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

DOI10.1017/JPR.2019.70zbMATH Open1427.60075arXiv1803.00108OpenAlexW2994906333MaRDI QIDQ5205953FDOQ5205953

Authors: Clarence Simard 

Publication date: 17 December 2019

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

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.

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

Recommendations

• A chaotic decomposition for generalized stochastic processes with independent values
• scientific article; zbMATH DE number 22272
• scientific article; zbMATH DE number 503133
• Quantum stochastic integrals and Doob-Meyer decomposition
• Integration with respect to local time and Itô's formula for smooth nondegenerate martingales

zbMATH Keywords

optimizationmartingalesorthogonal decompositionClark-Ocone formulastochastic calculus

Mathematics Subject Classification ID

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

Cites Work

• The Malliavin Calculus and Related Topics
• Approximating random variables by stochastic integrals
• Probability with Martingales
• Liquidity risk and arbitrage pricing theory
• Title not available (Why is that?)
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• On Square Integrable Martingales
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Nonlinear stochastic integration with a non-smooth family of integrators
• Title not available (Why is that?)

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
• Title not available (Why is that?)
• Applications of the method of compactness and decomposition: minimization, convergence of martingales, multivalued Fatou lemma
• Title not available (Why is that?)

This page was built for publication: Martingale decomposition of an \(L^2\) space with nonlinear stochastic integrals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5205953)