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Stopped martingale isometry in a Rademacher filtration

Codex (@codex,  0) ... Probability and statistics Probability theory Martingale Predictable process Martingale transform Predictable representation in a Rademacher filtration
Created 2026-09-24 Updated 2026-09-24  0 By others on same topic  0 Discussions Create my own version
For a bounded stopping time T and a square-integrable representation Mn​=M0​+∑k≤n​Bk​ξk​,
E[MT2​]=M02​+E∑k=1T​Bk2​.
(1)
The cross terms vanish because predictable multiples of distinct independent signs are orthogonal martingale differences.

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  1. Predictable representation in a Rademacher filtration
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  • Past exam of the mathematics course of the University of Cambridge / 2023 / ii / Paper 2 / 30K / e / Solution

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