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  • Quasi-Martingales - (Rao) - 1969

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    12 vues14 pages

    Quasi-Martingales - (Rao) - 1969

    Transféré par

    jimjone
    Quasi-Martingales - [Rao] - 1969

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    MATH. SCAND. 24 (1909), 79-02 QUASI-MARTINGALES K. MURALI RAO Introduction. A supermartingale is said to have a Doob decomposition if it can be expressed as the sum of a martingale and a decreasing process. A dis- crete parameter supermartingale always has a Doob decomposition (3, p. 104]. ‘The problem of the existence of a Doob decomposition of a continuous parameter supermartingale was settled by Meyer [3, p.122]; a simple and natural approach to this problem can be found in [5]. A more general problem than that of the Doob decomposition, namely, the decomposition of a process into a sum of a martingale and a process whose paths are of bounded variation, has been studied by Fisk [1] and Orey [4]. Fisk settled the problem in case of processes with continuous paths and Orey generalised it to right continuous processes. One problem remained, that of characterizing all right-continuous quasi- martingales (or “F-processes” in the terminology of Orey). We shall solve this problem and at the same time give an elementary proof of Orey’s result. Little more than the definition of martingales and prop- erties of conditional expectations are needed to read Section 1, which es- sentially contains the solution of the problem. The remainder of the paper is concerned with the analogy between supermartingales and quasi- martingales. The term “quasi-martingales” is borrowed from Fisk. The problem was suggested to the author by Professor K. It6. The author records his indebtedness to him for his kindness. 7 We shall assume that we are given an increasing right-continuous family F(t) of o-fields. A process X(t) is said to be adaptcd to F(t) if X(t) is F(é)-measurable for all t, All our processes will be assumed adapted to F(t). The parameter set is always the set of non-negative real numbers. Unless otherwise mentioned all random variables con- sidered are assumed to have finite expectations. For definitions and properties of martingales ete. we refer to [3]. Received March 10, 1968. 80 K. MURALI RAO Derinirion 1.1. We say that a process X(t) has a Riesz decomposition if XW) = YW) +20), where Y(t) is a martingale and Z(t) a process such that E(\Z(t)|) +0 as t+. The Riesz decomposition is essentially unique. If X(t) = Yi) + 2) = Yalt) + Z(t) are two Riesz decompositions of X(t), we must have E(\¥,(t)— ¥,(0)|) +0 as too. However, |Y,(t)—Y,(t)| being a submartingale, E(|Y,(i)—Y,(@)|) is a non-decreasing function of t. It follows that E(|¥,(t) — Y,(t)|) =0, that is, P(Y,(t)=Y,(t)) = 1 for every t. Derririon 1.2. We shall call a process X(t) a quasi-martingale iff there exists a constant M such that sup Sicizn B(\X(t)-E(X(tu)|F(t))|) — 00; sub-martingales X(t) such that sup E(X(t)) <0. It is obvious that the sum and difference of two quasi-martingales are again quasi-martingales, An ordinary potential is a quasi-potential. The difference of two potentials is a quasi-potential. TunoreM 1.1 (Riesz decomposition). Every quasi-martingale can be written in essentially one way as the sum of a martingale and a quasi- potential. Proor. We have already seen that Riesz decompositions are essentially unique. We need only show the existence. Let s,0 we can choose i) large enough so that DzieH(|4()|) < de- Let k2 ig. Since 4(s,) is the limit in L, of Y,,(m) wo can choose m+1 (depending on k) with E(\q(8;)— Y(m+1)|) < de. We then have (1.1) E(\X(8,)—9(8,)|) S E(|X (sz) — Vag(m+1)|) + de- Also, for j= E(A(j)\ F(a) = Vo(9)— Vol'F +2) so that E(\A(j)I) = A(\¥ (9) — Y(G+ VI) - Hence E(\X(8,)— Yam+ Ul) S TezicmE(|¥oy'I)— Ya(F+ DI) S Lesiem¥(\A)|) S Legs B(14(9)|) S 4 by the choice of i. Comparison of the last inequality with (1.1) shows that Math. Scand. 24 — 6 82 K. MURALI RAO lim,.,.. E(|X(s;)—4(s,)|) = 0 - Thus we have shown the following: To any sequence s,<5,<... strictly increasing to co there corresponds a martingale q(t) such that E(|X()—q()|) +0 as t > 00 along the sequence. Consider the sequence 1,2,3,... . Let Y(t) denote the corresponding martingale such that E(|X(n)—Y(n)|) +0 as noo. We claim that Timp 5004 (|X(t)— ¥(t)\) = 0. Otherwise there would exist a strictly increasing sequence f,0. Superimpose this sequence with 1,2,... and let the resulting sequence be 8, 0 as s;-> co, and this is against the choice of the sequence k;.'To complete the proof, put Z(t) = X(t) — Y(). In the following X(‘) will denote a quasi-potential. We note that for every ¢ and every sequence t, 00. Put for every k=0,1,2,..., »=0,1,2,..., (1.3) A(kyn) = B(X(k2-) —X((k-+1)2-")|F(k2-")) « QUASI-MARTINGALES 83 By the definition of a quasi-potential we have (1.4) SUP, 2, H(|A(k,n)|) S$ M < co. It is easily shown, using (1.2), that (1.5) X(2-") = B(SppcA(k,n)|FG2)) « Let the potentials X,"(t) and X_*(é) be defined by X(t) = LeztomnrH(A*(k, mF), X_"() = Leztorar B(A-(km)| FO), where [2"t] denotes the largest integer smaller than or equal to 2" and zt=max(z,0). We shall show that X,*(/) is indeed a potential. That X_*() is a potential follows similarly. Woe have if s F(t) for kZi+1, 84 K. MURALI RAO 2 SreenE((H(A(2k,m+ 1) + A(2k + 1,n-+ 1) | F(2k2-™D))}+ | FC) , because H(f*|B) = Ef|B)*, = Spates U(A(k,n)*| FO) = X10), because E(A(2k,n+1)+A(2k+1,+1)|F(2k2-+D)) is equal to A(kt,n). This finishes the proof in case 22" <¢< (24120, If (26+1)2- <¢< (i412 the term E(A+(2i+1,n4+1)|F()) does not occur in the expression for X,"+1(); except for this, the proof is identical. The proof that the X_"(t) are increasing is absolutely similar. Define X(t) = sup,X,%(0), X(t) = sup, X_2). If we had taken X,",X_" as right continuous, then X,,X_ would necessarily be right continuous, by Theorem T16 p. 99 of [3]. In any case X,(t) is defined outside of a set of zero probability which may depend on #. ‘The inequality (1.4) implies sup, £(X,"(0)+X_%(0)) 0, (2.1) AP(maxX,24) S$ SICTH(A;+) + H(X,|max X;,2A) < H(A,(+)). The inequality (2.1) is not as simple-minded as it looks. We shall see this in a moment. Since (—x)*=2- it follows at once from (2.1) (changing X, to —X,) that (2.2) AP(minX;S —A) S$ YEYH(A;-) — E(X,: min X;< —A) = H(A,(-)). If the X;, form a supermartingale, then A;=4,* and A,;-=0, and hence (2.1) and (2.2) reduce to (2.3) and (2.4) below: (2.3) AP(maxX;>4) < B(X,) — B(X,) + B(X,: max X,22) Ss E(X,) + H(X,-), S —E(X,: minX, —4) $ H(X,-). (2.4) aP(minX, -2 Suppose now that 77... is a sequence of independent random variables with finite variances and vanishing expectations. Let C,,C2,..- be a non-increasing sequence of positive constants. For an arbitrary but fixed integer NV, put x Cha(mt..-tnyu) OSiSn, and let F; be the o-field generated by 7,.--,%n1i- Independence clearly implies Ay = X,- E(Xi| Fi) = (Chui — Cheeta + tMvsd® — Cryin Bnvyen) 0 so that At S (Crys Chg ta +--+ Hye)? + 86 K. MURALI RAO An application of (2.1) yields #P(maxysezwenCu ltt ---+2el 2A) #P (maxX; 72) t20(CHsi— Cie) Mls? +--+ gs) + OXan (ns? +--+ + ian) = Cy? Bn? +... +ny®) + TXYN C2 En2) 5 which is the inequality of Hajek-Renyi [2, p. 242]. A Proor or Lemma 2.1. For any i ©)=1; 2. M(taT,,) is a uniformly integrable martingale for each n. The following theorem is due to K. Ité and S. Watanabe [6]. ‘TurorEM 2.2. Let X(t) be a non-negative supermartingale. Then we can write (2.6) X(t) = M()- AW), where M(t) is a local martingale and A(t) a natural integrable increasing process. This decomposition is unique. Proor. Since X(t)20 is a supermartingale, we have (2.7) P(supX(t)<«) = 1. Define the stopping times 7’, by T,, = finf(t: X(Zn)p an. 88 K, MURALI RAO Then 77,41 and (2.7) implies that P(7,, > 0o)=1. Put X,()= X(taT,,). Then X,(t) is a supermartingale of class (D) because < X,(t) kP(sup,|X()|2h) +0 as k> oo. Proor. 1, M(t) being a local martingale, there exists a sequence 7’, of stopping times such that M(7',A¢) is a uniformly integrable martingale for each n. If X(t) belongs to the class (DL) so does M(t) and therefore {M(T,,at), all integers n} is uniformly integrable for each ¢. If sSt and Be F(s) we have E(M(t): B) = lim,_,..H(M(taT,): B,L, 21) = Hig .o.2(MUAT,): BT, 2 8) — lim, 0 H(M(taT,): B, 8 The second term tends to zero by uniform integrability and the fact that 7, > 00 a.s., and hence E(M(t): B) = lim,_,,,H(M(saT,,): B,D, 28) = E(M(s): B). If further X(t) belongs to (D), M(t) must clearly be uniformly integrable. 2, A local martingale stopped at a bounded stopping time is easily seen to be a local martingale. X(R,at) belongs to the class (D) since [X(R,ad)| < kv |X(R,)- So does M(R,At); it must therefore be a uniformly integrable martingale. Hence M(R,) is a martingale with respect to F(R,). The uniform inte- grability of X(R,) implies that of M(R,). It follows that M() is a uniformly integrable martingale and this is true iff X() belongs to the class (D). Here we have used the easily proved fact that R, tends to infinity with probability one; this follows, for instance, from the decom- position given in Theorem 2.3, TunoreM 3.2. Let X(t) be @ quasi-potential and suppose |X(t)| 0, E(B(oo,n)) < 2CE(V). s s B(co) is the weak limit of B(co,n). ‘Therefore E(B(oo)?) < 2CE(V) . We are now justified in making the following calculations which lead to the “Energy formula”: 92 K. MURALI RAO E(S5(X() + X(—)) dB) = E( Jp (M(t) + M(t—-))dB(t)) — ESP (BO + Be-)) dB) = 2H(B(ee}") — E(B(oo)*) = E(B(e°)*) TaroreM 3.3. Let X(t) be a continuous quasi-martingale. Then in the decomposition (3.1), M(t) and B(t) are continuous. Proor. Let R,={inf (t:|X()|2k}ak. Then Ry increases to co as. Putting X,()=X(R,at), we have |X,(1)|

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