On the optional and orthogonal decompositions of supermartingales and applications
A set \(\mathcal{Q}\) of probability measures is considered such that each measure in \(\mathcal{Q}\) is absolutely continuous with respect to a given probability measure \(\mathbb{P}\) and \(\mathcal{Q}\) contains at least one measure equivalent to \(\mathbb{P}\). A process \(X\) is called a \(\mathcal{Q}\)-supermartingale (resp. \(\mathcal{Q}\)-martingale) if it is a \(\mathbb{Q}\)-supermartingale (resp. \(\mathbb{Q}\)-martingale) for all \(\mathbb{Q} \in\mathcal{Q}\). Sufficient and necessary conditions are given for \(\mathcal{Q}\) such that any \(\mathcal{Q}\)-supermartingale can be decomposed into the sum of a \(\mathcal{Q}\)-martingale and a decreasing process. An orthogonal decomposition of \(\mathcal{Q}\)-supermartingales is also provided and the result is applied to the orthogonal decomposition of the polar cone of \(\mathcal{Q}\).
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