English

Brownian representations of cylindrical continuous local martingales

Probability 2018-11-07 v3 Functional Analysis

Abstract

In this paper we give necessary and sufficient conditions for a cylindrical continuous local martingale to be the stochastic integral with respect to a cylindrical Brownian motion. In particular we consider the class of cylindrical martingales with closed operator-generated covariations. We also prove that for every cylindrical continuous local martingale MM there exists a time change τ\tau such that MτM\circ \tau is Brownian representable.

Keywords

Cite

@article{arxiv.1605.06946,
  title  = {Brownian representations of cylindrical continuous local martingales},
  author = {Ivan S. Yaroslavtsev},
  journal= {arXiv preprint arXiv:1605.06946},
  year   = {2018}
}

Comments

Minor revision