I’m looking forward in particular to more posts on optional and predictable projection. It would also be nice if you could find time to discuss the dual versions of those projections.

]]>Thank you for your amazing blog.

]]>For any $n$ and any times $0<s_1<t_1<\ldots < s_n<t_n$, the random variables $\{X_{t_i}-X_{s_i}\}$ are independent? ]]>

Do you know whether the Theorem 5 result , for a martingale, can be extended to a more general class of stochastic processes ? Maybe something like being integrable, adapted to the natural filtration of , a.s. cadlag and a.s. uniformly bounded on $latex[0,t]$?

]]>I hope this LaTeX works. It’s the first time I’ve tried using it in a WordPress environment 🙂

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