Banff International Research Station for Mathematical Innovation and Discovery
Abstract
In this talk we present the Meyer-Yoeurp decomposition for UMD Banach space-valued martingales. Namely, we prove that X is a UMD Banach space if and only if for any fixed p∈(1,∞), any X-valued martingale M has a unique decomposition M=Md+Mc such that Md is a purely discontinuous martingale, Mc is a continuous martingale, M0c=0, and E∥M∞d∥p+E∥M∞c∥p≤cpE∥M∞∥p. An analogous assertion is shown for the Yoeurp decomposition of a purely discontinuous martingale into a sum of a quasi-left continuous martingale and a martingale with accessible jumps.
Meyer-Yoeurp and Yoeurp decompositions play a significant role in stochastic integration theory for càdlàg martingales, For instance one can show sharp estimates for an Lp-norm of an Lq-valued stochastic integral with respect to a general local martingale. An important tool for obtaining these estimates are the recently proven Burkholder-Rosenthal-type inequalities for discrete Lq-valued martingales.
This talk is partially based on joint work with Sjoerd Dirksen (RWTH Aachen University).Non UBCUnreviewedAuthor affiliation: Delft University of TechnologyGraduat