Martingale decomposition of an L^2 space with nonlinear stochastic integrals

DOI10.1017/JPR.2019.70MaRDI QIDQ5205953zbMATH OpenOpenAlexFDO

Authors Clarence Simard

Publication date 17 December 2019

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1803.00108

zbMATH Keywords

optimizationmartingalesorthogonal decompositionClark-Ocone formulastochastic calculus

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Abstract: This paper presents a generalization of the Kunita-Watanabe decomposition of a $L^2$ space with nonlinear stochastic integrals where the integrator is a family of continuous martingales bounded in $L^2$. To get the result, a useful relation between the regularity of the martingale family respect to its parameter and the regularity of the integrand in its martingale decomposition is shown.The decomposition presented in the main result is also the solution of an optimization problem in $L^2$. Finally, an example is given where the optimization problem is solved explicitely.

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Cited in

(5)

• Weitzenböck and Clark-Ocone Decompositions for Differential Forms on the Space of Normal Martingales
• 2-microlocal analysis of martingales and stochastic integrals
• scientific article; zbMATH DE number 2227209 (Why is no real title available?)
• Applications of the method of compactness and decomposition: minimization, convergence of martingales, multivalued Fatou lemma
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