Martingales with Independent Increments
| Autor: | Delbaen, Freddy |
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| Rok vydání: | 2024 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | We show that a discrete time martingale with respect to a filtration with atomless innovations is the (infinite) sum of martingales with independent increments. For the continuous time filtration coming from Brownian Motion filtration, we show that every $L^2$ martingale is the sum of a series of Gaussian martingales. |
| Databáze: | arXiv |
| Externí odkaz: |
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