A note on dilations and martingales (Q689049): Difference between revisions
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scientific article
Language | Label | Description | Also known as |
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English | A note on dilations and martingales |
scientific article |
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A note on dilations and martingales (English)
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11 November 1993
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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.
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joint dilation
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maximal variances
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martingale property
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