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2 matches found
III: 08, 143-143, LNM 88 (1969)
MEYER, Paul-André
Un lemme de théorie des martingales (Martingale theory)
The author apparently believed that this classical and useful remark was new (it is often called Hunt's lemma'', see Hunt, Martingales et Processus de Markov, Masson 1966, p.47)
Keywords: Almost sure convergence
Nature: Well-known
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XXII: 14, 147-154, LNM 1321 (1988)
ÉMERY, Michel
En cherchant une caractérisation variationnelle des martingales (Martingale theory)
Let $\mu$ be a probability on $R_+$ and $\cal H$ the Hilbert space of all measurable and adapted processes $X$ such that $E[\int_0^\infty X_s^2\mu(ds)$ is finite. Martingales in $\cal H$ are characterized as minimizers of the $\cal H$-norm among all $X$ such that $\int_0^\infty X_s\mu(ds)$ is a given random variable
Comment: There is a large overlap with Pliska, Springer LN in Control and Information Theory 43, 1983
Keywords: Martingales
Nature: Well-known
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