SFB 303 Discussion Paper No. B - 122

Author: Schweizer, Martin
Title: p-Energy O and Orthogonality of Martingales
Abstract: We characterize the orthogonality of martingales as a property of risk-minimality under certain pertubations by stochastic integrals. The integrator can be either a martingale or a semimartingale; in the latter case, the finite variation part must have 2-energy 0. This characterization is based on convergence results for processes of p-energy 0 and on semimartingale differentiation techniques.
Creation-Date: March 1989
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