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Stopped martingale isometry in a Rademacher filtration
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Probability and statistics
Probability theory
Martingale
Predictable process
Martingale transform
Predictable representation in a Rademacher filtration
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Words: 31
For a bounded stopping time
T
and a square-integrable representation
M
n
=
M
0
+
∑
k
≤
n
B
k
ξ
k
,
E
[
M
T
2
]
=
M
0
2
+
E
∑
k
=
1
T
B
k
2
.
(27)
The cross terms vanish because predictable multiples of distinct independent signs are orthogonal martingale differences.
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Predictable representation in a Rademacher filtration
Martingale transform
Predictable process
Martingale
Probability theory
Probability and statistics
Area of mathematics
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