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

DOI10.2168/LMCS-10(4:12)2014MaRDI QIDQ2938765zbMATH OpenFDO

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)

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

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)

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.

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Cited in

(1)

• Computable Measure Theory and Algorithmic Randomness

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