Algorithmic randomness for Doob's martingale convergence theorem in continuous time

DOI10.2168/LMCS-10(4:12)2014zbMATH Open1325.03051arXiv1411.0186MaRDI QIDQ2938765FDOQ2938765

Authors: Bjørn Kjos-Hanssen, Paul Kim Long V. Nguyen, Jason Rute 

Publication date: 15 January 2015

Published in: Logical Methods in Computer Science (Search for Journal in Brave)

Abstract: We study Doob's martingale convergence theorem for computable continuous time martingales on Brownian motion, in the context of algorithmic randomness. A characterization of the class of sample points for which the theorem holds is given. Such points are given the name of Doob random points. It is shown that a point is Doob random if its tail is computably random in a certain sense. Moreover, Doob randomness is strictly weaker than computable randomness and is incomparable with Schnorr randomness.

Full work available at URL: https://arxiv.org/abs/1411.0186

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zbMATH Keywords

Brownian motionalgorithmic randomnesscomputability theorySchnorr randomnesscomputable randomnessDoob's martingale convergence theorem

Mathematics Subject Classification ID

Brownian motion (60J65) Algorithmic randomness and dimension (03D32) Martingales with continuous parameter (60G44)

Cited In (1)

• Computable Measure Theory and Algorithmic Randomness

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