A de Finetti-type theorem for random-rotation-invariant continuous semimartingales
Probability
2017-12-25 v1
Abstract
We provide a characterization of continuous semimartingales whose law is invariant with respect to predictable random rotations. In particular we prove that all such semimartingales are obtained by integrating a predictable process with respect to an independent dimensional Brownian motion.
Cite
@article{arxiv.1712.08374,
title = {A de Finetti-type theorem for random-rotation-invariant continuous semimartingales},
author = {Francesco C. De Vecchi},
journal= {arXiv preprint arXiv:1712.08374},
year = {2017}
}