2023/09/09 by N. N. Osipov, Osipov, Nikolay N.
Computer Science · Economics, Econometrics and Finance · Mathematics · #Classical Analysis and ODEs (math.CA) #FOS: Mathematics #Functional Analysis (math.FA) #Matrix Theory and Algorithms #Probability (math.PR) #Stochastic processes and financial applications #advanced mathematical theories
paper · pdf · doi:10.48550/arxiv.2309.04874
openalex publication_date 2023/09/09 · openalex created_date 2023/09/14 · openalex updated_date 2026/07/28
It has been recently shown that the Bellman function method can be applied in the general context of Gundy's extrapolation theorem for vector-valued martingales. But the additional assumption has been made that martingales are adapted to a certain special filtration. Here it is shown that those results can be extended to any regular filtration.