A categorical treatment of the Radon-Nikodym theorem and martingales

Abstract

In this paper we will give a categorical proof of the Radon-Nikodym theorem. We will do this by describing the trivial version of the result on finite probability spaces as a natural isomorphism. We then proceed to Kan extend this isomorphism to obtain the result for general probability spaces. Moreover, we observe that conditional expectation naturally appears in the construction of the right Kan extensions. Using this we can represent martingales, a special type of stochastic processes, categorically. We then repeat the same construction for the case where everything is enriched over $\mathbf{CMet}$, the category of complete metric spaces and 1-Lipschitz maps. In the enriched context, we can give a categorical proof of a martingale convergence theorem, by showing that a certain functor preserves certain cofiltered limits.