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Martingale differences are orthogonal in l2
Statement
Assume AC. Let be a filtration, and let be real square-integrable martingale differences relative to it. For , , so their real inner product is zero. For every , .
Facts & Assumptions
Given: The hypotheses and conventions in the statement.
Square-integrable variables have an integrable product by Cauchy–Schwarz. Cauchy-Schwarz for random variables.
Under AC for conditional-expectation existence, a finite measurable factor may be taken out when its product with the integrable input is integrable. Taking out what is known.
Under AC for existence, conditional expectation is linear, order preserving and expectation preserving. Basic algebra and order properties of conditional expectation.
Finite linear combinations remain integrable and their integrals are linear. The Lebesgue integral is linear on .
We assume AC: every family of nonempty sets has a choice function. The Axiom of Choice.
A filtration is increasing: . Filtration and filtered probability space.
Each difference is measurable at its time and has zero conditional mean given its preceding time. Martingale difference sequence.
Proof
To justify finite integral linearity independently of the affected published proof, augment every finite disjoint simple display by its zero-coefficient complement. Pairwise intersections of two augmented displays partition the whole space and carry equal coefficients wherever nonempty, so finite additivity and prove representation independence. Common refinements give simple monotonicity and additivity; scalar zero is handled directly and positive scalars termwise. Supremum over simple minorants, followed by increasing simple approximation and the standard sets for , gives monotone convergence and nonnegative additivity. Positive/negative and real/imaginary decompositions therefore give finite linearity. This repairs the exact foundation used by [F4] and by the cited conditional-expectation identities. For , Cauchy–Schwarz gives . Iterating [F6] gives , so [F7] makes measurable for the latter sigma-algebra. Both and are integrable, so the unbounded-factor clause applies: . Expectation preservation gives . The AC assumption [F5] meets the existence hypotheses of [F2, F3, F7]. All conditional identities are identities of almost-sure classes; this argument selects no sequence of representatives.
For a fixed positive , expand the finite square as . Every term is integrable by the assumptions and step 1.1. Finite integral linearity makes its expectation , because every off-diagonal term vanishes. For both sides are zero by the empty-sum convention, and for there are no off-diagonal terms.
Depends on
Used by
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Dependency tree · two levels
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Sources
- Durrett, Probability: Theory and Examples, fifth edition; Theorems 4.4.7–4.4.8, pp.237–238 (standard reference, not scraped)