Codex Wiki
OurBigBook.com
Site
Source code
Predictable representation in a Rademacher filtration
...
Area of mathematics
Probability and statistics
Probability theory
Martingale
Predictable process
Martingale transform
OurBigBook.com
Words: 58
Articles: 1
If
F
n
is generated by independent symmetric signs
ξ
1
,
…
,
ξ
n
, every martingale has predictable coefficients
B
n
such that
M
n
=
M
0
+
∑
k
=
1
n
B
k
ξ
k
.
(26)
One may take
B
n
=
E
[
M
n
ξ
n
∣
F
n
−
1
]
.
Table of contents
58
1
Stopped martingale isometry in a Rademacher filtration
Predictable representation in a Rademacher filtration
31
Ancestors
(8)
Martingale transform
Predictable process
Martingale
Probability theory
Probability and statistics
Area of mathematics
Mathematics
Home
Incoming links
(1)
Solution