Expectation, conditional expectation and martingales in local fields

DOI10.1214/EJP.V12-405MaRDI QIDQ2461978zbMATH OpenOpenAlexFDO

Authors Steven Neil Evans, Tye Lidman

Publication date 23 November 2007

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0606609, https://eudml.org/doc/128193

zbMATH Keywords

projectionconditional expectationmartingale convergenceexpectationoptional sampling

Mathematics Subject Classification ID

Probability theory on algebraic and topological structures (60B99) Generalizations of martingales (60G48) Probabilistic measure theory (60A10)

Abstract: We investigate a possible definition of expectation and conditional expectation for random variables with values in a local field such as the $p$-adic numbers. We define the expectation by analogy with the observation that for real-valued random variables in $L^2$ the expected value is the orthogonal projection onto the constants. Previous work has shown that the local field version of $L^{i}nfty$ is the appropriate counterpart of $L^2$, and so the expected value of a local field-valued random variable is defined to be its ``projection in $L^{i}nfty$ onto the constants. Unlike the real case, the resulting projection is not typically a single constant, but rather a ball in the metric on the local field. However, many properties of this expectation operation and the corresponding conditional expectation mirror those familiar from the real-valued case; for example, conditional expectation is, in a suitable sense, a contraction on $L^{i}nfty$ and the tower property holds. We also define the corresponding notion of martingale, show that several standard examples of martingales (for example, sums or products of suitable independent random variables or ``harmonic functions composed with Markov chains) have local field analogues, and obtain versions of the optional sampling and martingale convergence theorems.

Recommendations

• Conditional expectations and martingales in the fractional Brownian field
• scientific article; zbMATH DE number 4086633
• scientific article; zbMATH DE number 679802
• Local perturbations of conditional expectations
• scientific article; zbMATH DE number 2115902
• On the martingale property of certain local martingales
• Expectations and martingales in metric spaces
• scientific article; zbMATH DE number 1533215
• Publication:3025976
• scientific article; zbMATH DE number 3996423

Cited in

(4)

• scientific article; zbMATH DE number 679802 (Why is no real title available?)
• \(Q_p\)-valued jump processes associated with linear and nonlinear pseudo-differential equations
• A local to global principle for expected values
• scientific article; zbMATH DE number 4086633 (Why is no real title available?)

This page was built for publication: Expectation, conditional expectation and martingales in local fields

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2461978)