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 there exists a time change such that 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