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