Brownian representations of cylindrical continuous local martingales

DOI10.1142/S0219025718500133zbMATH Open1391.60127arXiv1605.06946OpenAlexW3103308588MaRDI QIDQ3174727FDOQ3174727

Ivan Yaroslavtsev

Publication date: 18 July 2018

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Abstract: In this paper we give necessary and sufficient conditions for a cylindrical continuous local martingale to be the stochastic integral with respect to a cylindrical Brownian motion. In particular we consider the class of cylindrical martingales with closed operator-generated covariations. We also prove that for every cylindrical continuous local martingale $M$ there exists a time change $au$ such that $Mcircau$ is Brownian representable.

Full work available at URL: https://arxiv.org/abs/1605.06946

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zbMATH Keywords

quadratic variationUMD spacescylindrical martingaleBrownian representation

Mathematics Subject Classification ID

Spaces of measures (46E27) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Functions whose values are linear operators (operator- and matrix-valued functions, etc., including analytic and meromorphic ones) (47A56)

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Cited In (4)

• INTEGRAL REPRESENTATIONS OF CYLINDRICAL LOCAL MARTINGALES IN EVERY SEPARABLE BANACH SPACE
• Martingale decompositions and weak differential subordination in UMD Banach spaces
• Brownian Representations of Cylindrical Local Martingales, Martingale Problem and Strong Markov Property of Weak Solutions of SPDEs in Banach Spaces
• Local characteristics and tangency of vector-valued martingales

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