An equivalence principle for martingales
arXiv:2611.06426 · doi:10.1002/mana.70264
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.
arXiv comment19 pages