On the martingale decompositions of Gundy, Meyer, and Yoeurp in infinite dimensions

Abstract: We show that the canonical decomposition (comprising both the Meyer-Yoeurp and the Yoeurp decompositions) of a general

X

-valued local martingale is possible if and only if

X

has the UMD property. More precisely,

X

is a UMD Banach space if and only if for any

X

-valued local martingale

M

there exist a continuous local martingale

M^{c}

, a purely discontinuous quasi-left continuous local martingale

M^{q}

, and a purely discontinuous local martingale

M^{a}

with accessible jumps such that

M = M^{c} + M^{q} + M^{a}

. The corresponding weak

L^{1}

-estimates are provided. Important tools used in the proof are a new version of Gundy's decomposition of continuous-time martingales and weak

L^{1}

-bounds for a certain class of vector-valued continuous-time martingale transforms.

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