An equivalence principle for martingales
Grigori A. Karagulyan, Linda A. Khachatryan, Khazhakanush V. Navoyan
Abstract
We show that any discrete-time filtration can be embedded into a dyadic filtration, realized via a non-classical measure-preserving map. This embedding makes it possible to reduce certain problems involving vector-valued martingales to the case of Haar martingales. Some applications of this result will also be discussed.
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