High Rank Path Development: an approach of learning the filtration of stochastic processes
高阶路径发展:学习随机过程的信息流
Since the weak convergence for stochastic processes does not account for the growth of information over time which is represented by the underlying filtration, a slightly erroneous stochastic model in weak topology may cause huge loss in multi-periods decision making problems. To address such discontinuities Aldous introduced the extended weak convergence, which can fully characterise all essential properties, including the filtration, of stochastic processes; however was…