THE CHAOTIC REPRESENTATION PROPERTY OF COMPENSATED-COVARIATION STABLE FAMILIES OF MARTINGALES
成果类型：
Article
署名作者：
Di Tella, Paolo; Engelbert, Hans-Juergen
署名单位：
Technische Universitat Dresden; Friedrich Schiller University of Jena
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/15-AOP1066
发表日期：
2016
页码：
3965-4005
关键词：
摘要：
In the present paper, we study the chaotic representation property for certain families X of square integrable martingales on a finite time interval [0, T]. For this purpose, we introduce the notion of compensated-covariation stability of such families. The chaotic representation property will be defined using iterated integrals with respect to a given family of square integrable martingales having deterministic mutual predictable covariation < X, Y > for all X, Y is an element of X. The main result of the present paper is stated in Theorem 5.8 below: If X is a compensated-covariation stable family of square integrable martingales such that (X, 11) is deterministic for all X, Y is an element of X and, furthermore, the system of monomials generated by X is total in L-2(Omega, F-T(X), P), then X possesses the chaotic representation property with respect to the sigma-field F-T(X). We shall apply this result to the case of Levy processes. Relative to the filtration F-L generated by a Levy process L, we construct families of martingales which possess the chaotic representation property. As an illustration of the general results, we will also discuss applications to continuous Gaussian families of martingales and independent families of compensated Poisson processes. We conclude the paper by giving, for the case of Levy processes, several examples of concrete families X of martingales including Teugels martingales.