A note on dilations and martingales (Q689049): Difference between revisions
From MaRDI portal
Removed claim: reviewed by (P1447): Item:Q329057 |
Set profile property. |
||
| (One intermediate revision by one other user not shown) | |||
| Property / reviewed by | |||
| Property / reviewed by: Albrecht Irle / rank | |||
Normal rank | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Latest revision as of 00:59, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on dilations and martingales |
scientific article |
Statements
A note on dilations and martingales (English)
0 references
11 November 1993
0 references
For a pair of random variables \((X,Y)\) the author introduces the concept of joint dilation which leads to maximal variances. It is investigated when this retains the martingale property.
0 references
joint dilation
0 references
maximal variances
0 references
martingale property
0 references
