Martingale decomposition of Dirichlet processes on the Banach space C0[0, 1]

Terry Lyons, M. Röckner and T. S. Zhang

Stochastic Processes and their Applications, 1996, vol. 64, issue 1, 31-38

Abstract: We prove that for a given symmetric Dirichlet form of type g(u, v) = [integral operator]E h[mu](dz) with E = C0[0, 1] and H = classical Cameron-Martin space the corresponding diffusion process (under P[mu]) can be decomposed into a forward and a backward E-valued martingale. The construction of the martingale is direct and explicit since it is based on a modification of Lévy's construction of Brownian motion. Applications to prove tightness of laws of diffusions of the above kind are given.

Keywords: Diffusions; on; Banach; spaces; Dirichlet; forms; Dirichlet; processes; Martingale; decomposition (search for similar items in EconPapers)
Date: 1996
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(96)00078-6
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:64:y:1996:i:1:p:31-38

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().