Enlargement of filtration and predictable representation property for semi-martingales
نویسندگان
چکیده
منابع مشابه
Predictable Representation Property of Some Hilbertian Martingales
We prove as for the real case that a martingale with values in a separabale real Hilbert space is extremal if and only if it satisfies the predictable representation property.
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Let (fn) be a mean zero vector valued martingale sequence. Then there exist vector valued functions (dn) from [0, 1] such that ∫ 1 0 dn(x1, . . . , xn)dxn = 0 for almost all x1, . . . , xn−1, and such that the law of (fn) is the same as the law of ( ∑n k=1 dk(x1, . . . , xk)). Similar results for tangent sequences and sequences satisfying condition (C.I.) are presented. We also present a weaker...
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چکیده: فرض کنید که تابعی از اپسیلون یک مجموع نامتناهی از احتمالات موزون مربوط به مجموع های جزئی براساس یک دنباله از متغیرهای تصادفی مستقل و همتوزیع باشد، و همچنین فرض کنید توابعی مانند g و h وجود دارند که هرگاه امید ریاضی توان دوم x متناهی و امیدریاضی x صفر باشد، در این صورت می توان حد حاصلضرب این توابع را بصورت تابعی از امید ریاضی توان دوم x نوشت. حالت عکس نیز برقرار است. همچنین ما با استفاده...
15 صفحه اولConcentration Inequalities for Semi-bounded Martingales
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ژورنال
عنوان ژورنال: Stochastics
سال: 2015
ISSN: 1744-2508,1744-2516
DOI: 10.1080/17442508.2015.1124878