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Adaptive martingale approximations

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Publication:734947
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DOI10.1007/s00041-008-9037-xzbMath1178.60030OpenAlexW2092676592MaRDI QIDQ734947

Sebastian E. Ferrando, Pedro José Catuogno, Alfredo L. González

Publication date: 14 October 2009

Published in: The Journal of Fourier Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00041-008-9037-x

zbMATH Keywords

martingalespointwise convergenceconditional expectationsH-systems


Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Martingales with discrete parameter (60G42) Approximation by arbitrary nonlinear expressions; widths and entropy (41A46)


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Efficient hedging of options with probabilistic Haar wavelets



Cites Work

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  • Vector greedy algorithms
  • Greedy algorithms and \(M\)-term approximation with regard to redundant dictionaries
  • A new class of unbalanced Haar wavelets that form an unconditional basis for \(L_ p\) on general measure spaces
  • Nonlinear approximation in finite-dimensional spaces
  • Restricted nonlinear approximation
  • Matching pursuits with time-frequency dictionaries
  • Martingale Theory and Pointwise Convergence of Certain Orthogonal Series
  • Tree approximation and optimal encoding
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