Concrete representation of atomic (F₄) filtrations

arXiv2001.00196MaRDI QIDQ6332136FDOQ6332136

Authors: Maciej Rzeszut, Bartosz Trojan 

Publication date: 1 January 2020

Abstract: We prove that for any martingale with respect to a biparameter atomic filtration satisfying $(F_4)$ condition there is a martingale having the same joint distribution but with respect to the canonical $(F_4)$ filtration. Even in one parameter case our result is an improvement of the theorem due to Montgomery-Smith, since the construction gives a morphism of filtrations and does not depend on underlying sequence.

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