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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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