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.
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