Properties of G-martingales with finite variation and the application to G-Sobolev spaces

Abstract: As is known, a process of form

i n t_{0}^{t} e t a_{s} d l a n g l e B a n g l e_{s} - i n t_{0}^{t} 2 G (e t a_{s}) d s

,

e t a i n M_{G}^{1} (0, T)

, is a non-increasing

G

-martingale. In this paper, we shall show that a non-increasing

G

-martingale could not be form of

i n t_{0}^{t} e t a_{s} d s

or

i n t_{0}^{t} g a m m a_{s} d l a n g l e B a n g l e_{s}

,

e t a, g a m m a i n M_{G}^{1} (0, T)

, which implies that the decomposition for generalized

G

-It^o processes is unique: For

z e t a i n H_{G}^{1} (0, T)

,

e t a i n M_{G}^{1} (0, T)

and non-increasing

G

-martingales

K, L

, if [int_0^tzeta_s dB_s+int_0^teta_sds+K_t=L_t, tin[0,T],] then we have

e t a e q u i v 0

,

z e t a e q u i v 0

and

K_{t} = L_{t}

. As an application, we give a characterization to the

G

-Sobolev spaces introduced in Peng and Song (2015).

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