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: |
Wiley
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 |
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| _version_ | 1832552123084046336 |
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| author | Martin L. Jones |
| author_facet | Martin L. Jones |
| author_sort | Martin L. Jones |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-c20ce5301f1e4343845b4b205574aaa1 |
| institution | Kabale University |
| issn | 0161-1712 1687-0425 |
| language | English |
| publishDate | 1993-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | International Journal of Mathematics and Mathematical Sciences |
| spelling | doaj-art-c20ce5301f1e4343845b4b205574aaa12025-02-03T05:59:30ZengWileyInternational Journal of Mathematics and Mathematical Sciences0161-17121687-04251993-01-0116482582710.1155/S016117129300105XA note on dilations and martingalesMartin L. Jones0Mathematics Department, University of Charleston, 66 George Street, Charleston 29424, South Carolina, USAThe 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.http://dx.doi.org/10.1155/S016117129300105Xmartingalesdilationsoptimal stoppingprophet inequalities. |
| spellingShingle | Martin L. Jones A note on dilations and martingales International Journal of Mathematics and Mathematical Sciences martingales dilations optimal stopping prophet inequalities. |
| title | A note on dilations and martingales |
| title_full | A note on dilations and martingales |
| title_fullStr | A note on dilations and martingales |
| title_full_unstemmed | A note on dilations and martingales |
| title_short | A note on dilations and martingales |
| title_sort | note on dilations and martingales |
| topic | martingales dilations optimal stopping prophet inequalities. |
| url | http://dx.doi.org/10.1155/S016117129300105X |
| work_keys_str_mv | AT martinljones anoteondilationsandmartingales AT martinljones noteondilationsandmartingales |