Brownian representations of cylindrical continuous local martingales

DOI10.1142/S0219025718500133MaRDI QIDQ3174727zbMATHOpenAlexFDO

Authors Ivan Yaroslavtsev

Publication date 18 July 2018

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

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

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)

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.

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Cited in

(5)

• Representation of infinite dimensional martingales
• 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
• Martingale decompositions and weak differential subordination in UMD Banach spaces
• INTEGRAL REPRESENTATIONS OF CYLINDRICAL LOCAL MARTINGALES IN EVERY SEPARABLE BANACH SPACE

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