Some dimension-free features of vector-valued martingales

Given any local martingale in \({\mathbb{R}}^ d\) or \(\ell^ 2\), there exists a local martingale N in \({\mathbb{R}}^ 2\), such that \(| M| =| N|\), \([M]=[N]\), and \(<M>=<N>\). It follows in particular that any inequality for martingales in \({\mathbb{R}}^ 2\) which involves only the processes \(| M|\), [M], and \(<M>\) remains true in arbitrary dimension. When M is continuous, the processes \(| M|^ 2\) and \(| M|\) satisfy certain SDE's which are independent of dimension and yield information about the growth rate of M. This leads in particular to tail estimates of the same order as in one dimension. The paper concludes with some new maximal inequalities in continuous time.

Recommendations

Cites work

Cited in

(19)

This page was built for publication: Some dimension-free features of vector-valued martingales

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2638653)