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Martingale decomposition of an L2 space with nonlinear stochastic integrals
- Part of
-
- Journal:
- Journal of Applied Probability / Volume 56 / Issue 4 / December 2019
- Published online by Cambridge University Press:
- 11 December 2019, pp. 1231-1243
- Print publication:
- December 2019
-
- Article
- Export citation
-
This paper generalizes the Kunita–Watanabe decomposition of an
$L^2$
space. The generalization comes from using nonlinear stochastic integrals where the integrator is a family of continuous martingales bounded in 
$L^2$
. This result is also the solution of an optimization problem in 
$L^2$
. First, martingales are assumed to be stochastic integrals. Then, to get the general result, it is shown that the regularity of the family of martingales with respect to its spatial parameter is inherited by the integrands in the integral representation of the martingales. Finally, an example showing how the results of this paper, with the Clark–Ocone formula, can be applied to polynomial functions of Brownian integrals.
