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

DOI10.1137/1135050MaRDI QIDQ3210600zbMATH OpenOpenAlexFDO

Authors Ditlev Monrad, Walter Philipp

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

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

Cited in

(8)

• Strong approximations for nonconventional sums and almost sure limit theorems
• Strong diffusion approximation in averaging with dynamical systems fast motions
• L² Diffusion Approximation for Slow Motion in Averaging
• Optimal Gaussian approximation for multiple time series
• Rates of convergence in invariance principles for random walks on linear groups via martingale methods
• Strong diffusion approximation in averaging and value computation in Dynkin's games
• Multivariate strong invariance principles in Markov chain Monte Carlo
• Error estimates for discrete approximations of game options with multivariate diffusion asset prices

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