Can I read Martingales with Independent Increments on EtoBox?

Martingales with Independent Increments by Delbaen, Freddy is a scholarly article available to read on EtoBox.

What is Martingales with Independent Increments about?

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.

Author

Delbaen, Freddy

Published

2024

Language

EN