Doob's optional sampling and maximal inequality for G-martingales
classification
🧮 math.PR
keywords
doobinequalitymartingalemaximaloptionalsamplingallowsanalogue
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The paper considers the martingale theory in the $G$-framework. A form of Doob's optional sampling is established, which allows to prove the exact analogue of the classical maximal inequality. The obtained results are used to improve the existing $G$-martingale representation theorems.
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