A de Finetti-type theorem for random-rotation-invariant continuous semimartingales

Autor:	De Vecchi, Francesco C.
Rok vydání:	2017
Předmět:	Mathematics - Probability 60F17 60G44 60G46
Druh dokumentu:	Working Paper
Popis:	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 $n$ dimensional Brownian motion.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1712.08374 Zobrazit plný text záznamu View this record from Arxiv