Martingale structure of Skorohod integral processes

DOI10.1214/009117905000000756MaRDI QIDQ2497174zbMATH OpenOpenAlexFDO

Authors Giovanni Peccati, Michèle Thieullen, Ciprian A. Tudor

Publication date 3 August 2006

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0502208

zbMATH Keywords

chaos expansionmartingaleSkorohod integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: Let the process Y(t) be a Skorohod integral process with respect to Brownian motion. We use a recent result by Tudor (2004), to prove that Y(t) can be represented as the limit of linear combinations of processes that are products of forward and backward Brownian martingales. Such a result is a further step towards the connection between the theory of continuous-time (semi)martingales, and that of anticipating stochastic integration. We establish an explicit link between our results and the classic characterization, due to Duc and Nualart (1990), of the chaotic decomposition of Skorohod integral processes. We also explore the case of Skorohod integral processes that are time-reversed Brownian martingales, and provide an "anticipating" counterpart to the classic Optional Sampling Theorem for It^{o} stochastic integrals.

Review text

The article is devoted to the investigation of the structure of the process \[ Y_t=\int _0^tu_s\,dX_s, \] where \(X\) is the standard Brownian motion and the integral is considered in the Skorokhod sense. The authors prove that \(Y\) can be approximated by the sums of products of forward and backward Ito integrals with respect to \(X.\) Also the article contains the optional sampling theorem for \(Y\) under the assumption that \(u\) has stochastic derivatives.

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Cited in

(5)

• Martingale-type stochastic calculus for anticipating integral processes
• A note on the truncated Skorohod integral process
• Uniqueness of decompositions of Skorohod-semimartingales
• scientific article; zbMATH DE number 724790 (Why is no real title available?)
• Anticipating integrals and martingales on the Poisson space

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