What does it it mean to say a martingale is closed [in layman terms] ? Does it just mean the martingale converges ??
[Math] What does it mean to say a martingale is closed
martingales
martingales
What does it it mean to say a martingale is closed [in layman terms] ? Does it just mean the martingale converges ??
Best Answer
A martingale $(X_n,\mathcal{F}_n)_n$ is called (right-)closable if there exists a random variable $X$ such that $X_n = \mathbb{E}(X|\mathcal{F}_n)$. (A sufficient condition is that $(X_n)_n$ is uniformly integrable.)