English

Concrete representation of martingales

Probability 2007-05-23 v2

Abstract

Let (f_n) be a mean zero vector valued martingale sequence. Then there exist vector valued functions (d_n) from [0,1]^n such that int_0^1 d_n(x_1,...,x_n) dx_n = 0 for almost all x_1,...,x_{n-1}, and such that the law of (f_n) is the same as the law of (sum_{k=1}^n d_k(x_1,...,x_k)) . Similar results for tangent sequences and sequences satisfying condition (C.I.) are presented. We also present a weaker version of a result of McConnell that provides a Skorohod like representation for vector valued martingales. This paper may be found at http://math.missouri.edu/~stephen/preprints

Cite

@article{arxiv.math/9806022,
  title  = {Concrete representation of martingales},
  author = {Stephen J. Montgomery-Smith},
  journal= {arXiv preprint arXiv:math/9806022},
  year   = {2007}
}

Comments

Also available at http://math.missouri.edu/~stephen/preprints

R2 v1 2026-07-22T17:58:46.966Z