Tempered processes and a Riesz decomposition for some martingales in the limit

Abstract

Several papers have appeared in the past few years which have explored the topic of the Riesz decomposition for amarts. Such a decomposition for amarts enjoys several special properties. See [5, p. 208–209]. While it has been proved in [6] that not every martingale in the limit has a Riesz decomposition “in the weakest form assuring uniqueness” it is the major objective of this paper to characterize a class of martingales in the limit which is strictly larger than the class of amarts but enjoys all the properties of the decomposition for amarts.