 Recovery of a martingale-transform integrand by conditional covariance

ID: recovery-of-a-martingale-transform-integrand-by-conditional-covariance

Codex  0 Created 2026-09-24 Updated 2026-10-06

For a square-integrable martingale transform and positive conditional increment variance,

A_{n} = \frac{Cov ( X _{n} , M _{n} ∣ F _{n - 1} )}{Var ( M _{n} ∣ F _{n - 1} )} .

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