Multiplicative decompositions and frequency of vanishing of nonnegative submartingales

DOI10.1007/S10959-006-0035-0MaRDI QIDQ867093zbMATH OpenOpenAlexFDO

Authors A. Nikeghbali

Publication date 14 February 2007

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

Full work available at URL https://arxiv.org/abs/math/0506369, http://doc.rero.ch/record/322319/files/10959_2006_Article_35.pdf

zbMATH Keywords

general theory of stochastic processesrandom timessubmartingales

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Martingales with continuous parameter (60G44)

Abstract: In this paper, we establish a multiplicative decomposition formula for nonnegative local martingales and use it to characterize the set of continuous local submartingales Y of the form Y=N+A, where the measure dA is carried by the set of zeros of Y. In particular, we shall see that in the set of all local submartingales with the same martingale part in the multiplicative decomposition, these submartingales are the smallest ones. We also study some integrability questions in the multiplicative decomposition and interpret the notion of saturated sets in the light of our results.

Review text

A nonnegative submartingale \(X=N+A\) is said to belong to the class \((\Sigma)\) if \(N\) is a continuous local martingale, \(A\) a continuous increasing process and \(dA\) is carried by the set \(\{t\geq 0,X_t=0\}\). The author of this paper first proves that any continuous nonnegative submartingale \(Y\) with \(Y_0=0\) decomposes uniquely as: \(Y=MC-1\), where \(M\) is a continuous nonnegative local martingale and \(C\) continuous increasing, and that \(Y\in(\Sigma)\) iff \(C_t=1/\inf_{s\leq t} M_u\). Some results about integrability are given. Further it is shown that for any given continuous nonnegative local martingale \(M\) the set of positive submartingales for which \(M\) is the martingale part of their multiplicative decomposition contains an unique element of \((\Sigma)\) that is also its smallest element. The above results are used to give some new examples of saturated sets.

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