A NOTE ON DILATIONS AND MARTINGALES

MARTIN L. JONES

《International Journal of Mathematics and Mathematical Sciences》 1993卷 (1993/12) Pp. 825-827

https://doi.org/10.1155/S016117129300105X

摘要

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.

關鍵字

Martingales ； dilations ； optimal stopping ； prophet inequalities