Properties of $G$-martingales with finite variation and the application to $G$-Sobolev spaces

Yongsheng Song

Published 2016-07-03Version 1

As is known, a process of form $\int_0^t\eta_sd\langle B\rangle_s-\int_0^t2G(\eta_s)ds$, $\eta\in M^1_G(0,T)$, is a non-increasing $G$-martingale. In this paper, we shall show that a non-increasing $G$-martingale could not be form of $\int_0^t\eta_sds$ or $\int_0^t\gamma_sd\langle B\rangle_s$, $\eta, \gamma \in M^1_G(0,T)$, which implies that the decomposition for generalized $G$-It\^o processes is unique: For $\zeta\in H^1_G(0,T)$, $\eta\in M^1_G(0,T)$ and non-increasing $G$-martingales $K, L$, if \[\int_0^t\zeta_s dB_s+\int_0^t\eta_sds+K_t=L_t,\ t\in[0,T],\] then we have $\eta\equiv0$, $\zeta\equiv0$ and $K_t=L_t$. As an application, we give a characterization to the $G$-Sobolev spaces introduced in Peng and Song (2015).