Dimension for Martingales

A martingale \int 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.

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Bibliographic Details
Published in:arXiv.org 2012-11
Main Author: Janakiraman, Prabhu
Format: Article
Language:English
Subjects:
Martingales
Online Access:Get full text
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Description
Summary:A martingale \int 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.
ISSN:2331-8422