Stability of conditional median under discretization of filtrations (Q1852831)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Stability of conditional median under discretization of filtrations |
scientific article |
Statements
Stability of conditional median under discretization of filtrations (English)
0 references
29 July 2003
0 references
Let \(X\) be a random vector in \(\mathbb{R}^k\) and \((Y_s)_{s\leq 1}\) be a stochastic process. The best approximations of \(X\) knowing \((Y_s)_{s\leq t}\) for the \(L_p\)-criterion are the conditional \(L_p\)-medians of \(X\) given \((Y_s)_{s \leq t}\), i.e. the (random) points in \(\mathbb{R}^k\) that minimize the function \[ \alpha \mapsto\varphi (\alpha,t) (\omega)=\int \|x-\alpha\|^p P_{X\mid {\mathcal F}_t} (dx,\omega), \] where \(({\mathcal F}_s)_{s\leq 1}\) is the filtration generated by \((Y_s)_{s\leq 1}\). Now suppose that \((Y_s)_{s\leq 1}\) is only known on a finite set of times. It is proven that, under the right assumptions, if the number of these observation times tends to infinity, one rediscovers assymptotically the set of best approximations for the \(L_p\)-minimizing criterion.
0 references
conditional \(L_p\)-medians
0 references