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Recovery of a martingale-transform integrand by conditional covariance
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Area of mathematics
Probability and statistics
Probability theory
Martingale
Predictable process
Martingale transform
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For a square-integrable martingale transform and positive conditional increment variance,
A
n
=
Var
(
M
n
∣
F
n
−
1
)
Cov
(
X
n
,
M
n
∣
F
n
−
1
)
.
(22)
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(8)
Martingale transform
Predictable process
Martingale
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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