A nonclassical solution to a classical SDE and a converse to Kolmogorov's zero-one law

DOI10.1016/J.SPL.2021.109117MaRDI QIDQ2244458zbMATH OpenOpenAlexFDO

Authors Matija Vidmar

Publication date 12 November 2021

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/2001.00408

zbMATH Keywords

equiprobable random signsKolmogorov's zero-one lawnon-anticipative weak solutionsnonmeasurable setsstochastic equations

Mathematics Subject Classification ID

Foundations of stochastic processes (60G05) Sums of independent random variables; random walks (60G50)

Abstract: For a discrete-negative-time discrete-space SDE, which admits no strong solution in the classical sense, a weak solution is constructed that is a (necessarily nonmeasurable) non-anticipative function of the driving i.i.d. noise. The result highlights the strong r^ole measurability plays in (non-discrete) probability. En route one -- quite literally -- stumbles upon a converse to the celebrated Kolmogorov's zero-one law for sequences with independent values.

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Cited in

(1)

• Lévy's zero-one law in game-theoretic probability

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