Concrete representation of martingales

DOI10.1214/EJP.V3-37MaRDI QIDQ1279534zbMATH OpenOpenAlexFDO

Authors S. Montgomery-Smith

Publication date 7 February 1999

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/9806022, https://eudml.org/doc/119822, http://www.emis.de/journals/EJP-ECP/EjpVol3/paper15.abs.html

zbMATH Keywords

martingale differenceSkorokhod imbeddingtangent sequences

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stochastic analysis (60H99)

Abstract: Let (f_n) be a mean zero vector valued martingale sequence. Then there exist vector valued functions (d_n) from [0,1]^n such that int_0^1 d_n(x_1,...,x_n) dx_n = 0 for almost all x_1,...,x_{n-1}, and such that the law of (f_n) is the same as the law of (sum_{k=1}^n d_k(x_1,...,x_k)) . Similar results for tangent sequences and sequences satisfying condition (C.I.) are presented. We also present a weaker version of a result of McConnell that provides a Skorohod like representation for vector valued martingales. This paper may be found at http://math.missouri.edu/~stephen/preprints

Review text

Let \((d_n)\) be a Bochner integrable martingale difference sequence taking values in a Banach space \(X\). A sequence of Bochner measurable functions \((e_n:[0,1]^n\to X)\) is constructed such that \((d_n)\) has the same probability law as \((e_n)\) and such that for almost every \(x_1,\dots,x_{n-1}\) with respect to the Lebesgue measure \(\int^1_0 e_n(x_1, \dots,x_n)dx_n=0\). Similar representation theorems are proved for tangent sequences and sequences satisfying condition (C.I.), introduced by S. Kwapień and W. A. Woyczyński. A version of a Skorokhod like imbedding theorem for a Bochner integrable martingale difference sequence taking values in a Banach space \(X\) is also proved.

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Cited in

(6)

• Explicit form and robustness of martingale representations.
• On decoupling in Banach spaces
• Stochastic integration in UMD Banach spaces
• Randomized UMD Banach spaces and decoupling inequalities for stochastic integrals
• A biparameter decomposition of Davis–Garsia type
• Noncommutative stochastic integration through decoupling

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