The Problem of Embedding Vector-Valued Martingales in a Gaussian Process

DOI10.1137/1135050zbMath0723.60006OpenAlexW2065544401MaRDI QIDQ3210600

Walter Philipp, Ditlev Monrad

Publication date: 1990

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1135050

zbMATH Keywords

Brownian motionembedding theoremHilbert space valued process

Mathematics Subject Classification ID

Gaussian processes (60G15) Martingales with continuous parameter (60G44) Probability theory on linear topological spaces (60B11)

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Strong diffusion approximation in averaging with dynamical systems fast motions ⋮ Strong diffusion approximation in averaging and value computation in Dynkin's games ⋮ Strong approximations for nonconventional sums and almost sure limit theorems ⋮ Optimal Gaussian Approximation For Multiple Time Series ⋮ Rates of convergence in invariance principles for random walks on linear groups via martingale methods ⋮ L² Diffusion Approximation for Slow Motion in Averaging

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