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

DOI10.1214/18-AIHP940zbMATH Open1456.60100arXiv1712.00401OpenAlexW2985398865MaRDI QIDQ2291963FDOQ2291963

Authors: Ivan Yaroslavtsev 

Publication date: 31 January 2020

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1712.00401

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zbMATH Keywords

canonical decompositionUMD spacesweak estimatesweak differential subordinationcontinuous-time martingalesGundy's decompositionMeyer-Yoeurp decompositionYoeurp decomposition

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Random measures (60G57) Martingales with continuous parameter (60G44) Stochastic analysis (60H99) General theory of stochastic processes (60G07)

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