Regularity and decomposition of two-parameter supermartingales

DOI10.1016/0047-259X(85)90093-4MaRDI QIDQ1063936zbMATH OpenFDO

Publication date 1985

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(85)90093-4

decomposition for potentials Doob-Meyer decomposition optional sampling theorem two-parameter local martingales two-parameter stochastic processes

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Random fields (60G60)

Review text

In the first section of this article the Doob-Meyer decomposition of a supermartingale is extended in several ways to two-parameter stochastic processes. In particular the notion of Laplacian is introduced which gives a more explicit decomposition for potentials. The second section is devoted to the optional sampling theorem and to several possible notions of two-parameter local martingales. In the final section the authors give sufficient conditions for a two-parameter process to have right- continuous trajectories with limits in all the quadrants. Moreover the authors find a relation between regularity of certain quasimartingales and continuity of the associated integrable variation process.

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