)|calF_1(X)]=expleft(int_0^1(P_s(X)dot{h}_s,dB_s)-halfint_0^1|P_s(X)dot{h}_s|^2ds ight),, end{equation} where $ho(deltah)=exp(in{t}_0^1(dot{h}_s,d{B}_s)-half|H{|}_H^2)$. This result gives a new development as an infinite series of the $L^2$-functionals of the degenerate diffusions. We also give an adequate notion of "innovation process" associated to a degenerate diffusion which corresponds to the strong solution when the Brownian motion is replaced by an adapted perturbation of identity. This latter result gives the solution of the causal Monge-Amp`ere equation.}

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Cited in

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