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Predictable Representation Property of some Hilbertian Martingales

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Author(s): M. El Kadiri

Journal: Acta Mathematica Universitatis Comenianae
ISSN 0862-9544

Volume: LXXVII;
Issue: 1;
Start page: 123;
Date: 2008;
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Keywords: vectorial martingale | extremal martingale | predictable representation

ABSTRACT
We prove as for the real case that a martingale with values in a separabale real Hilbert space is extremal if and only if it satisfies the predictable representation property.
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