General Wald-type identities for exchangeable sequences and processes (Q1113186): Difference between revisions

Let \(X=(X_ 1,..,X_ d)\) be an \(R^ d\)-valued Lévy process on \(R_+\) or an ergodic exchangeable process on [0,1], and let \(V=(V_ 1,...,V_ d)\) be a predictable process on the same interval. Under suitable moment conditions, it is shown that, if the Lebesgue integrals \(\int \prod_{j\in J}V_ j\) are a.s. non-random for all \(J\subset \{1,...,d\}\) with {\#}J\(\leq d-1\) or {\#}J\(\leq d\), respectively, then the product moment \(E\prod \int V_ jdX_ j\) is the same as if X and V were independent. An analogous statement holds in discrete time. The results imply some invariance properties of exchangeable sequences and processes under suitable predictable transformations.