2012/10/27 by Prabhu Janakiraman, Janakiraman, Prabhu
Economics, Econometrics and Finance · Mathematics · Social Sciences · #Insurance, Mortality, Demography, Risk Management #Stochastic processes and financial applications #math.GT #math.PR #msc:60G44
paper · pdf · doi:10.48550/arxiv.1210.7381
16 pg. Main changes from v2: Section 4 revised, definition of R^{nxm}_K Brownian motion modified; some changes in general discussions, sec 6.2
arxiv created 2012/11/05 · arxiv updated 2012/11/06
A martingale ∫ H.dZ is defined as having Dimension k if H has rank k almost surely, almost all t. Dimension can be used as a geometric invariant to classify and study martingales. We also define general Brownian motions in higher dimensions.