Local characteristics and tangency of vector-valued martingales

2019/07/26 by Yaroslavtsev, Ivan S.
#28A50 #46G12 #60B11 Secondary 60G51 #60G44 #60G57 #60H05 #FOS: Mathematics #Functional Analysis (math.FA) #Probability (math.PR)

paper · doi:10.48550/arxiv.1907.11588

Abstract

This paper is devoted to tangent martingales in Banach spaces. We provide the definition of tangency through local characteristics, basic L^p- and ϕ-estimates, a precise construction of a decoupled tangent martingale, new estimates for vector-valued stochastic integrals, and several other claims concerning tangent martingales and local characteristics in infinite dimensions. This work extends various real-valued and vector-valued results in this direction e.g. due to Grigelionis, Hitczenko, Jacod, Kallenberg, Kwapień, McConnell, and Woyczyński. The vast majority of the assertions presented in the paper is done under the sufficient and necessary UMD assumption on the corresponding Banach space.

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