English

Martingale-coboundary decomposition for stationary random fields

Probability 2017-06-27 v1

Abstract

We prove a martingale-coboundary representation for random fields with a completely commuting filtration. For random variables in L2 we present a necessary and sufficient condition which is a generalization of Heyde's condition for one dimensional processes from 1975. For Lp spaces with 2 \leq p < \infty we give a necessary and sufficient condition which extends Volny's result from 1993 to random fields and improves condition of El Machkouri and Giraudo from 2016 (arXiv:1410.3062). In application, new weak invariance principle and estimates of large deviations are found.

Keywords

Cite

@article{arxiv.1706.07978,
  title  = {Martingale-coboundary decomposition for stationary random fields},
  author = {Dalibor Volny},
  journal= {arXiv preprint arXiv:1706.07978},
  year   = {2017}
}

Comments

Stochastics and Dynamics 2017

R2 v1 2026-06-22T20:28:35.032Z