Representation of martingale additive functionals on Banach spaces

DOI10.1007/BF02014718MaRDI QIDQ918568zbMATH OpenOpenAlexFDO

Authors Ruzong Fan

Publication date 1990

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02014718

zbMATH Keywords

diffusion processmartingale additive functional

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Review text

\textit{Y. Ôshima} and \textit{T. Yamada} [see J. Math. Soc. Japan 36, 315- 339 (1984; Zbl 0542.60078)] have shown that the martingale additive functional on \(R^ d\) associated with some diffusion process X(t) has the form \[ \sum^{d}_{i=1}\int^{t}_{0}f_ i(X(s))dM^ i_ s \] where \(M^ i_ t\) is the martingale part of \(X^ i_ t\). Here, a similar result on an infinite dimensional space is established.

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Cites work

• scientific article; zbMATH DE number 3716526 (Why is no real title available?)
• scientific article; zbMATH DE number 3782159 (Why is no real title available?)
• On some representations of continuous additive functionals locally of zero energy
• On Square Integrable Martingales

Cited in

(4)

• Decomposition of a class of functionals and the predictable representation theorem on Banach spaces
• Semimartingale integral representation
• scientific article; zbMATH DE number 4149280 (Why is no real title available?)
• scientific article; zbMATH DE number 836629 (Why is no real title available?)

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