Doob's optional sampling and maximal inequality for $G$-martingales
Probability
2012-11-28 v3
Abstract
The paper considers the martingale theory in the -framework. A form of Doob's optional sampling is established, which allows to prove the exact analogue of the classical maximal inequality. The obtained results are used to improve the existing -martingale representation theorems.
Keywords
Cite
@article{arxiv.1205.6976,
title = {Doob's optional sampling and maximal inequality for $G$-martingales},
author = {Krzysztof Paczka},
journal= {arXiv preprint arXiv:1205.6976},
year = {2012}
}
Comments
This paper has been withdrawn due to error in Theorem 7