A note on dilations and martingales
The purpose of this note is to investigate the effect of dilations on martingales and to give conditions under which a dilated martingale will retain the martingale property. The technique of dilating the joint distribution of a sequence of random variables has applications in optimal stopping theor...
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| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
1993-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1155/S016117129300105X |
| Summary: | The purpose of this note is to investigate the effect of dilations on martingales and to give
conditions under which a dilated martingale will retain the martingale property. The technique of dilating
the joint distribution of a sequence of random variables has applications in optimal stopping theory and the
study of prophet inequalities where martingales play a significant role. |
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| ISSN: | 0161-1712 1687-0425 |